| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -40.89% | 6.95% |
| CAGR﹪ | -35.47% | 5.76% |
| Sharpe | -0.86 | 41.19 |
| Prob. Sharpe Ratio | 16.23% | 100.0% |
| Smart Sharpe | -0.82 | 39.25 |
| Sortino | -0.98 | - |
| Smart Sortino | -0.94 | - |
| Sortino/√2 | -0.69 | - |
| Smart Sortino/√2 | -0.66 | - |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -48.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.18% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.74 | - |
| Skew | -6.42 | 2.26 |
| Kurtosis | 79.76 | 6.61 |
| Expected Daily | -0.23% | 0.03% |
| Expected Monthly | -3.96% | 0.52% |
| Expected Yearly | -23.11% | 3.41% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.26% | -0.01% |
| Expected Shortfall (cVaR) | -5.26% | -0.01% |
| Max Consecutive Wins | 5 | 232 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.24 | - |
| Gain/Pain (1M) | -0.63 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.76 | - |
| Common Sense Ratio | 0.63 | - |
| CPC Index | - | - |
| Tail Ratio | 0.83 | 2.31 |
| Outlier Win Ratio | 2.88 | 103.59 |
| Outlier Loss Ratio | 1.92 | - |
| MTD | 12.45% | 0.58% |
| 3M | -39.36% | 1.23% |
| 6M | -37.15% | 2.41% |
| YTD | -36.33% | 2.61% |
| 1Y | -40.04% | 5.89% |
| 3Y (ann.) | -35.47% | 5.76% |
| 5Y (ann.) | -35.47% | 5.76% |
| 10Y (ann.) | -35.47% | 5.76% |
| All-time (ann.) | -35.47% | 5.76% |
| Best Day | 14.24% | 0.08% |
| Worst Day | -35.95% | 0.0% |
| Best Month | 12.45% | 0.71% |
| Worst Month | -46.07% | 0.0% |
| Best Year | -7.15% | 4.22% |
| Worst Year | -36.33% | 2.61% |
| Avg. Drawdown | -26.85% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.85 | - |
| Ulcer Index | 0.15 | 0.0 |
| Serenity Index | -0.31 | - |
| Avg. Up Month | 3.27% | 0.59% |
| Avg. Down Month | - | - |
| Win Days | 49.54% | 100.0% |
| Win Month | 58.33% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -6.5 | - |
| Alpha | 0.05 | - |
| Correlation | -2.33% | - |
| Treynor Ratio | 6.29% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.22 | -7.15 | -1.69 | - |
| 2022 | 2.61 | -36.33 | -13.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-02 | 2022-07-12 | -48.16 | 405 |
| 2021-05-04 | 2021-06-01 | -5.54 | 28 |