| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -70.77% | 6.95% |
| CAGR﹪ | -64.12% | 5.76% |
| Sharpe | -1.22 | 41.19 |
| Prob. Sharpe Ratio | 7.22% | 100.0% |
| Smart Sharpe | -1.18 | 39.77 |
| Sortino | -1.39 | - |
| Smart Sortino | -1.34 | - |
| Sortino/√2 | -0.98 | - |
| Smart Sortino/√2 | -0.95 | - |
| Omega | 0.74 | 0.74 |
| Max Drawdown | -77.68% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 76.62% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -0.83 | - |
| Skew | -5.81 | 2.26 |
| Kurtosis | 65.74 | 6.61 |
| Expected Daily | -0.53% | 0.03% |
| Expected Monthly | -9.03% | 0.52% |
| Expected Yearly | -45.93% | 3.41% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.31% | -0.01% |
| Expected Shortfall (cVaR) | -8.31% | -0.01% |
| Max Consecutive Wins | 6 | 232 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.26 | - |
| Gain/Pain (1M) | -0.65 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.74 | - |
| Common Sense Ratio | 0.56 | - |
| CPC Index | - | - |
| Tail Ratio | 0.76 | 2.31 |
| Outlier Win Ratio | 1.98 | 147.53 |
| Outlier Loss Ratio | 1.56 | - |
| MTD | 24.66% | 0.58% |
| 3M | -50.62% | 1.23% |
| 6M | -58.01% | 2.41% |
| YTD | -62.98% | 2.61% |
| 1Y | -71.07% | 5.89% |
| 3Y (ann.) | -64.12% | 5.76% |
| 5Y (ann.) | -64.12% | 5.76% |
| 10Y (ann.) | -64.12% | 5.76% |
| All-time (ann.) | -64.12% | 5.76% |
| Best Day | 15.79% | 0.08% |
| Worst Day | -54.0% | 0.0% |
| Best Month | 24.66% | 0.71% |
| Worst Month | -60.39% | 0.0% |
| Best Year | -21.03% | 4.22% |
| Worst Year | -62.98% | 2.61% |
| Avg. Drawdown | -32.83% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.91 | - |
| Ulcer Index | 0.31 | 0.0 |
| Serenity Index | -0.2 | - |
| Avg. Up Month | 12.09% | 0.52% |
| Avg. Down Month | - | - |
| Win Days | 49.34% | 100.0% |
| Win Month | 33.33% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -3.58 | - |
| Alpha | -0.68 | - |
| Correlation | -0.82% | - |
| Treynor Ratio | 19.79% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.22 | -21.03 | -4.98 | - |
| 2022 | 2.61 | -62.98 | -24.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-07-01 | 2022-07-12 | -77.68 | 376 |
| 2021-05-04 | 2021-06-24 | -18.72 | 51 |
| 2021-06-25 | 2021-06-28 | -2.10 | 3 |