| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 3.04% | 6.03% |
| CAGR﹪ | 3.5% | 6.95% |
| Sharpe | 0.31 | 72.04 |
| Prob. Sharpe Ratio | 61.48% | 100.0% |
| Smart Sharpe | 0.26 | 61.34 |
| Sortino | 0.44 | - |
| Smart Sortino | 0.37 | - |
| Sortino/√2 | 0.31 | - |
| Smart Sortino/√2 | 0.26 | - |
| Omega | 1.05 | 1.05 |
| Max Drawdown | -7.64% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.97% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.46 | - |
| Skew | -0.27 | 0.39 |
| Kurtosis | 1.54 | 1.69 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.27% | 0.53% |
| Expected Yearly | 1.51% | 2.97% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.43% | -0.02% |
| Expected Shortfall (cVaR) | -1.43% | -0.02% |
| Max Consecutive Wins | 10 | 223 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.05 | - |
| Gain/Pain (1M) | 0.47 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.05 | - |
| Common Sense Ratio | 1.07 | - |
| CPC Index | - | - |
| Tail Ratio | 1.01 | 1.99 |
| Outlier Win Ratio | 1.73 | 42.42 |
| Outlier Loss Ratio | 1.63 | - |
| MTD | -1.91% | 0.71% |
| 3M | -0.13% | 2.13% |
| 6M | 1.26% | 3.86% |
| YTD | -1.28% | 1.36% |
| 1Y | 3.04% | 6.03% |
| 3Y (ann.) | 3.5% | 6.95% |
| 5Y (ann.) | 3.5% | 6.95% |
| 10Y (ann.) | 3.5% | 6.95% |
| All-time (ann.) | 3.5% | 6.95% |
| Best Day | 2.8% | 0.04% |
| Worst Day | -3.35% | 0.0% |
| Best Month | 5.38% | 0.71% |
| Worst Month | -4.54% | 0.37% |
| Best Year | 4.38% | 4.6% |
| Worst Year | -1.28% | 1.36% |
| Avg. Drawdown | -3.47% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.4 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.17 | - |
| Avg. Up Month | 1.66% | 0.55% |
| Avg. Down Month | - | - |
| Win Days | 52.04% | 100.0% |
| Win Month | 63.64% | 100.0% |
| Win Quarter | 25.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -1.05 | - |
| Alpha | 0.11 | - |
| Correlation | -0.69% | - |
| Treynor Ratio | -2.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.60 | 4.38 | 0.95 | - |
| 2022 | 1.36 | -1.28 | -0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2021-11-22 | -7.64 | 76 |
| 2022-01-17 | 2022-02-25 | -6.31 | 39 |
| 2021-11-23 | 2022-01-03 | -5.75 | 41 |
| 2022-01-06 | 2022-01-14 | -3.72 | 8 |
| 2021-04-20 | 2021-07-07 | -3.46 | 78 |
| 2021-07-08 | 2021-08-10 | -2.83 | 33 |
| 2021-08-16 | 2021-09-06 | -1.16 | 21 |
| 2021-08-11 | 2021-08-12 | -0.19 | 1 |
| 2021-04-14 | 2021-04-15 | -0.17 | 1 |