| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | 25.21% | 5.73% |
| CAGR﹪ | 9.2% | 2.21% |
| Sharpe | -6.62 | -6.0 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.53 | -3.2 |
| Sortino | -8.25 | -6.21 |
| Smart Sortino | -4.4 | -3.31 |
| Sortino/√2 | -5.84 | -4.39 |
| Smart Sortino/√2 | -3.11 | -2.34 |
| Omega | 0.14 | 0.14 |
| Max Drawdown | -27.89% | -51.26% |
| Longest DD Days | 268 | 300 |
| Volatility (ann.) | 29.57% | 33.43% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.33 | 0.04 |
| Skew | 5.33 | -5.25 |
| Kurtosis | 230.58 | 111.56 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.73% | 0.18% |
| Expected Yearly | 5.78% | 1.4% |
| Kelly Criterion | 0.66% | 7.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.01% | -3.43% |
| Expected Shortfall (cVaR) | -3.01% | -3.43% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 9 | 5 |
| Gain/Pain Ratio | 0.18 | 0.07 |
| Gain/Pain (1M) | 2.19 | 0.33 |
| Payoff Ratio | 1.06 | 0.92 |
| Profit Factor | 1.18 | 1.07 |
| Common Sense Ratio | 1.29 | 0.95 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 1.1 | 0.89 |
| Outlier Win Ratio | 4.43 | 3.17 |
| Outlier Loss Ratio | 6.08 | 3.13 |
| MTD | -0.69% | -30.02% |
| 3M | 2.28% | -36.5% |
| 6M | 1.84% | -35.02% |
| YTD | -0.08% | -34.42% |
| 1Y | 4.14% | -22.51% |
| 3Y (ann.) | 9.2% | 2.21% |
| 5Y (ann.) | 9.2% | 2.21% |
| 10Y (ann.) | 9.2% | 2.21% |
| All-time (ann.) | 9.2% | 2.21% |
| Best Day | 34.01% | 20.04% |
| Worst Day | -25.87% | -33.28% |
| Best Month | 8.95% | 15.51% |
| Worst Month | -2.95% | -30.02% |
| Best Year | 23.75% | 21.79% |
| Worst Year | -1.85% | -34.42% |
| Avg. Drawdown | -3.72% | -3.39% |
| Avg. Drawdown Days | 40 | 19 |
| Recovery Factor | 0.9 | 0.11 |
| Ulcer Index | 0.04 | 0.09 |
| Serenity Index | -51.7 | -9.02 |
| Avg. Up Month | 1.75% | 4.04% |
| Avg. Down Month | -0.69% | -30.02% |
| Win Days | 48.89% | 55.62% |
| Win Month | 64.52% | 67.74% |
| Win Quarter | 63.64% | 72.73% |
| Win Year | 50.0% | 75.0% |
| Beta | 0.47 | - |
| Alpha | 0.09 | - |
| Correlation | 53.63% | - |
| Treynor Ratio | -1422.45% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 15.30 | -1.85 | -0.12 | - |
| 2020 | 14.82 | 23.75 | 1.60 | + |
| 2021 | 21.79 | 3.18 | 0.15 | - |
| 2022 | -34.42 | -0.08 | 0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -27.89 | 29 |
| 2021-04-12 | 2022-01-05 | -8.12 | 268 |
| 2020-03-11 | 2020-03-27 | -7.09 | 16 |
| 2020-03-31 | 2020-07-24 | -6.65 | 115 |
| 2019-09-04 | 2020-03-05 | -6.33 | 183 |
| 2020-11-03 | 2021-04-05 | -5.83 | 153 |
| 2022-01-06 | 2022-01-18 | -2.82 | 12 |
| 2020-10-08 | 2020-11-02 | -2.75 | 25 |
| 2020-08-27 | 2020-09-02 | -2.53 | 6 |
| 2020-09-09 | 2020-09-25 | -2.02 | 16 |