| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -23.39% | 11.56% |
| CAGR﹪ | -20.07% | 9.64% |
| Sharpe | -0.63 | 34.09 |
| Prob. Sharpe Ratio | 24.73% | 100.0% |
| Smart Sharpe | -0.55 | 30.08 |
| Sortino | -0.89 | - |
| Smart Sortino | -0.78 | - |
| Sortino/√2 | -0.63 | - |
| Smart Sortino/√2 | -0.55 | - |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -40.79% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 28.84% | 0.27% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.49 | - |
| Skew | 0.16 | 0.77 |
| Kurtosis | 1.33 | 1.68 |
| Expected Daily | -0.09% | 0.04% |
| Expected Monthly | -1.76% | 0.73% |
| Expected Yearly | -8.5% | 3.71% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.06% | -0.01% |
| Expected Shortfall (cVaR) | -3.06% | -0.01% |
| Max Consecutive Wins | 6 | 301 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.1 | - |
| Gain/Pain (1M) | -0.58 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.9 | - |
| Common Sense Ratio | 0.95 | - |
| CPC Index | - | - |
| Tail Ratio | 1.05 | 8.37 |
| Outlier Win Ratio | 1.76 | 69.66 |
| Outlier Loss Ratio | 1.58 | - |
| MTD | 0.88% | 1.17% |
| 3M | -5.15% | 3.2% |
| 6M | -5.81% | 5.82% |
| YTD | 2.47% | 2.17% |
| 1Y | -31.23% | 9.24% |
| 3Y (ann.) | -20.07% | 9.64% |
| 5Y (ann.) | -20.07% | 9.64% |
| 10Y (ann.) | -20.07% | 9.64% |
| All-time (ann.) | -20.07% | 9.64% |
| Best Day | 6.35% | 0.09% |
| Worst Day | -6.73% | 0.0% |
| Best Month | 7.7% | 1.17% |
| Worst Month | -14.82% | 0.17% |
| Best Year | 2.47% | 8.39% |
| Worst Year | -26.38% | 0.74% |
| Avg. Drawdown | -8.0% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.57 | - |
| Ulcer Index | 0.28 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 2.31% | 0.78% |
| Avg. Down Month | - | - |
| Win Days | 44.82% | 100.0% |
| Win Month | 40.0% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | 6.61 | - |
| Alpha | -0.78 | - |
| Correlation | 6.14% | - |
| Treynor Ratio | -3.54% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 0.74 | 1.56 | 2.12 | + |
| 2021 | 8.39 | -26.38 | -3.14 | - |
| 2022 | 2.17 | 2.47 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-02-18 | 2022-02-25 | -40.79 | 372 |
| 2021-01-26 | 2021-02-10 | -6.33 | 15 |
| 2020-12-23 | 2020-12-30 | -4.56 | 7 |
| 2021-01-13 | 2021-01-20 | -2.00 | 7 |
| 2021-01-21 | 2021-01-22 | -0.94 | 1 |
| 2021-02-12 | 2021-02-16 | -0.81 | 4 |
| 2021-01-11 | 2021-01-12 | -0.54 | 1 |