| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 99.0% |
| Cumulative Return | -0.04% | 4.6% |
| CAGR﹪ | -0.07% | 8.05% |
| Sharpe | 0.08 | 34.76 |
| Prob. Sharpe Ratio | 51.89% | 100.0% |
| Smart Sharpe | 0.06 | 27.75 |
| Sortino | 0.14 | - |
| Smart Sortino | 0.11 | - |
| Sortino/√2 | 0.1 | - |
| Smart Sortino/√2 | 0.08 | - |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -8.48% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 17.84% | 0.37% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.01 | - |
| Skew | 1.73 | 2.14 |
| Kurtosis | 8.59 | 7.06 |
| Expected Daily | -0.0% | 0.05% |
| Expected Monthly | -0.01% | 0.56% |
| Expected Yearly | -0.02% | 2.27% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.84% | -0.01% |
| Expected Shortfall (cVaR) | -1.84% | -0.01% |
| Max Consecutive Wins | 7 | 87 |
| Max Consecutive Losses | 11 | 0 |
| Gain/Pain Ratio | 0.02 | - |
| Gain/Pain (1M) | 0.08 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.02 | - |
| Common Sense Ratio | 0.86 | - |
| CPC Index | - | - |
| Tail Ratio | 0.85 | 2.46 |
| Outlier Win Ratio | 3.0 | 44.6 |
| Outlier Loss Ratio | 1.68 | - |
| MTD | -0.56% | 0.72% |
| 3M | 0.9% | 2.14% |
| 6M | -1.23% | 3.89% |
| YTD | 1.34% | 1.37% |
| 1Y | -0.04% | 4.6% |
| 3Y (ann.) | -0.07% | 8.05% |
| 5Y (ann.) | -0.07% | 8.05% |
| 10Y (ann.) | -0.07% | 8.05% |
| All-time (ann.) | -0.07% | 8.05% |
| Best Day | 5.6% | 0.15% |
| Worst Day | -3.13% | 0.0% |
| Best Month | 2.22% | 0.72% |
| Worst Month | -3.41% | 0.31% |
| Best Year | 1.34% | 3.19% |
| Worst Year | -1.37% | 1.37% |
| Avg. Drawdown | -2.61% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.0 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | -0.0 | - |
| Avg. Up Month | 1.3% | 0.54% |
| Avg. Down Month | - | - |
| Win Days | 45.98% | 100.0% |
| Win Month | 62.5% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 2.39 | - |
| Alpha | -0.29 | - |
| Correlation | 4.97% | - |
| Treynor Ratio | -0.02% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.19 | -1.37 | -0.43 | - |
| 2022 | 1.37 | 1.34 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-30 | 2022-01-24 | -8.48 | 147 |
| 2022-01-25 | 2022-02-25 | -6.14 | 31 |
| 2021-08-11 | 2021-08-19 | -0.89 | 8 |
| 2021-08-25 | 2021-08-26 | -0.07 | 1 |
| 2021-08-02 | 2021-08-04 | -0.07 | 2 |
| 2021-07-29 | 2021-07-30 | -0.00 | 1 |