| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 50.0% | 75.0% |
| Cumulative Return | -4.94% | -1.55% |
| CAGR﹪ | -95.42% | -61.42% |
| Sharpe | -10.88 | -2.23 |
| Prob. Sharpe Ratio | 0.0% | 35.74% |
| Smart Sharpe | -7.57 | -1.55 |
| Sortino | -9.85 | -3.02 |
| Smart Sortino | -6.86 | -2.1 |
| Sortino/√2 | -6.96 | -2.13 |
| Smart Sortino/√2 | -4.85 | -1.48 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -4.94% | -4.08% |
| Longest DD Days | 3 | 3 |
| Volatility (ann.) | 29.5% | 43.91% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.29 | -0.29 |
| Calmar | -19.3 | -15.04 |
| Skew | -1.61 | -0.74 |
| Kurtosis | 2.4 | 1.81 |
| Expected Daily | -1.26% | -0.39% |
| Expected Monthly | -4.94% | -1.55% |
| Expected Yearly | -4.94% | -1.55% |
| Kelly Criterion | - | - |
| Risk of Ruin | 1.0% | 0.06% |
| Daily Value-at-Risk | -4.3% | -4.91% |
| Expected Shortfall (cVaR) | -4.3% | -4.91% |
| Max Consecutive Wins | 0 | 1 |
| Max Consecutive Losses | 2 | 2 |
| Gain/Pain Ratio | -1.0 | -0.35 |
| Gain/Pain (1M) | -1.0 | -1.0 |
| Payoff Ratio | - | - |
| Profit Factor | 0.0 | 0.65 |
| Common Sense Ratio | 0.0 | 0.42 |
| CPC Index | - | - |
| Tail Ratio | 0.0 | 0.65 |
| Outlier Win Ratio | - | 0.97 |
| Outlier Loss Ratio | 1.56 | 1.91 |
| MTD | -4.94% | -1.55% |
| 3M | -4.94% | -1.55% |
| 6M | -4.94% | -1.55% |
| YTD | -4.94% | -1.55% |
| 1Y | -4.94% | -1.55% |
| 3Y (ann.) | -95.42% | -61.42% |
| 5Y (ann.) | -95.42% | -61.42% |
| 10Y (ann.) | -95.42% | -61.42% |
| All-time (ann.) | -95.42% | -61.42% |
| Best Day | 0.0% | 2.64% |
| Worst Day | -3.93% | -4.06% |
| Best Month | -4.94% | -1.55% |
| Worst Month | -4.94% | -1.55% |
| Best Year | -4.94% | -1.55% |
| Worst Year | -4.94% | -1.55% |
| Avg. Drawdown | -4.94% | -4.08% |
| Avg. Drawdown Days | 3 | 3 |
| Recovery Factor | -1.0 | -0.38 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | -0.65 | -2.05 |
| Avg. Up Month | - | - |
| Avg. Down Month | -4.94% | -1.55% |
| Win Days | 0.0% | 33.33% |
| Win Month | 0.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | 0.11 | - |
| Alpha | -3.04 | - |
| Correlation | 16.6% | - |
| Treynor Ratio | -107.11% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -1.55 | -4.94 | 3.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-21 | 2022-02-24 | -4.94 | 3 |