| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | 5.61% | -33.58% |
| CAGR﹪ | 28.71% | -84.9% |
| Sharpe | -10.39 | -3.72 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -10.25 | -3.67 |
| Sortino | -9.3 | -4.11 |
| Smart Sortino | -9.18 | -4.05 |
| Sortino/√2 | -6.58 | -2.9 |
| Smart Sortino/√2 | -6.49 | -2.86 |
| Omega | 0.21 | 0.21 |
| Max Drawdown | -6.37% | -46.59% |
| Longest DD Days | 50 | 51 |
| Volatility (ann.) | 17.53% | 93.15% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 4.51 | -1.82 |
| Skew | 0.24 | -2.61 |
| Kurtosis | -0.48 | 20.24 |
| Expected Daily | 0.1% | -0.74% |
| Expected Monthly | 1.84% | -12.75% |
| Expected Yearly | 2.77% | -18.5% |
| Kelly Criterion | 4.8% | 9.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.71% | -10.2% |
| Expected Shortfall (cVaR) | -1.71% | -10.2% |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.27 | -0.33 |
| Gain/Pain (1M) | 512.95 | -0.95 |
| Payoff Ratio | 1.2 | 1.14 |
| Profit Factor | 1.27 | 0.67 |
| Common Sense Ratio | 1.42 | 0.36 |
| CPC Index | 0.73 | 0.39 |
| Tail Ratio | 1.12 | 0.54 |
| Outlier Win Ratio | 6.74 | 3.27 |
| Outlier Loss Ratio | 14.71 | 3.26 |
| MTD | 2.31% | -30.02% |
| 3M | 5.61% | -33.58% |
| 6M | 5.61% | -33.58% |
| YTD | 2.16% | -34.42% |
| 1Y | 5.61% | -33.58% |
| 3Y (ann.) | 28.71% | -84.9% |
| 5Y (ann.) | 28.71% | -84.9% |
| 10Y (ann.) | 28.71% | -84.9% |
| All-time (ann.) | 28.71% | -84.9% |
| Best Day | 2.71% | 20.04% |
| Worst Day | -1.95% | -33.28% |
| Best Month | 3.38% | 1.29% |
| Worst Month | -0.15% | -30.02% |
| Best Year | 3.38% | 1.29% |
| Worst Year | 2.16% | -34.42% |
| Avg. Drawdown | -1.89% | -25.81% |
| Avg. Drawdown Days | 14 | 36 |
| Recovery Factor | 0.88 | -0.72 |
| Ulcer Index | 0.03 | 0.11 |
| Serenity Index | -38.74 | -17.69 |
| Avg. Up Month | 3.38% | 1.29% |
| Avg. Down Month | -0.15% | -6.29% |
| Win Days | 48.15% | 51.85% |
| Win Month | 66.67% | 33.33% |
| Win Quarter | 100.0% | 50.0% |
| Win Year | 100.0% | 50.0% |
| Beta | -0.02 | - |
| Alpha | 0.23 | - |
| Correlation | -12.74% | - |
| Treynor Ratio | 28961.07% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.29 | 3.38 | 2.63 | + |
| 2022 | -34.42 | 2.16 | -0.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-06 | 2022-02-25 | -6.37 | 50 |
| 2021-12-09 | 2021-12-23 | -2.01 | 14 |
| 2021-12-24 | 2021-12-27 | -0.68 | 3 |
| 2021-12-28 | 2021-12-29 | -0.20 | 1 |
| 2021-12-30 | 2022-01-03 | -0.20 | 4 |