| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -5.62% | 5.19% |
| CAGR﹪ | -7.77% | 7.33% |
| Sharpe | -0.26 | 79.62 |
| Prob. Sharpe Ratio | 40.97% | 100.0% |
| Smart Sharpe | -0.19 | 57.95 |
| Sortino | -0.31 | - |
| Smart Sortino | -0.22 | - |
| Sortino/√2 | -0.22 | - |
| Smart Sortino/√2 | -0.16 | - |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -20.06% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 21.45% | 0.09% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | -0.39 | - |
| Skew | -4.83 | 0.1 |
| Kurtosis | 57.04 | 3.19 |
| Expected Daily | -0.03% | 0.03% |
| Expected Monthly | -0.64% | 0.56% |
| Expected Yearly | -2.85% | 2.56% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.24% | -0.02% |
| Expected Shortfall (cVaR) | -2.24% | -0.02% |
| Max Consecutive Wins | 6 | 183 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.06 | - |
| Gain/Pain (1M) | -0.3 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.94 | - |
| Common Sense Ratio | 0.85 | - |
| CPC Index | - | - |
| Tail Ratio | 0.91 | 1.89 |
| Outlier Win Ratio | 1.75 | 39.1 |
| Outlier Loss Ratio | 1.54 | - |
| MTD | -9.42% | 0.71% |
| 3M | -13.06% | 2.13% |
| 6M | -9.9% | 3.86% |
| YTD | -12.17% | 1.36% |
| 1Y | -5.62% | 5.19% |
| 3Y (ann.) | -7.77% | 7.33% |
| 5Y (ann.) | -7.77% | 7.33% |
| 10Y (ann.) | -7.77% | 7.33% |
| All-time (ann.) | -7.77% | 7.33% |
| Best Day | 6.74% | 0.04% |
| Worst Day | -13.51% | 0.0% |
| Best Month | 3.73% | 0.71% |
| Worst Month | -9.42% | 0.41% |
| Best Year | 7.45% | 3.77% |
| Worst Year | -12.17% | 1.36% |
| Avg. Drawdown | -2.54% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.28 | - |
| Ulcer Index | 0.04 | 0.0 |
| Serenity Index | -0.3 | - |
| Avg. Up Month | 1.5% | 0.52% |
| Avg. Down Month | - | - |
| Win Days | 53.3% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 75.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -27.02 | - |
| Alpha | 1.82 | - |
| Correlation | -10.96% | - |
| Treynor Ratio | 0.21% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 7.45 | 1.98 | + |
| 2022 | 1.36 | -12.17 | -8.92 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-09 | 2022-02-25 | -20.06 | 108 |
| 2021-07-08 | 2021-08-10 | -3.46 | 33 |
| 2021-09-07 | 2021-10-05 | -2.26 | 28 |
| 2021-10-21 | 2021-11-08 | -1.56 | 18 |
| 2021-10-12 | 2021-10-19 | -1.29 | 7 |
| 2021-06-15 | 2021-06-30 | -1.20 | 15 |
| 2021-08-18 | 2021-08-30 | -1.18 | 12 |
| 2021-10-06 | 2021-10-07 | -0.82 | 1 |
| 2021-06-10 | 2021-06-14 | -0.44 | 4 |
| 2021-09-03 | 2021-09-06 | -0.28 | 3 |