| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.47% | 44.01% |
| CAGR﹪ | -4.12% | 16.68% |
| Sharpe | -2.45 | -1.91 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -2.34 | -1.83 |
| Sortino | -2.91 | -2.43 |
| Smart Sortino | -2.77 | -2.31 |
| Sortino/√2 | -2.05 | -1.72 |
| Smart Sortino/√2 | -1.96 | -1.64 |
| Omega | 0.61 | 0.61 |
| Max Drawdown | -52.16% | -22.99% |
| Longest DD Days | 273 | 198 |
| Volatility (ann.) | 28.5% | 25.83% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.08 | 0.73 |
| Skew | -1.26 | -0.5 |
| Kurtosis | 12.3 | 12.12 |
| Expected Daily | -0.02% | 0.07% |
| Expected Monthly | -0.34% | 1.27% |
| Expected Yearly | -3.26% | 12.93% |
| Kelly Criterion | -7.48% | 3.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.95% | -2.6% |
| Expected Shortfall (cVaR) | -2.95% | -2.6% |
| Max Consecutive Wins | 8 | 7 |
| Max Consecutive Losses | 11 | 5 |
| Gain/Pain Ratio | -0.0 | 0.17 |
| Gain/Pain (1M) | -0.01 | 0.98 |
| Payoff Ratio | 0.72 | 0.88 |
| Profit Factor | 1.0 | 1.17 |
| Common Sense Ratio | 0.86 | 1.02 |
| CPC Index | 0.4 | 0.56 |
| Tail Ratio | 0.87 | 0.88 |
| Outlier Win Ratio | 4.09 | 4.1 |
| Outlier Loss Ratio | 4.03 | 4.9 |
| MTD | -6.82% | 5.72% |
| 3M | -11.3% | -9.94% |
| 6M | -41.02% | -10.09% |
| YTD | -46.25% | -15.6% |
| 1Y | -44.29% | -6.12% |
| 3Y (ann.) | -4.12% | 16.68% |
| 5Y (ann.) | -4.12% | 16.68% |
| 10Y (ann.) | -4.12% | 16.68% |
| All-time (ann.) | -4.12% | 16.68% |
| Best Day | 10.2% | 9.39% |
| Worst Day | -13.96% | -11.98% |
| Best Month | 15.17% | 12.82% |
| Worst Month | -32.01% | -10.21% |
| Best Year | 39.5% | 31.37% |
| Worst Year | -46.25% | -15.6% |
| Avg. Drawdown | -3.4% | -2.06% |
| Avg. Drawdown Days | 18 | 11 |
| Recovery Factor | -0.18 | 1.91 |
| Ulcer Index | 0.18 | 0.07 |
| Serenity Index | -0.33 | -1.06 |
| Avg. Up Month | 4.72% | 4.87% |
| Avg. Down Month | -8.51% | -4.08% |
| Win Days | 54.86% | 54.61% |
| Win Month | 62.07% | 65.52% |
| Win Quarter | 63.64% | 72.73% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.38 | - |
| Alpha | -0.08 | - |
| Correlation | 34.88% | - |
| Treynor Ratio | -284.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 31.37 | 39.50 | 1.26 | + |
| 2021 | 29.88 | 20.73 | 0.69 | - |
| 2022 | -15.60 | -46.25 | 2.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2022-07-21 | -52.16 | 273 |
| 2020-03-11 | 2020-03-26 | -13.59 | 15 |
| 2020-08-14 | 2020-11-12 | -10.59 | 90 |
| 2020-04-13 | 2020-05-19 | -7.23 | 36 |
| 2021-01-15 | 2021-03-11 | -6.32 | 55 |
| 2021-07-08 | 2021-08-10 | -4.29 | 33 |
| 2020-06-04 | 2020-07-06 | -4.10 | 32 |
| 2021-03-17 | 2021-04-16 | -4.04 | 30 |
| 2020-03-27 | 2020-03-31 | -3.89 | 4 |
| 2020-12-18 | 2020-12-29 | -2.85 | 11 |