| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -48.6% | 28.37% |
| CAGR﹪ | -38.66% | 20.13% |
| Sharpe | -3.36 | -3.32 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -1.09 | -1.08 |
| Sortino | -3.29 | -3.97 |
| Smart Sortino | -1.07 | -1.29 |
| Sortino/√2 | -2.33 | -2.81 |
| Smart Sortino/√2 | -0.75 | -0.91 |
| Omega | 0.02 | 0.02 |
| Max Drawdown | -50.23% | -10.4% |
| Longest DD Days | 155 | 52 |
| Volatility (ann.) | 33.57% | 14.88% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | -0.77 | 1.94 |
| Skew | -12.98 | -0.14 |
| Kurtosis | 172.65 | 1.61 |
| Expected Daily | -0.2% | 0.08% |
| Expected Monthly | -3.84% | 1.48% |
| Expected Yearly | -19.9% | 8.68% |
| Kelly Criterion | -104.29% | 5.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.65% | -1.46% |
| Expected Shortfall (cVaR) | -3.65% | -1.46% |
| Max Consecutive Wins | 7 | 7 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | -0.7 | 0.26 |
| Gain/Pain (1M) | -0.93 | 1.33 |
| Payoff Ratio | 0.3 | 0.93 |
| Profit Factor | 0.3 | 1.26 |
| Common Sense Ratio | 0.23 | 1.14 |
| CPC Index | 0.05 | 0.63 |
| Tail Ratio | 0.79 | 0.91 |
| Outlier Win Ratio | 9.98 | 1.86 |
| Outlier Loss Ratio | 3.02 | 2.37 |
| MTD | -48.31% | -2.77% |
| 3M | -49.76% | -6.4% |
| 6M | -49.98% | -1.57% |
| YTD | -49.24% | -8.04% |
| 1Y | -49.32% | 13.29% |
| 3Y (ann.) | -38.66% | 20.13% |
| 5Y (ann.) | -38.66% | 20.13% |
| 10Y (ann.) | -38.66% | 20.13% |
| All-time (ann.) | -38.66% | 20.13% |
| Best Day | 0.77% | 4.21% |
| Worst Day | -30.7% | -3.53% |
| Best Month | 1.55% | 10.95% |
| Worst Month | -48.31% | -6.1% |
| Best Year | 1.97% | 29.88% |
| Worst Year | -49.24% | -8.04% |
| Avg. Drawdown | -2.66% | -1.39% |
| Avg. Drawdown Days | 20 | 7 |
| Recovery Factor | -0.97 | 2.73 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | -13.95 | -5.22 |
| Avg. Up Month | 0.71% | 4.53% |
| Avg. Down Month | -10.29% | -3.93% |
| Win Days | 52.8% | 54.52% |
| Win Month | 41.18% | 64.71% |
| Win Quarter | 50.0% | 83.33% |
| Win Year | 33.33% | 66.67% |
| Beta | -0.14 | - |
| Alpha | -0.41 | - |
| Correlation | -6.28% | - |
| Treynor Ratio | 1048.83% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 7.48 | 1.97 | 0.26 | - |
| 2021 | 29.88 | -0.70 | -0.02 | - |
| 2022 | -8.04 | -49.24 | 6.13 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-23 | 2022-02-25 | -50.23 | 155 |
| 2021-01-11 | 2021-06-10 | -1.69 | 150 |
| 2021-06-14 | 2021-07-02 | -0.68 | 18 |
| 2020-11-30 | 2020-12-08 | -0.56 | 8 |
| 2020-10-28 | 2020-11-05 | -0.37 | 8 |
| 2020-11-13 | 2020-11-17 | -0.28 | 4 |
| 2020-12-21 | 2021-01-08 | -0.28 | 18 |
| 2021-07-06 | 2021-07-16 | -0.28 | 10 |
| 2021-07-19 | 2021-07-23 | -0.22 | 4 |
| 2020-10-20 | 2020-10-27 | -0.20 | 7 |