| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | -9.05% | -12.02% |
| CAGR﹪ | -6.38% | -8.52% |
| Sharpe | -0.04 | -0.14 |
| Prob. Sharpe Ratio | 15.64% | 12.42% |
| Smart Sharpe | -0.04 | -0.14 |
| Sortino | -0.04 | -0.21 |
| Smart Sortino | -0.04 | -0.2 |
| Sortino/√2 | -0.03 | -0.15 |
| Smart Sortino/√2 | -0.03 | -0.14 |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -43.59% | -35.12% |
| Longest DD Days | 225 | 236 |
| Volatility (ann.) | 46.49% | 48.5% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -0.15 | -0.24 |
| Skew | -9.66 | 1.89 |
| Kurtosis | 132.69 | 81.59 |
| Expected Daily | -0.04% | -0.05% |
| Expected Monthly | -0.68% | -0.91% |
| Expected Yearly | -3.11% | -4.18% |
| Kelly Criterion | -7.01% | -19.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.8% | -5.03% |
| Expected Shortfall (cVaR) | -4.8% | -5.03% |
| Max Consecutive Wins | 8 | 6 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.03 | -0.0 |
| Gain/Pain (1M) | 0.11 | -0.01 |
| Payoff Ratio | 0.77 | 0.66 |
| Profit Factor | 1.03 | 1.0 |
| Common Sense Ratio | 1.19 | 0.96 |
| CPC Index | 0.42 | 0.34 |
| Tail Ratio | 1.15 | 0.96 |
| Outlier Win Ratio | 2.71 | 3.17 |
| Outlier Loss Ratio | 2.83 | 3.17 |
| MTD | 6.2% | -2.36% |
| 3M | 21.15% | -1.97% |
| 6M | 20.57% | -5.42% |
| YTD | 9.42% | 3.11% |
| 1Y | -13.55% | -10.04% |
| 3Y (ann.) | -6.38% | -8.52% |
| 5Y (ann.) | -6.38% | -8.52% |
| 10Y (ann.) | -6.38% | -8.52% |
| All-time (ann.) | -6.38% | -8.52% |
| Best Day | 5.9% | 33.81% |
| Worst Day | -40.25% | -27.91% |
| Best Month | 13.32% | 5.61% |
| Worst Month | -31.41% | -7.94% |
| Best Year | 10.37% | 8.22% |
| Worst Year | -24.7% | -21.16% |
| Avg. Drawdown | -8.06% | -6.74% |
| Avg. Drawdown Days | 44 | 50 |
| Recovery Factor | -0.21 | -0.34 |
| Ulcer Index | 0.25 | 0.21 |
| Serenity Index | -0.04 | -0.07 |
| Avg. Up Month | 4.87% | 3.85% |
| Avg. Down Month | -10.84% | -5.11% |
| Win Days | 53.53% | 52.49% |
| Win Month | 64.29% | 42.86% |
| Win Quarter | 66.67% | 50.0% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.32 | - |
| Alpha | 0.05 | - |
| Correlation | 33.5% | - |
| Treynor Ratio | -49.99% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.22 | 10.37 | 1.26 | + |
| 2022 | -21.16 | -24.70 | 1.17 | - |
| 2023 | 3.11 | 9.42 | 3.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-14 | 2023-02-24 | -43.59 | 225 |
| 2022-01-05 | 2022-02-25 | -7.41 | 51 |
| 2021-11-23 | 2021-12-29 | -6.00 | 36 |
| 2021-09-24 | 2021-10-29 | -4.30 | 35 |
| 2021-11-08 | 2021-11-12 | -1.12 | 4 |
| 2021-11-17 | 2021-11-18 | -0.98 | 1 |
| 2021-09-20 | 2021-09-23 | -0.96 | 3 |
| 2022-01-03 | 2022-01-04 | -0.10 | 1 |