| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 88.0% | 88.0% |
| Cumulative Return | -6.26% | 1.02% |
| CAGR﹪ | -90.57% | 44.99% |
| Sharpe | -3.87 | 39.29 |
| Prob. Sharpe Ratio | 26.63% | 93.49% |
| Smart Sharpe | -3.14 | 31.91 |
| Sortino | -4.94 | - |
| Smart Sortino | -4.01 | - |
| Sortino/√2 | -3.49 | - |
| Smart Sortino/√2 | -2.84 | - |
| Omega | 0.49 | 0.49 |
| Max Drawdown | -10.49% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 49.64% | 0.82% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.28 | -0.28 |
| Calmar | -8.64 | - |
| Skew | 0.26 | -2.83 |
| Kurtosis | 1.29 | 8.0 |
| Expected Daily | -0.81% | 0.13% |
| Expected Monthly | -6.26% | 1.02% |
| Expected Yearly | -6.26% | 1.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.01% | 0.0% |
| Daily Value-at-Risk | -5.91% | -0.04% |
| Expected Shortfall (cVaR) | -5.91% | -0.04% |
| Max Consecutive Wins | 1 | 7 |
| Max Consecutive Losses | 2 | 0 |
| Gain/Pain Ratio | -0.51 | - |
| Gain/Pain (1M) | -1.0 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.49 | - |
| Common Sense Ratio | 0.36 | - |
| CPC Index | - | - |
| Tail Ratio | 0.73 | 2.86 |
| Outlier Win Ratio | 1.2 | 18.71 |
| Outlier Loss Ratio | 1.17 | - |
| MTD | -6.26% | 1.02% |
| 3M | -6.26% | 1.02% |
| 6M | -6.26% | 1.02% |
| YTD | -6.26% | 1.02% |
| 1Y | -6.26% | 1.02% |
| 3Y (ann.) | -90.57% | 44.99% |
| 5Y (ann.) | -90.57% | 44.99% |
| 10Y (ann.) | -90.57% | 44.99% |
| All-time (ann.) | -90.57% | 44.99% |
| Best Day | 4.88% | 0.15% |
| Worst Day | -5.85% | 0.0% |
| Best Month | -6.26% | 1.02% |
| Worst Month | -6.26% | 1.02% |
| Best Year | -6.26% | 1.02% |
| Worst Year | -6.26% | 1.02% |
| Avg. Drawdown | -10.49% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.6 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | -0.25 | - |
| Avg. Up Month | - | - |
| Avg. Down Month | - | - |
| Win Days | 28.57% | 100.0% |
| Win Month | 0.0% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -5.99 | - |
| Alpha | 0.0 | - |
| Correlation | -9.85% | - |
| Treynor Ratio | 1.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 1.02 | -6.26 | -6.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-16 | 2022-02-25 | -10.49 | 9 |