| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -29.65% | 9.84% |
| CAGR﹪ | -24.49% | 7.79% |
| Sharpe | -1.27 | 0.61 |
| Prob. Sharpe Ratio | 2.44% | 76.45% |
| Smart Sharpe | -0.77 | 0.37 |
| Sortino | -1.37 | 1.1 |
| Smart Sortino | -0.83 | 0.67 |
| Sortino/√2 | -0.97 | 0.78 |
| Smart Sortino/√2 | -0.59 | 0.47 |
| Omega | 0.71 | 0.71 |
| Max Drawdown | -31.81% | -10.2% |
| Longest DD Days | 392 | 284 |
| Volatility (ann.) | 20.2% | 13.73% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -0.77 | 0.76 |
| Skew | -7.62 | 2.93 |
| Kurtosis | 82.17 | 24.96 |
| Expected Daily | -0.11% | 0.03% |
| Expected Monthly | -2.17% | 0.59% |
| Expected Yearly | -11.06% | 3.18% |
| Kelly Criterion | -9.51% | 3.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.19% | -1.39% |
| Expected Shortfall (cVaR) | -2.19% | -1.39% |
| Max Consecutive Wins | 8 | 5 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | -0.29 | 0.12 |
| Gain/Pain (1M) | -0.77 | 1.02 |
| Payoff Ratio | 1.0 | 1.24 |
| Profit Factor | 0.71 | 1.12 |
| Common Sense Ratio | 0.84 | 1.48 |
| CPC Index | 0.32 | 0.65 |
| Tail Ratio | 1.18 | 1.31 |
| Outlier Win Ratio | 3.57 | 3.03 |
| Outlier Loss Ratio | 2.91 | 3.68 |
| MTD | -25.58% | 7.35% |
| 3M | -24.85% | 10.68% |
| 6M | -27.81% | 12.57% |
| YTD | -25.14% | 11.14% |
| 1Y | -29.18% | 12.86% |
| 3Y (ann.) | -24.49% | 7.79% |
| 5Y (ann.) | -24.49% | 7.79% |
| 10Y (ann.) | -24.49% | 7.79% |
| All-time (ann.) | -24.49% | 7.79% |
| Best Day | 2.04% | 8.19% |
| Worst Day | -14.77% | -2.64% |
| Best Month | 2.7% | 7.35% |
| Worst Month | -25.58% | -2.59% |
| Best Year | 2.81% | 11.14% |
| Worst Year | -25.14% | -1.52% |
| Avg. Drawdown | -8.01% | -3.32% |
| Avg. Drawdown Days | 89 | 55 |
| Recovery Factor | -0.93 | 0.97 |
| Ulcer Index | 0.07 | 0.05 |
| Serenity Index | -0.49 | 0.24 |
| Avg. Up Month | 1.02% | 1.97% |
| Avg. Down Month | -2.23% | -1.47% |
| Win Days | 45.11% | 46.86% |
| Win Month | 43.75% | 56.25% |
| Win Quarter | 16.67% | 50.0% |
| Win Year | 33.33% | 66.67% |
| Beta | 0.25 | - |
| Alpha | -0.28 | - |
| Correlation | 16.67% | - |
| Treynor Ratio | -120.86% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -1.52 | 2.81 | -1.85 | + |
| 2021 | 0.36 | -8.59 | -24.13 | - |
| 2022 | 11.14 | -25.14 | -2.26 | - |
| 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 |