| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -9.47% | -5.9% |
| CAGR﹪ | -4.12% | -2.54% |
| Sharpe | -7.39 | -5.58 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.2 | -5.44 |
| Sortino | -7.32 | -5.93 |
| Smart Sortino | -7.13 | -5.77 |
| Sortino/√2 | -5.18 | -4.19 |
| Smart Sortino/√2 | -5.04 | -4.08 |
| Omega | 0.22 | 0.22 |
| Max Drawdown | -52.16% | -51.26% |
| Longest DD Days | 273 | 273 |
| Volatility (ann.) | 28.29% | 36.57% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.08 | -0.05 |
| Skew | -1.37 | -4.31 |
| Kurtosis | 13.27 | 86.77 |
| Expected Daily | -0.02% | -0.01% |
| Expected Monthly | -0.34% | -0.21% |
| Expected Yearly | -3.26% | -2.01% |
| Kelly Criterion | 2.47% | -3.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.93% | -3.77% |
| Expected Shortfall (cVaR) | -2.93% | -3.77% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.0 | 0.03 |
| Gain/Pain (1M) | -0.01 | 0.15 |
| Payoff Ratio | 0.86 | 0.79 |
| Profit Factor | 1.0 | 1.03 |
| Common Sense Ratio | 0.85 | 0.89 |
| CPC Index | 0.47 | 0.44 |
| Tail Ratio | 0.85 | 0.86 |
| Outlier Win Ratio | 4.06 | 3.71 |
| Outlier Loss Ratio | 4.12 | 4.09 |
| MTD | -6.82% | -5.77% |
| 3M | -11.3% | -10.58% |
| 6M | -41.02% | -40.72% |
| YTD | -46.25% | -44.68% |
| 1Y | -44.29% | -42.46% |
| 3Y (ann.) | -4.12% | -2.54% |
| 5Y (ann.) | -4.12% | -2.54% |
| 10Y (ann.) | -4.12% | -2.54% |
| All-time (ann.) | -4.12% | -2.54% |
| Best Day | 10.2% | 20.04% |
| Worst Day | -13.96% | -33.28% |
| Best Month | 15.17% | 15.51% |
| Worst Month | -32.01% | -30.02% |
| Best Year | 39.5% | 39.67% |
| Worst Year | -46.25% | -44.68% |
| Avg. Drawdown | -3.4% | -3.42% |
| Avg. Drawdown Days | 18 | 18 |
| Recovery Factor | -0.18 | -0.12 |
| Ulcer Index | 0.18 | 0.17 |
| Serenity Index | -2.09 | -2.82 |
| Avg. Up Month | 4.79% | 4.8% |
| Avg. Down Month | -7.29% | -7.03% |
| Win Days | 54.95% | 54.36% |
| Win Month | 62.07% | 58.62% |
| Win Quarter | 63.64% | 63.64% |
| Win Year | 66.67% | 66.67% |
| Beta | 0.49 | - |
| Alpha | -0.03 | - |
| Correlation | 63.75% | - |
| Treynor Ratio | -1438.6% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 39.67 | 39.50 | 1.00 | - |
| 2021 | 21.79 | 20.73 | 0.95 | - |
| 2022 | -44.68 | -46.25 | 1.04 | - |
| 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 |
| 2020-04-10 | 2020-05-19 | -7.23 | 39 |
| 2021-01-15 | 2021-03-12 | -6.32 | 56 |
| 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 |