| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -1.11% | 2.55% |
| CAGR﹪ | -4.08% | 9.84% |
| Sharpe | -0.08 | 41.71 |
| Prob. Sharpe Ratio | 48.3% | 100.0% |
| Smart Sharpe | -0.07 | 37.5 |
| Sortino | -0.12 | - |
| Smart Sortino | -0.1 | - |
| Sortino/√2 | -0.08 | - |
| Smart Sortino/√2 | -0.07 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -11.01% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.81% | 0.22% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.37 | - |
| Skew | -0.05 | 1.73 |
| Kurtosis | -0.33 | 3.59 |
| Expected Daily | -0.02% | 0.04% |
| Expected Monthly | -0.28% | 0.63% |
| Expected Yearly | -0.56% | 1.27% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.27% | -0.01% |
| Expected Shortfall (cVaR) | -2.27% | -0.01% |
| Max Consecutive Wins | 4 | 67 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.05 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 0.93 | - |
| CPC Index | - | - |
| Tail Ratio | 0.94 | 2.56 |
| Outlier Win Ratio | 1.27 | 39.08 |
| Outlier Loss Ratio | 1.38 | - |
| MTD | -3.95% | 0.71% |
| 3M | -4.64% | 2.32% |
| 6M | -1.11% | 2.55% |
| YTD | -8.72% | 1.36% |
| 1Y | -1.11% | 2.55% |
| 3Y (ann.) | -4.08% | 9.84% |
| 5Y (ann.) | -4.08% | 9.84% |
| 10Y (ann.) | -4.08% | 9.84% |
| All-time (ann.) | -4.08% | 9.84% |
| Best Day | 3.12% | 0.07% |
| Worst Day | -3.08% | 0.0% |
| Best Month | 9.43% | 0.71% |
| Worst Month | -4.96% | 0.53% |
| Best Year | 8.33% | 1.36% |
| Worst Year | -8.72% | 1.17% |
| Avg. Drawdown | -3.06% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.1 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 9.43% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 47.76% | 100.0% |
| Win Month | 25.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -6.97 | - |
| Alpha | 0.63 | - |
| Correlation | -7.15% | - |
| Treynor Ratio | 0.16% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.17 | 8.33 | 7.11 | + |
| 2022 | 1.36 | -8.72 | -6.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -11.01 | 51 |
| 2021-11-25 | 2021-12-22 | -5.70 | 27 |
| 2021-12-23 | 2021-12-24 | -0.74 | 1 |
| 2022-01-03 | 2022-01-04 | -0.58 | 1 |
| 2021-11-23 | 2021-11-24 | -0.27 | 1 |
| 2021-12-27 | 2021-12-28 | -0.06 | 1 |