| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -27.37% | -19.96% |
| CAGR﹪ | -14.8% | -10.55% |
| Sharpe | -10.22 | -5.81 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -9.88 | -5.61 |
| Sortino | -9.25 | -6.05 |
| Smart Sortino | -8.94 | -5.85 |
| Sortino/√2 | -6.54 | -4.28 |
| Smart Sortino/√2 | -6.32 | -4.13 |
| Omega | 0.16 | 0.16 |
| Max Drawdown | -38.3% | -51.26% |
| Longest DD Days | 713 | 273 |
| Volatility (ann.) | 21.84% | 36.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.39 | -0.21 |
| Skew | -0.32 | -5.19 |
| Kurtosis | 5.09 | 101.71 |
| Expected Daily | -0.07% | -0.05% |
| Expected Monthly | -1.32% | -0.92% |
| Expected Yearly | -10.11% | -7.15% |
| Kelly Criterion | -15.04% | -7.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.32% | -3.82% |
| Expected Shortfall (cVaR) | -2.32% | -3.82% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 9 | 5 |
| Gain/Pain Ratio | -0.12 | -0.03 |
| Gain/Pain (1M) | -0.36 | -0.13 |
| Payoff Ratio | 0.78 | 0.76 |
| Profit Factor | 0.88 | 0.97 |
| Common Sense Ratio | 0.74 | 0.81 |
| CPC Index | 0.34 | 0.4 |
| Tail Ratio | 0.83 | 0.83 |
| Outlier Win Ratio | 4.44 | 3.8 |
| Outlier Loss Ratio | 4.92 | 3.97 |
| MTD | -3.09% | -5.77% |
| 3M | -33.28% | -10.58% |
| 6M | -29.18% | -40.72% |
| YTD | -26.65% | -44.68% |
| 1Y | -26.37% | -42.46% |
| 3Y (ann.) | -14.8% | -10.55% |
| 5Y (ann.) | -14.8% | -10.55% |
| 10Y (ann.) | -14.8% | -10.55% |
| All-time (ann.) | -14.8% | -10.55% |
| Best Day | 6.36% | 20.04% |
| Worst Day | -6.83% | -33.28% |
| Best Month | 11.13% | 15.51% |
| Worst Month | -15.71% | -30.02% |
| Best Year | 4.59% | 21.79% |
| Worst Year | -26.65% | -44.68% |
| Avg. Drawdown | -19.96% | -3.13% |
| Avg. Drawdown Days | 358 | 18 |
| Recovery Factor | -0.71 | -0.39 |
| Ulcer Index | 0.15 | 0.19 |
| Serenity Index | -2.54 | -2.5 |
| Avg. Up Month | 4.72% | 3.99% |
| Avg. Down Month | -8.38% | -3.36% |
| Win Days | 49.58% | 53.65% |
| Win Month | 50.0% | 50.0% |
| Win Quarter | 44.44% | 55.56% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.03 | - |
| Alpha | -0.14 | - |
| Correlation | 5.11% | - |
| Treynor Ratio | -23893.82% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 18.80 | 4.59 | 0.24 | - |
| 2021 | 21.79 | -5.32 | -0.24 | - |
| 2022 | -44.68 | -26.65 | 0.60 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-07 | 2022-07-21 | -38.30 | 713 |
| 2020-08-03 | 2020-08-05 | -1.62 | 2 |