| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -10.53% | -41.98% |
| CAGR﹪ | -8.36% | -34.78% |
| Sharpe | -5.54 | -5.07 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.43 | -4.97 |
| Sortino | -5.89 | -5.34 |
| Smart Sortino | -5.78 | -5.23 |
| Sortino/√2 | -4.17 | -3.77 |
| Smart Sortino/√2 | -4.08 | -3.7 |
| Omega | 0.3 | 0.3 |
| Max Drawdown | -40.89% | -53.53% |
| Longest DD Days | 300 | 427 |
| Volatility (ann.) | 38.19% | 48.89% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.2 | -0.65 |
| Skew | -3.79 | -4.09 |
| Kurtosis | 48.13 | 58.03 |
| Expected Daily | -0.04% | -0.21% |
| Expected Monthly | -0.79% | -3.81% |
| Expected Yearly | -5.41% | -23.83% |
| Kelly Criterion | -12.35% | -0.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.97% | -5.22% |
| Expected Shortfall (cVaR) | -3.97% | -5.22% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.02 | -0.19 |
| Gain/Pain (1M) | -0.06 | -0.58 |
| Payoff Ratio | 0.87 | 1.01 |
| Profit Factor | 0.98 | 0.81 |
| Common Sense Ratio | 1.18 | 0.57 |
| CPC Index | 0.41 | 0.41 |
| Tail Ratio | 1.2 | 0.71 |
| Outlier Win Ratio | 3.51 | 3.45 |
| Outlier Loss Ratio | 4.76 | 3.8 |
| MTD | 9.77% | -0.55% |
| 3M | 10.91% | 6.24% |
| 6M | 23.7% | -2.91% |
| YTD | -11.44% | -39.02% |
| 1Y | -11.17% | -37.39% |
| 3Y (ann.) | -8.36% | -34.78% |
| 5Y (ann.) | -8.36% | -34.78% |
| 10Y (ann.) | -8.36% | -34.78% |
| All-time (ann.) | -8.36% | -34.78% |
| Best Day | 10.54% | 20.04% |
| Worst Day | -25.28% | -33.28% |
| Best Month | 21.25% | 15.56% |
| Worst Month | -25.28% | -30.02% |
| Best Year | 1.03% | -4.86% |
| Worst Year | -11.44% | -39.02% |
| Avg. Drawdown | -7.3% | -9.82% |
| Avg. Drawdown Days | 50 | 75 |
| Recovery Factor | -0.26 | -0.78 |
| Ulcer Index | 0.23 | 0.36 |
| Serenity Index | -1.76 | -1.03 |
| Avg. Up Month | 12.83% | 8.57% |
| Avg. Down Month | -11.43% | -7.66% |
| Win Days | 47.64% | 49.43% |
| Win Month | 46.15% | 42.86% |
| Win Quarter | 66.67% | 33.33% |
| Win Year | 50.0% | 0.0% |
| Beta | -0.16 | - |
| Alpha | -0.09 | - |
| Correlation | -21.12% | - |
| Treynor Ratio | 4306.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -4.86 | 1.03 | -0.21 | + |
| 2022 | -39.02 | -11.44 | 0.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-12-22 | -40.89 | 300 |
| 2022-01-27 | 2022-02-21 | -6.35 | 25 |
| 2021-09-27 | 2021-11-18 | -6.35 | 52 |
| 2021-11-23 | 2022-01-05 | -4.70 | 43 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2022-02-22 | 2022-02-24 | -1.92 | 2 |
| 2021-09-15 | 2021-09-23 | -1.47 | 8 |
| 2021-11-19 | 2021-11-22 | -0.99 | 3 |
| 2022-01-25 | 2022-01-26 | -0.06 | 1 |