| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 100.0% | 100.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -0.3% | 5.46% |
| CAGR﹪ | -0.4% | 7.34% |
| Sharpe | -12.89 | -4.34 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -12.32 | -4.14 |
| Sortino | -10.32 | -4.92 |
| Smart Sortino | -9.86 | -4.7 |
| Sortino/√2 | -7.3 | -3.48 |
| Smart Sortino/√2 | -6.97 | -3.32 |
| Omega | 0.11 | 0.11 |
| Max Drawdown | -5.18% | -10.4% |
| Longest DD Days | 101 | 52 |
| Volatility (ann.) | 5.4% | 14.11% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.08 | 0.71 |
| Skew | -0.26 | -0.24 |
| Kurtosis | 0.42 | 0.46 |
| Expected Daily | -0.0% | 0.03% |
| Expected Monthly | -0.03% | 0.53% |
| Expected Yearly | -0.15% | 2.69% |
| Kelly Criterion | -4.4% | 3.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.56% | -1.43% |
| Expected Shortfall (cVaR) | -0.56% | -1.43% |
| Max Consecutive Wins | 6 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | -0.01 | 0.1 |
| Gain/Pain (1M) | -0.03 | 0.45 |
| Payoff Ratio | 0.91 | 0.84 |
| Profit Factor | 0.99 | 1.1 |
| Common Sense Ratio | 0.75 | 0.91 |
| CPC Index | 0.45 | 0.52 |
| Tail Ratio | 0.76 | 0.82 |
| Outlier Win Ratio | 5.41 | 2.22 |
| Outlier Loss Ratio | 5.53 | 2.08 |
| MTD | -2.23% | -2.77% |
| 3M | -3.77% | -6.4% |
| 6M | -3.15% | -1.57% |
| YTD | -4.58% | -8.04% |
| 1Y | -0.3% | 5.46% |
| 3Y (ann.) | -0.4% | 7.34% |
| 5Y (ann.) | -0.4% | 7.34% |
| 10Y (ann.) | -0.4% | 7.34% |
| All-time (ann.) | -0.4% | 7.34% |
| Best Day | 1.08% | 2.45% |
| Worst Day | -0.91% | -2.43% |
| Best Month | 3.39% | 7.01% |
| Worst Month | -2.41% | -5.42% |
| Best Year | 4.49% | 14.68% |
| Worst Year | -4.58% | -8.04% |
| Avg. Drawdown | -1.07% | -1.5% |
| Avg. Drawdown Days | 21 | 8 |
| Recovery Factor | -0.06 | 0.53 |
| Ulcer Index | 0.02 | 0.03 |
| Serenity Index | -5.48 | -4.3 |
| Avg. Up Month | 1.04% | 3.31% |
| Avg. Down Month | -1.89% | -4.28% |
| Win Days | 50.27% | 55.68% |
| Win Month | 60.0% | 60.0% |
| Win Quarter | 75.0% | 75.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.03 | - |
| Alpha | -0.0 | - |
| Correlation | 7.06% | - |
| Treynor Ratio | -3711.99% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 14.68 | 4.49 | 0.31 | - |
| 2022 | -8.04 | -4.58 | 0.57 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-16 | 2022-02-25 | -5.18 | 101 |
| 2021-08-04 | 2021-10-26 | -1.79 | 83 |
| 2021-10-28 | 2021-11-08 | -1.49 | 11 |
| 2021-06-11 | 2021-07-02 | -1.31 | 21 |
| 2021-07-29 | 2021-07-30 | -0.62 | 1 |
| 2021-07-21 | 2021-07-22 | -0.40 | 1 |
| 2021-06-02 | 2021-06-04 | -0.34 | 2 |
| 2021-06-07 | 2021-06-10 | -0.29 | 3 |
| 2021-07-16 | 2021-07-19 | -0.18 | 3 |
| 2021-11-10 | 2021-11-12 | -0.16 | 2 |