| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -38.71% | -47.93% |
| CAGR﹪ | -45.21% | -55.15% |
| Sharpe | -7.09 | -4.89 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -5.97 | -4.11 |
| Sortino | -6.91 | -5.28 |
| Smart Sortino | -5.82 | -4.45 |
| Sortino/√2 | -4.89 | -3.73 |
| Smart Sortino/√2 | -4.12 | -3.14 |
| Omega | 0.2 | 0.2 |
| Max Drawdown | -41.62% | -51.26% |
| Longest DD Days | 274 | 273 |
| Volatility (ann.) | 37.92% | 57.43% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | -1.09 | -1.08 |
| Skew | -3.09 | -3.32 |
| Kurtosis | 24.13 | 43.17 |
| Expected Daily | -0.27% | -0.36% |
| Expected Monthly | -4.35% | -5.76% |
| Expected Yearly | -21.71% | -27.84% |
| Kelly Criterion | -8.09% | -31.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.17% | -6.24% |
| Expected Shortfall (cVaR) | -4.17% | -6.24% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.3 | -0.27 |
| Gain/Pain (1M) | -0.76 | -0.82 |
| Payoff Ratio | 0.94 | 0.72 |
| Profit Factor | 0.7 | 0.73 |
| Common Sense Ratio | 0.46 | 0.58 |
| CPC Index | 0.31 | 0.24 |
| Tail Ratio | 0.67 | 0.79 |
| Outlier Win Ratio | 4.92 | 3.27 |
| Outlier Loss Ratio | 4.71 | 3.75 |
| MTD | -5.6% | -5.77% |
| 3M | -3.85% | -10.58% |
| 6M | -31.68% | -40.72% |
| YTD | -35.3% | -44.68% |
| 1Y | -38.71% | -47.93% |
| 3Y (ann.) | -45.21% | -55.15% |
| 5Y (ann.) | -45.21% | -55.15% |
| 10Y (ann.) | -45.21% | -55.15% |
| All-time (ann.) | -45.21% | -55.15% |
| Best Day | 8.78% | 20.04% |
| Worst Day | -18.7% | -33.28% |
| Best Month | 8.78% | 9.43% |
| Worst Month | -28.39% | -30.02% |
| Best Year | -5.27% | -5.87% |
| Worst Year | -35.3% | -44.68% |
| Avg. Drawdown | -14.46% | -10.86% |
| Avg. Drawdown Days | 96 | 57 |
| Recovery Factor | -0.93 | -0.94 |
| Ulcer Index | 0.26 | 0.3 |
| Serenity Index | -1.51 | -1.63 |
| Avg. Up Month | 5.9% | 5.5% |
| Avg. Down Month | -7.86% | -9.67% |
| Win Days | 47.49% | 44.75% |
| Win Month | 27.27% | 27.27% |
| Win Quarter | 0.0% | 20.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.14 | - |
| Alpha | -0.5 | - |
| Correlation | 20.68% | - |
| Treynor Ratio | -5411.27% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | -5.87 | -5.27 | 0.90 | + |
| 2022 | -44.68 | -35.30 | 0.79 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2022-07-21 | -41.62 | 274 |
| 2021-09-28 | 2021-10-05 | -1.20 | 7 |
| 2021-10-12 | 2021-10-19 | -0.57 | 7 |