| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -2.3% | 5.19% |
| CAGR﹪ | -3.21% | 7.33% |
| Sharpe | -0.3 | 79.62 |
| Prob. Sharpe Ratio | 39.66% | 100.0% |
| Smart Sharpe | -0.27 | 71.7 |
| Sortino | -0.35 | - |
| Smart Sortino | -0.32 | - |
| Sortino/√2 | -0.25 | - |
| Smart Sortino/√2 | -0.23 | - |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -9.61% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 9.26% | 0.09% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | -0.33 | - |
| Skew | -3.52 | 0.1 |
| Kurtosis | 26.55 | 3.19 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.26% | 0.56% |
| Expected Yearly | -1.16% | 2.56% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.97% | -0.02% |
| Expected Shortfall (cVaR) | -0.97% | -0.02% |
| Max Consecutive Wins | 7 | 183 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.06 | - |
| Gain/Pain (1M) | -0.19 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.94 | - |
| Common Sense Ratio | 1.1 | - |
| CPC Index | - | - |
| Tail Ratio | 1.17 | 1.89 |
| Outlier Win Ratio | 1.88 | 22.16 |
| Outlier Loss Ratio | 2.26 | - |
| MTD | -8.05% | 0.71% |
| 3M | -8.34% | 2.13% |
| 6M | -6.26% | 3.86% |
| YTD | -9.61% | 1.36% |
| 1Y | -2.3% | 5.19% |
| 3Y (ann.) | -3.21% | 7.33% |
| 5Y (ann.) | -3.21% | 7.33% |
| 10Y (ann.) | -3.21% | 7.33% |
| All-time (ann.) | -3.21% | 7.33% |
| Best Day | 1.27% | 0.04% |
| Worst Day | -4.78% | 0.0% |
| Best Month | 3.78% | 0.71% |
| Worst Month | -8.05% | 0.41% |
| Best Year | 8.08% | 3.77% |
| Worst Year | -9.61% | 1.36% |
| Avg. Drawdown | -1.73% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.24 | - |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | -0.28 | - |
| Avg. Up Month | 1.41% | 0.53% |
| Avg. Down Month | - | - |
| Win Days | 51.38% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -23.68 | - |
| Alpha | 1.61 | - |
| Correlation | -22.24% | - |
| Treynor Ratio | 0.1% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 8.08 | 2.14 | + |
| 2022 | 1.36 | -9.61 | -7.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-03 | 2022-02-25 | -9.61 | 53 |
| 2021-08-04 | 2021-10-26 | -2.13 | 83 |
| 2021-11-16 | 2021-12-30 | -1.57 | 44 |
| 2021-10-28 | 2021-11-08 | -1.39 | 11 |
| 2021-06-11 | 2021-07-01 | -1.22 | 20 |
| 2021-07-20 | 2021-07-23 | -0.93 | 3 |
| 2021-07-29 | 2021-07-30 | -0.73 | 1 |
| 2021-07-05 | 2021-07-07 | -0.64 | 2 |
| 2021-07-08 | 2021-07-14 | -0.46 | 6 |
| 2021-11-10 | 2021-11-15 | -0.21 | 5 |