| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -16.07% | 10.89% |
| CAGR﹪ | -8.55% | 5.42% |
| Sharpe | -0.23 | 0.42 |
| Prob. Sharpe Ratio | 36.63% | 72.61% |
| Smart Sharpe | -0.19 | 0.35 |
| Sortino | -0.26 | 0.71 |
| Smart Sortino | -0.22 | 0.6 |
| Sortino/√2 | -0.19 | 0.51 |
| Smart Sortino/√2 | -0.16 | 0.42 |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -31.85% | -15.67% |
| Longest DD Days | 479 | 707 |
| Volatility (ann.) | 24.48% | 15.44% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.27 | 0.35 |
| Skew | -10.05 | 2.16 |
| Kurtosis | 183.96 | 15.8 |
| Expected Daily | -0.04% | 0.02% |
| Expected Monthly | -0.73% | 0.43% |
| Expected Yearly | -5.67% | 3.51% |
| Kelly Criterion | 3.34% | 3.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.56% | -1.57% |
| Expected Shortfall (cVaR) | -2.56% | -1.57% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | -0.06 | 0.08 |
| Gain/Pain (1M) | -0.35 | 0.49 |
| Payoff Ratio | 1.15 | 1.22 |
| Profit Factor | 0.94 | 1.08 |
| Common Sense Ratio | 1.02 | 1.29 |
| CPC Index | 0.52 | 0.62 |
| Tail Ratio | 1.09 | 1.2 |
| Outlier Win Ratio | 3.69 | 3.57 |
| Outlier Loss Ratio | 3.04 | 3.67 |
| MTD | -21.06% | 7.35% |
| 3M | -22.48% | 10.68% |
| 6M | -21.66% | 12.57% |
| YTD | -21.79% | 11.14% |
| 1Y | -20.82% | 12.86% |
| 3Y (ann.) | -8.55% | 5.42% |
| 5Y (ann.) | -8.55% | 5.42% |
| 10Y (ann.) | -8.55% | 5.42% |
| All-time (ann.) | -8.55% | 5.42% |
| Best Day | 8.48% | 8.19% |
| Worst Day | -26.7% | -3.01% |
| Best Month | 4.3% | 7.35% |
| Worst Month | -21.06% | -5.72% |
| Best Year | 7.08% | 11.14% |
| Worst Year | -21.79% | -0.58% |
| Avg. Drawdown | -5.52% | -7.11% |
| Avg. Drawdown Days | 62 | 237 |
| Recovery Factor | -0.5 | 0.69 |
| Ulcer Index | 0.06 | 0.09 |
| Serenity Index | -0.44 | 0.09 |
| Avg. Up Month | 1.82% | 2.51% |
| Avg. Down Month | -1.46% | -3.04% |
| Win Days | 48.25% | 46.75% |
| Win Month | 54.17% | 54.17% |
| Win Quarter | 44.44% | 55.56% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.18 | - |
| Alpha | -0.07 | - |
| Correlation | 11.44% | - |
| Treynor Ratio | -88.56% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -0.58 | 7.08 | -12.18 | + |
| 2021 | 0.36 | 0.22 | 0.61 | - |
| 2022 | 11.14 | -21.79 | -1.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -31.85 | 479 |
| 2020-04-22 | 2020-07-31 | -7.84 | 100 |
| 2020-03-19 | 2020-04-21 | -6.38 | 33 |
| 2020-09-30 | 2020-10-29 | -3.56 | 29 |
| 2020-03-13 | 2020-03-18 | -3.54 | 5 |
| 2020-08-27 | 2020-09-02 | -2.35 | 6 |
| 2020-09-09 | 2020-09-21 | -2.09 | 12 |
| 2020-08-03 | 2020-08-20 | -1.86 | 17 |
| 2020-08-24 | 2020-08-25 | -0.62 | 1 |
| 2020-09-03 | 2020-09-07 | -0.44 | 4 |