| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -9.69% | 11.04% |
| CAGR﹪ | -7.37% | 8.18% |
| Sharpe | 0.0 | 35.2 |
| Prob. Sharpe Ratio | 50.14% | 100.0% |
| Smart Sharpe | 0.0 | 30.71 |
| Sortino | 0.01 | - |
| Smart Sortino | 0.01 | - |
| Sortino/√2 | 0.0 | - |
| Smart Sortino/√2 | 0.0 | - |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -45.88% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 58.05% | 0.49% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.16 | - |
| Skew | -0.57 | 2.02 |
| Kurtosis | 5.46 | 6.11 |
| Expected Daily | -0.07% | 0.07% |
| Expected Monthly | -0.64% | 0.66% |
| Expected Yearly | -4.97% | 5.38% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.01% | -0.02% |
| Expected Shortfall (cVaR) | -6.01% | -0.02% |
| Max Consecutive Wins | 6 | 152 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.0 | - |
| Gain/Pain (1M) | 0.0 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.0 | - |
| Common Sense Ratio | 0.94 | - |
| CPC Index | - | - |
| Tail Ratio | 0.93 | 3.22 |
| Outlier Win Ratio | 1.78 | 63.19 |
| Outlier Loss Ratio | 2.1 | - |
| MTD | 12.19% | 0.65% |
| 3M | 29.81% | 2.03% |
| 6M | 33.63% | 3.98% |
| YTD | 29.92% | 3.28% |
| 1Y | 33.69% | 7.99% |
| 3Y (ann.) | -7.37% | 8.18% |
| 5Y (ann.) | -7.37% | 8.18% |
| 10Y (ann.) | -7.37% | 8.18% |
| All-time (ann.) | -7.37% | 8.18% |
| Best Day | 15.03% | 0.22% |
| Worst Day | -17.74% | 0.0% |
| Best Month | 17.42% | 1.11% |
| Worst Month | -30.16% | 0.43% |
| Best Year | 29.92% | 7.52% |
| Worst Year | -30.49% | 3.28% |
| Avg. Drawdown | -23.93% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.21 | - |
| Ulcer Index | 0.33 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 7.48% | 0.61% |
| Avg. Down Month | - | - |
| Win Days | 49.66% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 2.13 | - |
| Alpha | -0.36 | - |
| Correlation | 1.8% | - |
| Treynor Ratio | -4.55% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 7.52 | -30.49 | -4.06 | - |
| 2023 | 3.28 | 29.92 | 9.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-07 | 2023-05-26 | -45.88 | 473 |
| 2022-01-26 | 2022-01-28 | -1.97 | 2 |