| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -13.55% | 4.72% |
| CAGR﹪ | -20.95% | 7.73% |
| Sharpe | -0.71 | 82.26 |
| Prob. Sharpe Ratio | 28.68% | 100.0% |
| Smart Sharpe | -0.6 | 70.06 |
| Sortino | -0.95 | - |
| Smart Sortino | -0.81 | - |
| Sortino/√2 | -0.67 | - |
| Smart Sortino/√2 | -0.57 | - |
| Omega | 0.88 | 0.88 |
| Max Drawdown | -21.07% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 27.36% | 0.09% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.99 | - |
| Skew | -0.3 | -0.28 |
| Kurtosis | 3.91 | 3.52 |
| Expected Daily | -0.09% | 0.03% |
| Expected Monthly | -1.8% | 0.58% |
| Expected Yearly | -7.02% | 2.33% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.91% | -0.02% |
| Expected Shortfall (cVaR) | -2.91% | -0.02% |
| Max Consecutive Wins | 4 | 158 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.12 | - |
| Gain/Pain (1M) | -0.44 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.88 | - |
| Common Sense Ratio | 0.77 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 1.7 |
| Outlier Win Ratio | 1.59 | 68.02 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -9.19% | 0.71% |
| 3M | -19.44% | 2.13% |
| 6M | -11.74% | 3.86% |
| YTD | -13.39% | 1.36% |
| 1Y | -13.55% | 4.72% |
| 3Y (ann.) | -20.95% | 7.73% |
| 5Y (ann.) | -20.95% | 7.73% |
| 10Y (ann.) | -20.95% | 7.73% |
| All-time (ann.) | -20.95% | 7.73% |
| Best Day | 6.74% | 0.04% |
| Worst Day | -8.23% | 0.0% |
| Best Month | 10.09% | 0.71% |
| Worst Month | -9.19% | 0.43% |
| Best Year | -0.18% | 3.31% |
| Worst Year | -13.39% | 1.36% |
| Avg. Drawdown | -8.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.64 | - |
| Ulcer Index | 0.09 | 0.0 |
| Serenity Index | -0.18 | - |
| Avg. Up Month | 5.05% | 0.56% |
| Avg. Down Month | - | - |
| Win Days | 45.57% | 100.0% |
| Win Month | 37.5% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | -25.96 | - |
| Alpha | 1.71 | - |
| Correlation | -8.43% | - |
| Treynor Ratio | 0.52% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.31 | -0.18 | -0.05 | - |
| 2022 | 1.36 | -13.39 | -9.81 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -21.07 | 100 |
| 2021-09-07 | 2021-11-09 | -12.84 | 63 |
| 2021-07-15 | 2021-09-06 | -6.92 | 53 |
| 2021-11-15 | 2021-11-16 | -0.86 | 1 |
| 2021-11-10 | 2021-11-11 | -0.23 | 1 |