| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -29.65% | -15.78% |
| CAGR﹪ | -24.49% | -12.82% |
| Sharpe | -11.6 | -5.19 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -7.01 | -3.13 |
| Sortino | -9.45 | -5.47 |
| Smart Sortino | -5.71 | -3.3 |
| Sortino/√2 | -6.68 | -3.87 |
| Smart Sortino/√2 | -4.04 | -2.34 |
| Omega | 0.05 | 0.05 |
| Max Drawdown | -31.81% | -51.26% |
| Longest DD Days | 392 | 127 |
| Volatility (ann.) | 20.2% | 41.03% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.77 | -0.25 |
| Skew | -7.62 | -5.58 |
| Kurtosis | 82.17 | 97.78 |
| Expected Daily | -0.11% | -0.05% |
| Expected Monthly | -2.17% | -1.07% |
| Expected Yearly | -11.06% | -5.56% |
| Kelly Criterion | -50.85% | -19.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.19% | -4.27% |
| Expected Shortfall (cVaR) | -2.19% | -4.27% |
| Max Consecutive Wins | 8 | 9 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.29 | -0.03 |
| Gain/Pain (1M) | -0.77 | -0.13 |
| Payoff Ratio | 0.57 | 0.58 |
| Profit Factor | 0.71 | 0.97 |
| Common Sense Ratio | 0.84 | 0.83 |
| CPC Index | 0.18 | 0.31 |
| Tail Ratio | 1.18 | 0.85 |
| Outlier Win Ratio | 4.62 | 2.61 |
| Outlier Loss Ratio | 5.82 | 2.9 |
| MTD | -25.58% | -30.02% |
| 3M | -24.85% | -36.5% |
| 6M | -27.81% | -35.02% |
| YTD | -25.14% | -34.42% |
| 1Y | -29.18% | -22.51% |
| 3Y (ann.) | -24.49% | -12.82% |
| 5Y (ann.) | -24.49% | -12.82% |
| 10Y (ann.) | -24.49% | -12.82% |
| All-time (ann.) | -24.49% | -12.82% |
| Best Day | 2.04% | 20.04% |
| Worst Day | -14.77% | -33.28% |
| Best Month | 2.7% | 6.87% |
| Worst Month | -25.58% | -30.02% |
| Best Year | 2.81% | 21.79% |
| Worst Year | -25.14% | -34.42% |
| Avg. Drawdown | -8.01% | -3.24% |
| Avg. Drawdown Days | 89 | 13 |
| Recovery Factor | -0.93 | -0.31 |
| Ulcer Index | 0.07 | 0.08 |
| Serenity Index | -12.01 | -15.8 |
| Avg. Up Month | 2.01% | 3.22% |
| Avg. Down Month | -13.03% | -15.13% |
| Win Days | 45.11% | 56.29% |
| Win Month | 43.75% | 56.25% |
| Win Quarter | 16.67% | 66.67% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.0 | - |
| Alpha | -0.26 | - |
| Correlation | 0.14% | - |
| Treynor Ratio | -1059779.95% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 5.45 | 2.81 | 0.52 | - |
| 2021 | 21.79 | -8.59 | -0.39 | - |
| 2022 | -34.42 | -25.14 | 0.73 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-29 | 2022-02-25 | -31.81 | 392 |
| 2021-01-04 | 2021-01-28 | -3.12 | 24 |
| 2020-12-01 | 2020-12-21 | -2.93 | 20 |
| 2020-12-23 | 2020-12-30 | -2.19 | 7 |
| 2020-11-26 | 2020-11-27 | -0.02 | 1 |