| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 2.25% | -30.25% |
| CAGR﹪ | 3.0% | -38.01% |
| Sharpe | -14.93 | -4.7 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -14.82 | -4.66 |
| Sortino | -11.38 | -5.03 |
| Smart Sortino | -11.3 | -4.99 |
| Sortino/√2 | -8.05 | -3.55 |
| Smart Sortino/√2 | -7.99 | -3.53 |
| Omega | 0.09 | 0.09 |
| Max Drawdown | -6.97% | -51.26% |
| Longest DD Days | 88 | 127 |
| Volatility (ann.) | 13.73% | 51.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.43 | -0.74 |
| Skew | -0.14 | -4.65 |
| Kurtosis | 7.03 | 65.61 |
| Expected Daily | 0.01% | -0.19% |
| Expected Monthly | 0.22% | -3.54% |
| Expected Yearly | 1.12% | -16.49% |
| Kelly Criterion | -49.66% | -43.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.41% | -5.43% |
| Expected Shortfall (cVaR) | -1.41% | -5.43% |
| Max Consecutive Wins | 7 | 6 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | 0.05 | -0.17 |
| Gain/Pain (1M) | 0.38 | -0.63 |
| Payoff Ratio | 0.54 | 0.47 |
| Profit Factor | 1.05 | 0.83 |
| Common Sense Ratio | 1.3 | 0.6 |
| CPC Index | 0.27 | 0.21 |
| Tail Ratio | 1.23 | 0.73 |
| Outlier Win Ratio | 4.65 | 2.66 |
| Outlier Loss Ratio | 7.83 | 2.74 |
| MTD | -4.84% | -30.02% |
| 3M | -3.21% | -36.5% |
| 6M | -1.0% | -35.02% |
| YTD | -3.73% | -34.42% |
| 1Y | 2.25% | -30.25% |
| 3Y (ann.) | 3.0% | -38.01% |
| 5Y (ann.) | 3.0% | -38.01% |
| 10Y (ann.) | 3.0% | -38.01% |
| All-time (ann.) | 3.0% | -38.01% |
| Best Day | 3.82% | 20.04% |
| Worst Day | -4.88% | -33.28% |
| Best Month | 4.99% | 5.02% |
| Worst Month | -4.84% | -30.02% |
| Best Year | 6.22% | 6.36% |
| Worst Year | -3.73% | -34.42% |
| Avg. Drawdown | -2.24% | -4.52% |
| Avg. Drawdown Days | 21 | 16 |
| Recovery Factor | 0.32 | -0.59 |
| Ulcer Index | 0.03 | 0.1 |
| Serenity Index | -50.54 | -12.56 |
| Avg. Up Month | - | - |
| Avg. Down Month | -4.84% | -30.02% |
| Win Days | 47.4% | 53.89% |
| Win Month | 40.0% | 50.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 50.0% | 50.0% |
| Beta | 0.01 | - |
| Alpha | 0.04 | - |
| Correlation | 2.76% | - |
| Treynor Ratio | -94146.89% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 6.36 | 6.22 | 0.98 | - |
| 2022 | -34.42 | -3.73 | 0.11 | + |
| 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 |
| 2021-07-16 | 2021-07-19 | -0.54 | 3 |
| 2021-05-27 | 2021-06-01 | -0.50 | 5 |