| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -10.71% | -5.42% |
| CAGR﹪ | -8.52% | -4.29% |
| Sharpe | -0.08 | 0.04 |
| Prob. Sharpe Ratio | 46.72% | 51.54% |
| Smart Sharpe | -0.08 | 0.04 |
| Sortino | -0.1 | 0.05 |
| Smart Sortino | -0.1 | 0.05 |
| Sortino/√2 | -0.07 | 0.03 |
| Smart Sortino/√2 | -0.07 | 0.03 |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -40.89% | -39.65% |
| Longest DD Days | 300 | 300 |
| Volatility (ann.) | 38.27% | 34.94% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.21 | -0.11 |
| Skew | -3.78 | -5.58 |
| Kurtosis | 47.93 | 76.2 |
| Expected Daily | -0.04% | -0.02% |
| Expected Monthly | -0.81% | -0.4% |
| Expected Yearly | -5.51% | -2.75% |
| Kelly Criterion | -1.6% | 1.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.98% | -3.61% |
| Expected Shortfall (cVaR) | -3.98% | -3.61% |
| Max Consecutive Wins | 7 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | -0.02 | 0.01 |
| Gain/Pain (1M) | -0.06 | 0.03 |
| Payoff Ratio | 1.07 | 1.11 |
| Profit Factor | 0.98 | 1.01 |
| Common Sense Ratio | 1.18 | 1.05 |
| CPC Index | 0.5 | 0.54 |
| Tail Ratio | 1.2 | 1.04 |
| Outlier Win Ratio | 4.03 | 5.1 |
| Outlier Loss Ratio | 2.97 | 3.99 |
| MTD | 9.77% | 13.05% |
| 3M | 10.91% | 13.61% |
| 6M | 23.7% | 28.22% |
| YTD | -11.44% | -7.67% |
| 1Y | -11.17% | -6.76% |
| 3Y (ann.) | -8.52% | -4.29% |
| 5Y (ann.) | -8.52% | -4.29% |
| 10Y (ann.) | -8.52% | -4.29% |
| All-time (ann.) | -8.52% | -4.29% |
| Best Day | 10.54% | 10.7% |
| Worst Day | -25.28% | -25.9% |
| Best Month | 21.25% | 19.77% |
| Worst Month | -25.28% | -25.9% |
| Best Year | 0.82% | 2.44% |
| Worst Year | -11.44% | -7.67% |
| Avg. Drawdown | -7.3% | -5.58% |
| Avg. Drawdown Days | 50 | 40 |
| Recovery Factor | -0.26 | -0.14 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | -0.03 | -0.01 |
| Avg. Up Month | 8.27% | 8.88% |
| Avg. Down Month | -8.6% | -8.35% |
| Win Days | 47.43% | 48.08% |
| Win Month | 46.15% | 50.0% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.98 | - |
| Alpha | -0.04 | - |
| Correlation | 89.88% | - |
| Treynor Ratio | -10.88% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.44 | 0.82 | 0.34 | - |
| 2022 | -7.67 | -11.44 | 1.49 | - |
| 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 |