| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | -26.1% | 6.95% |
| CAGR﹪ | -22.28% | 5.76% |
| Sharpe | -0.44 | 41.19 |
| Prob. Sharpe Ratio | 31.72% | 100.0% |
| Smart Sharpe | -0.44 | 41.12 |
| Sortino | -0.5 | - |
| Smart Sortino | -0.5 | - |
| Sortino/√2 | -0.35 | - |
| Smart Sortino/√2 | -0.35 | - |
| Omega | 0.86 | 0.86 |
| Max Drawdown | -43.76% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 45.53% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.51 | - |
| Skew | -8.16 | 2.26 |
| Kurtosis | 110.47 | 6.61 |
| Expected Daily | -0.13% | 0.03% |
| Expected Monthly | -2.3% | 0.52% |
| Expected Yearly | -14.04% | 3.41% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.8% | -0.01% |
| Expected Shortfall (cVaR) | -4.8% | -0.01% |
| Max Consecutive Wins | 5 | 232 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.14 | - |
| Gain/Pain (1M) | -0.35 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.86 | - |
| Common Sense Ratio | 0.82 | - |
| CPC Index | - | - |
| Tail Ratio | 0.95 | 2.31 |
| Outlier Win Ratio | 2.76 | 88.81 |
| Outlier Loss Ratio | 1.69 | - |
| MTD | 15.91% | 0.58% |
| 3M | -34.75% | 1.23% |
| 6M | -30.7% | 2.41% |
| YTD | -31.21% | 2.61% |
| 1Y | -26.4% | 5.89% |
| 3Y (ann.) | -22.28% | 5.76% |
| 5Y (ann.) | -22.28% | 5.76% |
| 10Y (ann.) | -22.28% | 5.76% |
| All-time (ann.) | -22.28% | 5.76% |
| Best Day | 13.52% | 0.08% |
| Worst Day | -36.17% | 0.0% |
| Best Month | 15.91% | 0.71% |
| Worst Month | -43.71% | 0.0% |
| Best Year | 7.43% | 4.22% |
| Worst Year | -31.21% | 2.61% |
| Avg. Drawdown | -8.35% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.6 | - |
| Ulcer Index | 0.12 | 0.0 |
| Serenity Index | -0.26 | - |
| Avg. Up Month | 4.32% | 0.56% |
| Avg. Down Month | - | - |
| Win Days | 50.92% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -0.62 | - |
| Alpha | -0.16 | - |
| Correlation | -0.24% | - |
| Treynor Ratio | 42.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.22 | 7.43 | 1.76 | + |
| 2022 | 2.61 | -31.21 | -11.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-07-12 | -43.76 | 137 |
| 2021-05-11 | 2021-11-15 | -6.56 | 188 |
| 2022-01-14 | 2022-02-24 | -5.34 | 41 |
| 2021-11-25 | 2021-12-28 | -5.25 | 33 |
| 2022-01-06 | 2022-01-13 | -3.28 | 7 |
| 2021-11-17 | 2021-11-22 | -2.22 | 5 |
| 2022-01-03 | 2022-01-04 | -0.28 | 1 |
| 2021-05-06 | 2021-05-07 | -0.10 | 1 |