| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 92.0% | 96.0% |
| Cumulative Return | 0.9% | 1.23% |
| CAGR﹪ | 11.11% | 15.53% |
| Sharpe | 0.56 | 23.03 |
| Prob. Sharpe Ratio | 56.69% | - |
| Smart Sharpe | 0.48 | 19.53 |
| Sortino | 0.94 | - |
| Smart Sortino | 0.8 | - |
| Sortino/√2 | 0.66 | - |
| Smart Sortino/√2 | 0.56 | - |
| Omega | 1.11 | 1.11 |
| Max Drawdown | -5.98% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.18% | 0.58% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 1.86 | - |
| Skew | 0.65 | 1.58 |
| Kurtosis | 1.18 | 1.28 |
| Expected Daily | 0.04% | 0.05% |
| Expected Monthly | 0.45% | 0.61% |
| Expected Yearly | 0.9% | 1.23% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.15% | -0.01% |
| Expected Shortfall (cVaR) | -2.15% | -0.01% |
| Max Consecutive Wins | 3 | 22 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.11 | - |
| Gain/Pain (1M) | 0.53 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.11 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.07 | 3.59 |
| Outlier Win Ratio | 1.64 | 30.95 |
| Outlier Loss Ratio | 1.43 | - |
| MTD | 3.01% | 0.71% |
| 3M | 0.9% | 1.23% |
| 6M | 0.9% | 1.23% |
| YTD | 0.9% | 1.23% |
| 1Y | 0.9% | 1.23% |
| 3Y (ann.) | 11.11% | 15.53% |
| 5Y (ann.) | 11.11% | 15.53% |
| 10Y (ann.) | 11.11% | 15.53% |
| All-time (ann.) | 11.11% | 15.53% |
| Best Day | 3.42% | 0.13% |
| Worst Day | -2.42% | 0.0% |
| Best Month | 3.01% | 0.71% |
| Worst Month | -2.05% | 0.52% |
| Best Year | 0.9% | 1.23% |
| Worst Year | 0.9% | 1.23% |
| Avg. Drawdown | -5.98% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.15 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | 0.04 | - |
| Avg. Up Month | 3.01% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 42.86% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | -6.68 | - |
| Alpha | 1.02 | - |
| Correlation | -18.42% | - |
| Treynor Ratio | -0.13% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 1.23 | 0.90 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -5.98 | 29 |