| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | 5.18% | 19.92% |
| CAGR﹪ | 1.67% | 6.14% |
| Sharpe | 0.19 | 64.49 |
| Prob. Sharpe Ratio | 62.3% | - |
| Smart Sharpe | 0.18 | 60.46 |
| Sortino | 0.23 | - |
| Smart Sortino | 0.22 | - |
| Sortino/√2 | 0.16 | - |
| Smart Sortino/√2 | 0.15 | - |
| Omega | 1.04 | 1.04 |
| Max Drawdown | -26.1% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 16.84% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.06 | - |
| Skew | -7.67 | 0.98 |
| Kurtosis | 152.25 | 1.46 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.14% | 0.49% |
| Expected Yearly | 1.27% | 4.65% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.01% |
| Expected Shortfall (cVaR) | -1.73% | -0.01% |
| Max Consecutive Wins | 8 | 769 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.04 | - |
| Gain/Pain (1M) | 0.23 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.04 | - |
| Common Sense Ratio | 1.19 | - |
| CPC Index | - | - |
| Tail Ratio | 1.14 | 1.94 |
| Outlier Win Ratio | 2.33 | 56.7 |
| Outlier Loss Ratio | 1.83 | - |
| MTD | -17.25% | 0.71% |
| 3M | -17.28% | 2.13% |
| 6M | -17.51% | 3.86% |
| YTD | -17.42% | 1.36% |
| 1Y | -17.22% | 6.5% |
| 3Y (ann.) | 1.88% | 6.02% |
| 5Y (ann.) | 1.67% | 6.14% |
| 10Y (ann.) | 1.67% | 6.14% |
| All-time (ann.) | 1.67% | 6.14% |
| Best Day | 6.23% | 0.04% |
| Worst Day | -19.56% | 0.0% |
| Best Month | 11.03% | 0.71% |
| Worst Month | -17.25% | 0.37% |
| Best Year | 25.78% | 6.5% |
| Worst Year | -17.42% | 1.36% |
| Avg. Drawdown | -3.18% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.2 | - |
| Ulcer Index | 0.06 | 0.0 |
| Serenity Index | 0.1 | - |
| Avg. Up Month | 2.54% | 0.49% |
| Avg. Down Month | - | - |
| Win Days | 50.2% | 100.0% |
| Win Month | 54.05% | 100.0% |
| Win Quarter | 38.46% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -11.71 | - |
| Alpha | 0.73 | - |
| Correlation | -6.41% | - |
| Treynor Ratio | -0.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 6.50 | 2.65 | 0.41 | - |
| 2020 | 4.97 | 25.78 | 5.19 | + |
| 2021 | 5.82 | -1.34 | -0.23 | - |
| 2022 | 1.36 | -17.42 | -12.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-11-03 | 2022-02-25 | -26.10 | 479 |
| 2020-03-19 | 2020-08-25 | -9.70 | 159 |
| 2019-09-04 | 2020-02-25 | -6.60 | 174 |
| 2020-09-30 | 2020-10-30 | -3.12 | 30 |
| 2020-03-13 | 2020-03-18 | -3.07 | 5 |
| 2019-02-15 | 2019-05-02 | -2.97 | 76 |
| 2019-06-07 | 2019-08-02 | -2.64 | 56 |
| 2020-08-27 | 2020-09-03 | -2.51 | 7 |
| 2020-09-09 | 2020-09-21 | -1.98 | 12 |
| 2019-08-21 | 2019-08-28 | -1.57 | 7 |