| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -6.24% | 2.53% |
| CAGR﹪ | -22.13% | 10.17% |
| Sharpe | -0.18 | 31.91 |
| Prob. Sharpe Ratio | 46.4% | 100.0% |
| Smart Sharpe | -0.1 | 18.08 |
| Sortino | -0.29 | - |
| Smart Sortino | -0.17 | - |
| Sortino/√2 | -0.21 | - |
| Smart Sortino/√2 | -0.12 | - |
| Omega | 0.96 | 0.96 |
| Max Drawdown | -14.53% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 55.38% | 0.3% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -1.52 | - |
| Skew | 1.94 | 2.68 |
| Kurtosis | 20.98 | 7.15 |
| Expected Daily | -0.1% | 0.04% |
| Expected Monthly | -1.6% | 0.63% |
| Expected Yearly | -3.17% | 1.26% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.78% | -0.01% |
| Expected Shortfall (cVaR) | -5.78% | -0.01% |
| Max Consecutive Wins | 6 | 65 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.04 | - |
| Gain/Pain (1M) | -0.33 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.96 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 3.42 |
| Outlier Win Ratio | 2.71 | 130.99 |
| Outlier Loss Ratio | 2.39 | - |
| MTD | -0.47% | 0.71% |
| 3M | -8.09% | 2.42% |
| 6M | -6.24% | 2.53% |
| YTD | -6.58% | 1.36% |
| 1Y | -6.24% | 2.53% |
| 3Y (ann.) | -22.13% | 10.17% |
| 5Y (ann.) | -22.13% | 10.17% |
| 10Y (ann.) | -22.13% | 10.17% |
| All-time (ann.) | -22.13% | 10.17% |
| Best Day | 20.14% | 0.1% |
| Worst Day | -14.53% | 0.0% |
| Best Month | 2.57% | 0.71% |
| Worst Month | -6.14% | 0.5% |
| Best Year | 0.36% | 1.36% |
| Worst Year | -6.58% | 1.15% |
| Avg. Drawdown | -13.09% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.43 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | -0.25 | - |
| Avg. Up Month | 2.57% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 46.15% | 100.0% |
| Win Month | 25.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -5.01 | - |
| Alpha | 0.38 | - |
| Correlation | -2.7% | - |
| Treynor Ratio | 1.25% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.15 | 0.36 | 0.32 | - |
| 2022 | 1.36 | -6.58 | -4.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-02-25 | -14.53 | 0 |
| 2021-11-25 | 2022-02-24 | -11.64 | 91 |