| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -13.16% | 4.23% |
| CAGR﹪ | -23.53% | 8.19% |
| Sharpe | -2.45 | 70.08 |
| Prob. Sharpe Ratio | 0.48% | 100.0% |
| Smart Sharpe | -1.71 | 48.98 |
| Sortino | -2.6 | - |
| Smart Sortino | -1.82 | - |
| Sortino/√2 | -1.84 | - |
| Smart Sortino/√2 | -1.29 | - |
| Omega | 0.56 | 0.56 |
| Max Drawdown | -15.96% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 10.53% | 0.11% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | -1.47 | - |
| Skew | -4.71 | 0.34 |
| Kurtosis | 34.86 | 2.62 |
| Expected Daily | -0.1% | 0.03% |
| Expected Monthly | -2.0% | 0.59% |
| Expected Yearly | -6.81% | 2.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -0.02% |
| Expected Shortfall (cVaR) | -1.19% | -0.02% |
| Max Consecutive Wins | 6 | 134 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.44 | - |
| Gain/Pain (1M) | -0.75 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.56 | - |
| Common Sense Ratio | 0.4 | - |
| CPC Index | - | - |
| Tail Ratio | 0.72 | 1.95 |
| Outlier Win Ratio | 1.98 | 16.14 |
| Outlier Loss Ratio | 2.61 | - |
| MTD | -12.5% | 0.71% |
| 3M | -14.14% | 2.13% |
| 6M | -13.63% | 3.98% |
| YTD | -15.76% | 1.36% |
| 1Y | -13.16% | 4.23% |
| 3Y (ann.) | -23.53% | 8.19% |
| 5Y (ann.) | -23.53% | 8.19% |
| 10Y (ann.) | -23.53% | 8.19% |
| All-time (ann.) | -23.53% | 8.19% |
| Best Day | 0.96% | 0.05% |
| Worst Day | -5.52% | 0.0% |
| Best Month | 2.6% | 0.71% |
| Worst Month | -12.5% | 0.47% |
| Best Year | 3.08% | 2.82% |
| Worst Year | -15.76% | 1.36% |
| Avg. Drawdown | -3.38% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.82 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | -0.37 | - |
| Avg. Up Month | 1.55% | 0.56% |
| Avg. Down Month | - | - |
| Win Days | 50.38% | 100.0% |
| Win Month | 42.86% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -15.6 | - |
| Alpha | 0.95 | - |
| Correlation | -16.33% | - |
| Treynor Ratio | 0.84% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.82 | 3.08 | 1.09 | + |
| 2022 | 1.36 | -15.76 | -11.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-10 | 2022-02-25 | -15.96 | 107 |
| 2021-09-16 | 2021-11-05 | -2.65 | 50 |
| 2021-08-26 | 2021-08-27 | -0.59 | 1 |
| 2021-09-02 | 2021-09-03 | -0.50 | 1 |
| 2021-08-18 | 2021-08-23 | -0.35 | 5 |
| 2021-09-06 | 2021-09-10 | -0.24 | 4 |