| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Cumulative Return | -20.24% | 1.36% |
| CAGR﹪ | -76.5% | 9.07% |
| Sharpe | -1.24 | 82.34 |
| Prob. Sharpe Ratio | 31.4% | 99.63% |
| Smart Sharpe | -1.02 | 67.68 |
| Sortino | -1.65 | - |
| Smart Sortino | -1.35 | - |
| Sortino/√2 | -1.17 | - |
| Smart Sortino/√2 | -0.96 | - |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -31.42% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 87.26% | 0.11% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | -2.44 | - |
| Skew | -0.16 | -3.72 |
| Kurtosis | 0.15 | 19.21 |
| Expected Daily | -0.58% | 0.03% |
| Expected Monthly | -7.26% | 0.45% |
| Expected Yearly | -10.69% | 0.68% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -9.47% | -0.02% |
| Expected Shortfall (cVaR) | -9.47% | -0.02% |
| Max Consecutive Wins | 2 | 38 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.19 | - |
| Gain/Pain (1M) | -0.68 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.81 | - |
| Common Sense Ratio | 0.62 | - |
| CPC Index | - | - |
| Tail Ratio | 0.76 | 1.22 |
| Outlier Win Ratio | 1.1 | 151.77 |
| Outlier Loss Ratio | 1.65 | - |
| MTD | 6.98% | 0.71% |
| 3M | -20.24% | 1.36% |
| 6M | -20.24% | 1.36% |
| YTD | -20.24% | 1.36% |
| 1Y | -20.24% | 1.36% |
| 3Y (ann.) | -76.5% | 9.07% |
| 5Y (ann.) | -76.5% | 9.07% |
| 10Y (ann.) | -76.5% | 9.07% |
| All-time (ann.) | -76.5% | 9.07% |
| Best Day | 12.16% | 0.04% |
| Worst Day | -13.58% | 0.0% |
| Best Month | 6.98% | 0.71% |
| Worst Month | -25.44% | 0.0% |
| Best Year | 0.0% | 1.36% |
| Worst Year | -20.24% | 0.0% |
| Avg. Drawdown | -15.95% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.64 | - |
| Ulcer Index | 0.18 | 0.0 |
| Serenity Index | -0.2 | - |
| Avg. Up Month | 6.98% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 36.84% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 47.36 | - |
| Alpha | -5.23 | - |
| Correlation | 5.77% | - |
| Treynor Ratio | -0.43% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.00 | 0.00 | nan | + |
| 2022 | 1.36 | -20.24 | -14.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2022-02-25 | -31.42 | 51 |
| 2022-01-03 | 2022-01-04 | -0.48 | 1 |