| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.21% | -40.14% |
| CAGR﹪ | -7.25% | -32.93% |
| Sharpe | -5.22 | -4.67 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -4.8 | -4.29 |
| Sortino | -5.14 | -4.94 |
| Smart Sortino | -4.73 | -4.54 |
| Sortino/√2 | -3.64 | -3.5 |
| Smart Sortino/√2 | -3.34 | -3.21 |
| Omega | 0.24 | 0.24 |
| Max Drawdown | -40.33% | -51.98% |
| Longest DD Days | 197 | 463 |
| Volatility (ann.) | 40.37% | 54.31% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | -0.18 | -0.63 |
| Skew | -8.31 | -3.87 |
| Kurtosis | 99.95 | 47.61 |
| Expected Daily | -0.05% | -0.24% |
| Expected Monthly | -0.87% | -4.56% |
| Expected Yearly | -3.17% | -15.72% |
| Kelly Criterion | -7.18% | 6.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.19% | -5.81% |
| Expected Shortfall (cVaR) | -4.19% | -5.81% |
| Max Consecutive Wins | 4 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.01 | -0.2 |
| Gain/Pain (1M) | -0.04 | -0.64 |
| Payoff Ratio | 0.84 | 1.09 |
| Profit Factor | 0.99 | 0.8 |
| Common Sense Ratio | 1.26 | 0.58 |
| CPC Index | 0.42 | 0.45 |
| Tail Ratio | 1.28 | 0.73 |
| Outlier Win Ratio | 3.44 | 2.92 |
| Outlier Loss Ratio | 5.7 | 4.06 |
| MTD | 5.01% | -0.79% |
| 3M | 22.37% | 3.4% |
| 6M | 24.29% | 5.93% |
| YTD | 7.2% | 2.79% |
| 1Y | -13.73% | -21.24% |
| 3Y (ann.) | -7.25% | -32.93% |
| 5Y (ann.) | -7.25% | -32.93% |
| 10Y (ann.) | -7.25% | -32.93% |
| All-time (ann.) | -7.25% | -32.93% |
| Best Day | 4.75% | 20.04% |
| Worst Day | -30.6% | -33.28% |
| Best Month | 14.62% | 15.56% |
| Worst Month | -34.2% | -30.02% |
| Best Year | 7.2% | 2.79% |
| Worst Year | -17.47% | -37.26% |
| Avg. Drawdown | -7.07% | -26.17% |
| Avg. Drawdown Days | 36 | 232 |
| Recovery Factor | -0.23 | -0.77 |
| Ulcer Index | 0.25 | 0.36 |
| Serenity Index | -1.66 | -1.19 |
| Avg. Up Month | 6.57% | 5.46% |
| Avg. Down Month | -20.72% | -9.82% |
| Win Days | 51.21% | 50.95% |
| Win Month | 81.82% | 36.36% |
| Win Quarter | 80.0% | 40.0% |
| Win Year | 66.67% | 33.33% |
| Beta | 0.15 | - |
| Alpha | 0.05 | - |
| Correlation | 20.67% | - |
| Treynor Ratio | -4616.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -7.19 | 2.61 | -0.36 | + |
| 2022 | -37.26 | -17.47 | 0.47 | + |
| 2023 | 2.79 | 7.20 | 2.58 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2023-02-24 | -40.33 | 197 |
| 2022-01-27 | 2022-02-21 | -5.92 | 25 |
| 2021-11-29 | 2022-01-05 | -3.22 | 37 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2021-11-23 | 2021-11-26 | -1.38 | 3 |
| 2021-11-17 | 2021-11-19 | -1.35 | 2 |
| 2022-02-22 | 2022-02-25 | -1.15 | 3 |
| 2022-01-25 | 2022-01-26 | -0.29 | 1 |