| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -0.47% | 6.13% |
| CAGR﹪ | -0.81% | 10.84% |
| Sharpe | 0.16 | 32.09 |
| Prob. Sharpe Ratio | 54.95% | 100.0% |
| Smart Sharpe | 0.09 | 17.64 |
| Sortino | 0.27 | - |
| Smart Sortino | 0.15 | - |
| Sortino/√2 | 0.19 | - |
| Smart Sortino/√2 | 0.11 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -24.29% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 38.1% | 0.32% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.03 | - |
| Skew | 3.57 | 0.84 |
| Kurtosis | 46.9 | 6.36 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.06% | 0.75% |
| Expected Yearly | -0.23% | 3.02% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.92% | -0.01% |
| Expected Shortfall (cVaR) | -3.92% | -0.01% |
| Max Consecutive Wins | 8 | 147 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.31 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 0.94 | - |
| CPC Index | - | - |
| Tail Ratio | 0.9 | 8.37 |
| Outlier Win Ratio | 1.5 | 43.41 |
| Outlier Loss Ratio | 1.62 | - |
| MTD | 2.74% | 1.17% |
| 3M | -7.95% | 3.2% |
| 6M | -3.41% | 5.82% |
| YTD | -4.47% | 2.17% |
| 1Y | -0.47% | 6.13% |
| 3Y (ann.) | -0.81% | 10.84% |
| 5Y (ann.) | -0.81% | 10.84% |
| 10Y (ann.) | -0.81% | 10.84% |
| All-time (ann.) | -0.81% | 10.84% |
| Best Day | 21.23% | 0.15% |
| Worst Day | -13.17% | 0.0% |
| Best Month | 4.99% | 1.17% |
| Worst Month | -7.02% | 0.15% |
| Best Year | 4.19% | 3.87% |
| Worst Year | -4.47% | 2.17% |
| Avg. Drawdown | -7.95% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.02 | - |
| Ulcer Index | 0.07 | 0.0 |
| Serenity Index | -0.01 | - |
| Avg. Up Month | 2.94% | 0.85% |
| Avg. Down Month | - | - |
| Win Days | 50.68% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 0.12 | - |
| Alpha | 0.05 | - |
| Correlation | 0.1% | - |
| Treynor Ratio | -4.04% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.87 | 4.19 | 1.08 | + |
| 2022 | 2.17 | -4.47 | -2.06 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -24.29 | 94 |
| 2021-08-30 | 2021-11-01 | -6.39 | 63 |
| 2021-11-05 | 2021-11-22 | -4.52 | 17 |
| 2021-08-11 | 2021-08-27 | -3.73 | 16 |
| 2021-07-30 | 2021-08-03 | -0.83 | 4 |