| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | -1.47% | 50.23% |
| CAGR﹪ | -0.58% | 17.3% |
| Sharpe | -2.09 | -2.07 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.06 | -1.05 |
| Sortino | -3.01 | -2.6 |
| Smart Sortino | -1.53 | -1.32 |
| Sortino/√2 | -2.13 | -1.84 |
| Smart Sortino/√2 | -1.08 | -0.93 |
| Omega | 0.39 | 0.39 |
| Max Drawdown | -32.86% | -33.92% |
| Longest DD Days | 301 | 180 |
| Volatility (ann.) | 31.23% | 24.09% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.02 | 0.51 |
| Skew | 2.89 | -0.6 |
| Kurtosis | 225.01 | 15.16 |
| Expected Daily | -0.0% | 0.07% |
| Expected Monthly | -0.05% | 1.32% |
| Expected Yearly | -0.37% | 10.71% |
| Kelly Criterion | -1.68% | 3.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.22% | -2.42% |
| Expected Shortfall (cVaR) | -3.22% | -2.42% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.07 | 0.18 |
| Gain/Pain (1M) | 0.52 | 1.22 |
| Payoff Ratio | 0.91 | 0.82 |
| Profit Factor | 1.07 | 1.18 |
| Common Sense Ratio | 1.03 | 1.01 |
| CPC Index | 0.5 | 0.55 |
| Tail Ratio | 0.96 | 0.85 |
| Outlier Win Ratio | 7.03 | 3.74 |
| Outlier Loss Ratio | 6.25 | 3.67 |
| MTD | -7.04% | -2.9% |
| 3M | -7.47% | -6.74% |
| 6M | -9.47% | -2.26% |
| YTD | -9.63% | -8.25% |
| 1Y | -7.38% | 11.7% |
| 3Y (ann.) | -0.58% | 17.3% |
| 5Y (ann.) | -0.58% | 17.3% |
| 10Y (ann.) | -0.58% | 17.3% |
| All-time (ann.) | -0.58% | 17.3% |
| Best Day | 33.87% | 9.38% |
| Worst Day | -29.51% | -11.98% |
| Best Month | 5.03% | 12.68% |
| Worst Month | -9.85% | -12.51% |
| Best Year | 3.06% | 28.05% |
| Worst Year | -9.63% | -8.25% |
| Avg. Drawdown | -2.01% | -1.86% |
| Avg. Drawdown Days | 22 | 11 |
| Recovery Factor | -0.04 | 1.48 |
| Ulcer Index | 0.04 | 0.07 |
| Serenity Index | -5.8 | -0.85 |
| Avg. Up Month | 1.43% | 4.08% |
| Avg. Down Month | -2.98% | -4.68% |
| Win Days | 51.54% | 56.59% |
| Win Month | 61.29% | 70.97% |
| Win Quarter | 81.82% | 81.82% |
| Win Year | 75.0% | 75.0% |
| Beta | 0.35 | - |
| Alpha | -0.03 | - |
| Correlation | 26.88% | - |
| Treynor Ratio | -291.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 10.37 | 3.04 | 0.29 | - |
| 2020 | 15.86 | 2.67 | 0.17 | - |
| 2021 | 28.05 | 3.06 | 0.11 | - |
| 2022 | -8.25 | -9.63 | 1.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-08 | 2022-02-25 | -32.86 | 109 |
| 2020-01-13 | 2020-11-09 | -23.44 | 301 |
| 2021-02-17 | 2021-04-05 | -2.02 | 47 |
| 2020-11-10 | 2020-12-04 | -1.68 | 24 |
| 2019-09-13 | 2019-12-11 | -1.63 | 89 |
| 2021-01-22 | 2021-02-05 | -1.29 | 14 |
| 2021-09-17 | 2021-11-05 | -1.25 | 49 |
| 2019-08-12 | 2019-08-19 | -0.98 | 7 |
| 2021-07-14 | 2021-08-24 | -0.90 | 41 |
| 2020-12-21 | 2020-12-28 | -0.84 | 7 |