| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 7.0% | 7.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -1.58% | 3.66% |
| CAGR﹪ | -3.03% | 7.18% |
| Sharpe | -0.56 | 0.81 |
| Prob. Sharpe Ratio | 18.81% | 100.0% |
| Smart Sharpe | -0.53 | 0.76 |
| Sortino | -0.73 | 1.56 |
| Smart Sortino | -0.69 | 1.47 |
| Sortino/√2 | -0.52 | 1.1 |
| Smart Sortino/√2 | -0.49 | 1.04 |
| Omega | 0.91 | 0.91 |
| Max Drawdown | -10.6% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 15.49% | 0.24% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.29 | - |
| Skew | -0.62 | 1.54 |
| Kurtosis | 1.77 | 3.48 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.23% | 0.51% |
| Expected Yearly | -0.79% | 1.81% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.61% | -0.0% |
| Expected Shortfall (cVaR) | -1.61% | -0.0% |
| Max Consecutive Wins | 10 | 129 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | -0.02 | - |
| Gain/Pain (1M) | -0.07 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.98 | - |
| Common Sense Ratio | 0.84 | - |
| CPC Index | - | - |
| Tail Ratio | 0.86 | 3.9 |
| Outlier Win Ratio | 1.59 | 40.07 |
| Outlier Loss Ratio | 1.65 | - |
| MTD | -5.39% | 0.63% |
| 3M | -7.24% | 1.98% |
| 6M | -2.07% | 3.6% |
| YTD | -8.28% | 1.21% |
| 1Y | -1.58% | 3.66% |
| 3Y (ann.) | -3.03% | 7.18% |
| 5Y (ann.) | -3.03% | 7.18% |
| 10Y (ann.) | -3.03% | 7.18% |
| All-time (ann.) | -3.03% | 7.18% |
| Best Day | 2.42% | 0.09% |
| Worst Day | -4.02% | 0.0% |
| Best Month | 4.6% | 0.65% |
| Worst Month | -5.82% | 0.16% |
| Best Year | 7.3% | 2.42% |
| Worst Year | -8.28% | 1.21% |
| Avg. Drawdown | -3.22% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.15 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | -0.29 | - |
| Avg. Up Month | 3.33% | 0.47% |
| Avg. Down Month | - | - |
| Win Days | 51.94% | 100.0% |
| Win Month | 57.14% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -1.38 | - |
| Alpha | 0.08 | - |
| Correlation | -2.17% | - |
| Treynor Ratio | 6.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.42 | 7.30 | 3.02 | + |
| 2022 | 1.21 | -8.28 | -6.86 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -10.60 | 51 |
| 2021-08-31 | 2021-11-03 | -6.45 | 64 |
| 2021-11-23 | 2021-12-29 | -5.77 | 36 |
| 2021-11-08 | 2021-11-12 | -1.06 | 4 |
| 2021-11-17 | 2021-11-18 | -0.95 | 1 |
| 2021-11-15 | 2021-11-16 | -0.41 | 1 |
| 2021-08-24 | 2021-08-25 | -0.31 | 1 |
| 2021-08-26 | 2021-08-30 | -0.18 | 4 |