| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -4.12% | 6.0% |
| CAGR﹪ | -4.85% | 7.13% |
| Sharpe | -0.36 | 55.77 |
| Prob. Sharpe Ratio | 36.66% | 100.0% |
| Smart Sharpe | -0.35 | 54.6 |
| Sortino | -0.46 | - |
| Smart Sortino | -0.45 | - |
| Sortino/√2 | -0.32 | - |
| Smart Sortino/√2 | -0.32 | - |
| Omega | 0.93 | 0.93 |
| Max Drawdown | -9.26% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 11.68% | 0.12% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.52 | - |
| Skew | -2.08 | 1.57 |
| Kurtosis | 17.0 | 4.6 |
| Expected Daily | -0.02% | 0.03% |
| Expected Monthly | -0.38% | 0.53% |
| Expected Yearly | -2.08% | 2.96% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.23% | -0.01% |
| Expected Shortfall (cVaR) | -1.23% | -0.01% |
| Max Consecutive Wins | 6 | 216 |
| Max Consecutive Losses | 9 | 0 |
| Gain/Pain Ratio | -0.07 | - |
| Gain/Pain (1M) | -0.27 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.93 | - |
| Common Sense Ratio | 1.05 | - |
| CPC Index | - | - |
| Tail Ratio | 1.12 | 1.99 |
| Outlier Win Ratio | 1.76 | 31.95 |
| Outlier Loss Ratio | 2.02 | - |
| MTD | -6.44% | 0.71% |
| 3M | -6.79% | 2.13% |
| 6M | -6.51% | 3.86% |
| YTD | -7.72% | 1.36% |
| 1Y | -4.12% | 6.0% |
| 3Y (ann.) | -4.85% | 7.13% |
| 5Y (ann.) | -4.85% | 7.13% |
| 10Y (ann.) | -4.85% | 7.13% |
| All-time (ann.) | -4.85% | 7.13% |
| Best Day | 1.99% | 0.06% |
| Worst Day | -5.73% | 0.0% |
| Best Month | 2.76% | 0.71% |
| Worst Month | -6.44% | 0.34% |
| Best Year | 3.9% | 4.57% |
| Worst Year | -7.72% | 1.36% |
| Avg. Drawdown | -3.72% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.44 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | -0.2 | - |
| Avg. Up Month | 1.97% | 0.53% |
| Avg. Down Month | - | - |
| Win Days | 47.69% | 100.0% |
| Win Month | 45.45% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -6.75 | - |
| Alpha | 0.41 | - |
| Correlation | -7.01% | - |
| Treynor Ratio | 0.61% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 4.57 | 3.90 | 0.85 | - |
| 2022 | 1.36 | -7.72 | -5.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-25 | 2022-02-25 | -9.26 | 31 |
| 2021-07-09 | 2021-12-30 | -6.95 | 174 |
| 2022-01-06 | 2022-01-24 | -2.82 | 18 |
| 2021-04-23 | 2021-06-30 | -2.65 | 68 |
| 2022-01-03 | 2022-01-04 | -0.49 | 1 |
| 2021-07-07 | 2021-07-08 | -0.14 | 1 |