| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 14.34% | 56.14% |
| CAGR﹪ | 5.35% | 18.93% |
| Sharpe | -1.69 | -2.01 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.17 | -1.4 |
| Sortino | -2.21 | -2.53 |
| Smart Sortino | -1.54 | -1.76 |
| Sortino/√2 | -1.56 | -1.79 |
| Smart Sortino/√2 | -1.09 | -1.24 |
| Omega | 0.66 | 0.66 |
| Max Drawdown | -37.98% | -33.79% |
| Longest DD Days | 373 | 172 |
| Volatility (ann.) | 34.34% | 24.08% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.14 | 0.56 |
| Skew | 0.06 | -0.6 |
| Kurtosis | 84.3 | 15.11 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.43% | 1.45% |
| Expected Yearly | 3.41% | 11.78% |
| Kelly Criterion | -2.77% | 3.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.51% | -2.41% |
| Expected Shortfall (cVaR) | -3.51% | -2.41% |
| Max Consecutive Wins | 11 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.08 | 0.2 |
| Gain/Pain (1M) | 0.65 | 1.37 |
| Payoff Ratio | 0.79 | 0.81 |
| Profit Factor | 1.08 | 1.2 |
| Common Sense Ratio | 1.05 | 1.03 |
| CPC Index | 0.47 | 0.55 |
| Tail Ratio | 0.96 | 0.86 |
| Outlier Win Ratio | 3.83 | 4.52 |
| Outlier Loss Ratio | 3.57 | 4.51 |
| MTD | -9.05% | -2.77% |
| 3M | -10.36% | -6.4% |
| 6M | -11.43% | -1.57% |
| YTD | -9.12% | -8.04% |
| 1Y | -16.34% | 13.29% |
| 3Y (ann.) | 5.35% | 18.93% |
| 5Y (ann.) | 5.35% | 18.93% |
| 10Y (ann.) | 5.35% | 18.93% |
| All-time (ann.) | 5.35% | 18.93% |
| Best Day | 27.98% | 9.39% |
| Worst Day | -26.91% | -11.98% |
| Best Month | 11.02% | 12.82% |
| Worst Month | -14.57% | -12.35% |
| Best Year | 13.76% | 29.88% |
| Worst Year | -9.12% | -8.04% |
| Avg. Drawdown | -4.7% | -1.75% |
| Avg. Drawdown Days | 37 | 10 |
| Recovery Factor | 0.38 | 1.66 |
| Ulcer Index | 0.11 | 0.07 |
| Serenity Index | -0.91 | -0.78 |
| Avg. Up Month | 3.76% | 4.6% |
| Avg. Down Month | -5.51% | -5.42% |
| Win Days | 54.58% | 56.7% |
| Win Month | 64.52% | 70.97% |
| Win Quarter | 63.64% | 81.82% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.65 | - |
| Alpha | -0.02 | - |
| Correlation | 45.85% | - |
| Treynor Ratio | -130.98% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 10.80 | 13.22 | 1.22 | + |
| 2020 | 17.99 | 13.76 | 0.76 | - |
| 2021 | 29.88 | -2.31 | -0.08 | - |
| 2022 | -8.04 | -9.12 | 1.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-17 | 2022-02-25 | -37.98 | 373 |
| 2020-01-17 | 2020-11-05 | -35.59 | 293 |
| 2019-09-16 | 2019-10-17 | -5.14 | 31 |
| 2021-01-26 | 2021-02-09 | -4.93 | 14 |
| 2019-11-08 | 2019-12-12 | -4.63 | 34 |
| 2019-08-05 | 2019-09-05 | -3.48 | 31 |
| 2020-11-10 | 2020-11-20 | -2.90 | 10 |
| 2020-12-21 | 2020-12-30 | -2.18 | 9 |
| 2020-11-30 | 2020-12-03 | -2.00 | 3 |
| 2020-01-06 | 2020-01-09 | -1.72 | 3 |