| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -2.71% | 5.19% |
| CAGR﹪ | -3.77% | 7.33% |
| Sharpe | -0.28 | 79.62 |
| Prob. Sharpe Ratio | 40.41% | 100.0% |
| Smart Sharpe | -0.22 | 63.07 |
| Sortino | -0.38 | - |
| Smart Sortino | -0.3 | - |
| Sortino/√2 | -0.27 | - |
| Smart Sortino/√2 | -0.21 | - |
| Omega | 0.94 | 0.94 |
| Max Drawdown | -8.2% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 11.09% | 0.09% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | -0.46 | - |
| Skew | -0.41 | 0.1 |
| Kurtosis | 13.44 | 3.19 |
| Expected Daily | -0.01% | 0.03% |
| Expected Monthly | -0.3% | 0.56% |
| Expected Yearly | -1.36% | 2.56% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.16% | -0.02% |
| Expected Shortfall (cVaR) | -1.16% | -0.02% |
| Max Consecutive Wins | 7 | 183 |
| Max Consecutive Losses | 4 | 0 |
| Gain/Pain Ratio | -0.06 | - |
| Gain/Pain (1M) | -0.3 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.94 | - |
| Common Sense Ratio | 0.76 | - |
| CPC Index | - | - |
| Tail Ratio | 0.81 | 1.89 |
| Outlier Win Ratio | 1.82 | 25.05 |
| Outlier Loss Ratio | 2.16 | - |
| MTD | -3.65% | 0.71% |
| 3M | -4.1% | 2.13% |
| 6M | -4.23% | 3.86% |
| YTD | -2.85% | 1.36% |
| 1Y | -2.71% | 5.19% |
| 3Y (ann.) | -3.77% | 7.33% |
| 5Y (ann.) | -3.77% | 7.33% |
| 10Y (ann.) | -3.77% | 7.33% |
| All-time (ann.) | -3.77% | 7.33% |
| Best Day | 4.12% | 0.04% |
| Worst Day | -4.2% | 0.0% |
| Best Month | 2.27% | 0.71% |
| Worst Month | -3.65% | 0.41% |
| Best Year | 0.15% | 3.77% |
| Worst Year | -2.85% | 1.36% |
| Avg. Drawdown | -1.33% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.33 | - |
| Ulcer Index | 0.03 | 0.0 |
| Serenity Index | -0.1 | - |
| Avg. Up Month | 1.27% | 0.54% |
| Avg. Down Month | - | - |
| Win Days | 54.44% | 100.0% |
| Win Month | 44.44% | 100.0% |
| Win Quarter | 25.0% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -11.4 | - |
| Alpha | 0.76 | - |
| Correlation | -8.94% | - |
| Treynor Ratio | 0.24% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.77 | 0.15 | 0.04 | - |
| 2022 | 1.36 | -2.85 | -2.09 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-21 | 2022-02-25 | -8.20 | 127 |
| 2021-07-08 | 2021-08-09 | -1.82 | 32 |
| 2021-09-16 | 2021-09-30 | -1.44 | 14 |
| 2021-08-18 | 2021-09-01 | -1.40 | 14 |
| 2021-10-06 | 2021-10-08 | -0.68 | 2 |
| 2021-06-15 | 2021-07-01 | -0.59 | 16 |
| 2021-09-08 | 2021-09-13 | -0.45 | 5 |
| 2021-08-12 | 2021-08-16 | -0.44 | 4 |
| 2021-10-01 | 2021-10-04 | -0.36 | 3 |
| 2021-10-12 | 2021-10-20 | -0.32 | 8 |