| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -2.55% | 2.54% |
| CAGR﹪ | -9.46% | 10.12% |
| Sharpe | -0.31 | 36.58 |
| Prob. Sharpe Ratio | 43.8% | 100.0% |
| Smart Sharpe | -0.21 | 25.41 |
| Sortino | -0.48 | - |
| Smart Sortino | -0.33 | - |
| Sortino/√2 | -0.34 | - |
| Smart Sortino/√2 | -0.23 | - |
| Omega | 0.95 | 0.95 |
| Max Drawdown | -7.81% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 23.1% | 0.26% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -1.21 | - |
| Skew | 0.97 | 2.19 |
| Kurtosis | 4.8 | 5.02 |
| Expected Daily | -0.04% | 0.04% |
| Expected Monthly | -0.64% | 0.63% |
| Expected Yearly | -1.28% | 1.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.42% | -0.01% |
| Expected Shortfall (cVaR) | -2.42% | -0.01% |
| Max Consecutive Wins | 3 | 66 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.05 | - |
| Gain/Pain (1M) | -0.44 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.95 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 1.1 | 2.93 |
| Outlier Win Ratio | 1.86 | 54.29 |
| Outlier Loss Ratio | 1.49 | - |
| MTD | 0.07% | 0.71% |
| 3M | -1.65% | 2.37% |
| 6M | -2.55% | 2.54% |
| YTD | -1.06% | 1.36% |
| 1Y | -2.55% | 2.54% |
| 3Y (ann.) | -9.46% | 10.12% |
| 5Y (ann.) | -9.46% | 10.12% |
| 10Y (ann.) | -9.46% | 10.12% |
| All-time (ann.) | -9.46% | 10.12% |
| Best Day | 6.24% | 0.09% |
| Worst Day | -4.22% | 0.0% |
| Best Month | 1.78% | 0.71% |
| Worst Month | -3.22% | 0.51% |
| Best Year | -1.06% | 1.36% |
| Worst Year | -1.5% | 1.16% |
| Avg. Drawdown | -5.05% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.33 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | -0.14 | - |
| Avg. Up Month | 0.92% | 0.68% |
| Avg. Down Month | - | - |
| Win Days | 45.45% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -9.05 | - |
| Alpha | 0.78 | - |
| Correlation | -10.12% | - |
| Treynor Ratio | 0.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.16 | -1.50 | -1.30 | - |
| 2022 | 1.36 | -1.06 | -0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-25 | 2022-02-24 | -7.81 | 30 |
| 2021-11-23 | 2022-01-05 | -5.44 | 43 |
| 2022-02-25 | 2022-02-25 | -4.22 | 0 |
| 2022-01-06 | 2022-01-24 | -2.73 | 18 |