| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 96.0% | 98.0% |
| Cumulative Return | -1.03% | 2.93% |
| CAGR﹪ | -5.16% | 16.02% |
| Sharpe | -0.0 | 71.33 |
| Prob. Sharpe Ratio | 49.93% | 100.0% |
| Smart Sharpe | -0.0 | 60.82 |
| Sortino | -0.01 | - |
| Smart Sortino | -0.01 | - |
| Sortino/√2 | -0.0 | - |
| Smart Sortino/√2 | -0.0 | - |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -13.48% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 32.42% | 0.21% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.38 | - |
| Skew | -0.09 | -1.78 |
| Kurtosis | 5.85 | 7.01 |
| Expected Daily | -0.02% | 0.06% |
| Expected Monthly | -0.34% | 0.97% |
| Expected Yearly | -0.51% | 1.46% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.36% | -0.04% |
| Expected Shortfall (cVaR) | -3.36% | -0.04% |
| Max Consecutive Wins | 4 | 48 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.0 | - |
| Gain/Pain (1M) | -0.0 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.0 | - |
| Common Sense Ratio | 0.92 | - |
| CPC Index | - | - |
| Tail Ratio | 0.92 | 1.51 |
| Outlier Win Ratio | 2.43 | 48.13 |
| Outlier Loss Ratio | 1.96 | - |
| MTD | 3.84% | 1.17% |
| 3M | -1.03% | 2.93% |
| 6M | -1.03% | 2.93% |
| YTD | -5.27% | 2.17% |
| 1Y | -1.03% | 2.93% |
| 3Y (ann.) | -5.16% | 16.02% |
| 5Y (ann.) | -5.16% | 16.02% |
| 10Y (ann.) | -5.16% | 16.02% |
| All-time (ann.) | -5.16% | 16.02% |
| Best Day | 7.34% | 0.07% |
| Worst Day | -7.49% | 0.0% |
| Best Month | 4.48% | 1.17% |
| Worst Month | -8.77% | 0.75% |
| Best Year | 4.48% | 2.17% |
| Worst Year | -5.27% | 0.75% |
| Avg. Drawdown | -4.14% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.08 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 4.16% | 0.96% |
| Avg. Down Month | - | - |
| Win Days | 53.19% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 21.35 | - |
| Alpha | -3.18 | - |
| Correlation | 13.73% | - |
| Treynor Ratio | -0.05% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.75 | 4.48 | 6.02 | + |
| 2022 | 2.17 | -5.27 | -2.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -13.48 | 51 |
| 2021-12-20 | 2021-12-22 | -2.98 | 2 |
| 2021-12-28 | 2021-12-29 | -0.08 | 1 |
| 2021-12-23 | 2021-12-24 | -0.04 | 1 |