| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -12.47% | 5.75% |
| CAGR﹪ | -24.62% | 12.6% |
| Sharpe | -0.5 | 65.59 |
| Prob. Sharpe Ratio | 35.3% | 100.0% |
| Smart Sharpe | -0.32 | 41.62 |
| Sortino | -0.58 | - |
| Smart Sortino | -0.37 | - |
| Sortino/√2 | -0.41 | - |
| Smart Sortino/√2 | -0.26 | - |
| Omega | 0.84 | 0.84 |
| Max Drawdown | -24.65% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 38.8% | 0.18% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | -1.0 | - |
| Skew | -5.72 | -0.33 |
| Kurtosis | 63.71 | 1.22 |
| Expected Daily | -0.11% | 0.05% |
| Expected Monthly | -2.19% | 0.94% |
| Expected Yearly | -6.44% | 2.83% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.1% | -0.03% |
| Expected Shortfall (cVaR) | -4.1% | -0.03% |
| Max Consecutive Wins | 4 | 120 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | -0.16 | - |
| Gain/Pain (1M) | -0.59 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.84 | - |
| Common Sense Ratio | 1.13 | - |
| CPC Index | - | - |
| Tail Ratio | 1.34 | 2.05 |
| Outlier Win Ratio | 1.49 | 27.46 |
| Outlier Loss Ratio | 1.15 | - |
| MTD | -13.53% | 1.17% |
| 3M | -12.16% | 3.2% |
| 6M | -12.47% | 5.75% |
| YTD | -12.86% | 2.17% |
| 1Y | -12.47% | 5.75% |
| 3Y (ann.) | -24.62% | 12.6% |
| 5Y (ann.) | -24.62% | 12.6% |
| 10Y (ann.) | -24.62% | 12.6% |
| All-time (ann.) | -24.62% | 12.6% |
| Best Day | 11.26% | 0.06% |
| Worst Day | -22.56% | 0.0% |
| Best Month | 3.83% | 1.17% |
| Worst Month | -13.53% | 0.57% |
| Best Year | 0.45% | 3.5% |
| Worst Year | -12.86% | 2.17% |
| Avg. Drawdown | -5.59% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.51 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | -1.04 | - |
| Avg. Up Month | 2.09% | 0.92% |
| Avg. Down Month | - | - |
| Win Days | 47.06% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -14.56 | - |
| Alpha | 1.5 | - |
| Correlation | -6.66% | - |
| Treynor Ratio | 0.86% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.50 | 0.45 | 0.13 | - |
| 2022 | 2.17 | -12.86 | -5.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-27 | 2022-02-25 | -24.65 | 29 |
| 2021-09-07 | 2021-11-22 | -5.46 | 76 |
| 2022-01-06 | 2022-01-24 | -3.35 | 18 |
| 2021-11-23 | 2021-12-07 | -2.67 | 14 |
| 2021-12-08 | 2021-12-30 | -1.93 | 22 |
| 2022-01-25 | 2022-01-26 | -0.86 | 1 |
| 2022-01-03 | 2022-01-04 | -0.21 | 1 |