| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 2.43% | 7.73% |
| CAGR﹪ | 3.16% | 10.12% |
| Sharpe | 0.29 | 30.7 |
| Prob. Sharpe Ratio | 60.2% | - |
| Smart Sharpe | 0.29 | 30.46 |
| Sortino | 0.43 | - |
| Smart Sortino | 0.42 | - |
| Sortino/√2 | 0.3 | - |
| Smart Sortino/√2 | 0.3 | - |
| Omega | 1.06 | 1.06 |
| Max Drawdown | -6.97% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 13.56% | 0.31% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.45 | - |
| Skew | -0.14 | 0.18 |
| Kurtosis | 7.27 | -0.49 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.24% | 0.75% |
| Expected Yearly | 1.21% | 3.79% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.39% | -0.01% |
| Expected Shortfall (cVaR) | -1.39% | -0.01% |
| Max Consecutive Wins | 7 | 198 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.06 | - |
| Gain/Pain (1M) | 0.4 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.06 | - |
| Common Sense Ratio | 1.3 | - |
| CPC Index | - | - |
| Tail Ratio | 1.23 | 8.37 |
| Outlier Win Ratio | 2.01 | 33.07 |
| Outlier Loss Ratio | 1.7 | - |
| MTD | -4.84% | 1.17% |
| 3M | -3.21% | 3.2% |
| 6M | -1.0% | 5.82% |
| YTD | -3.73% | 2.17% |
| 1Y | 2.43% | 7.73% |
| 3Y (ann.) | 3.16% | 10.12% |
| 5Y (ann.) | 3.16% | 10.12% |
| 10Y (ann.) | 3.16% | 10.12% |
| All-time (ann.) | 3.16% | 10.12% |
| Best Day | 3.82% | 0.08% |
| Worst Day | -4.88% | 0.0% |
| Best Month | 4.99% | 1.17% |
| Worst Month | -4.84% | 0.17% |
| Best Year | 6.4% | 5.44% |
| Worst Year | -3.73% | 2.17% |
| Avg. Drawdown | -2.08% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.35 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | 0.18 | - |
| Avg. Up Month | 2.16% | 0.75% |
| Avg. Down Month | - | - |
| Win Days | 47.72% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -1.91 | - |
| Alpha | 0.22 | - |
| Correlation | -4.32% | - |
| Treynor Ratio | -1.28% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.44 | 6.40 | 1.18 | + |
| 2022 | 2.17 | -3.73 | -1.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -6.97 | 29 |
| 2021-08-20 | 2021-11-16 | -5.58 | 88 |
| 2021-11-29 | 2022-01-05 | -3.50 | 37 |
| 2022-01-06 | 2022-01-24 | -3.42 | 18 |
| 2021-06-02 | 2021-07-01 | -2.10 | 29 |
| 2021-07-20 | 2021-08-19 | -1.44 | 30 |
| 2021-11-23 | 2021-11-26 | -1.34 | 3 |
| 2021-11-17 | 2021-11-19 | -0.73 | 2 |
| 2021-05-26 | 2021-06-01 | -0.62 | 6 |
| 2021-07-16 | 2021-07-19 | -0.54 | 3 |