| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -20.96% | 8.31% |
| CAGR﹪ | -17.09% | 6.57% |
| Sharpe | -0.09 | 43.66 |
| Prob. Sharpe Ratio | 46.43% | 100.0% |
| Smart Sharpe | -0.08 | 41.1 |
| Sortino | -0.1 | - |
| Smart Sortino | -0.09 | - |
| Sortino/√2 | -0.07 | - |
| Smart Sortino/√2 | -0.06 | - |
| Omega | 0.97 | 0.97 |
| Max Drawdown | -52.16% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 53.97% | 0.19% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.33 | - |
| Skew | -9.84 | 3.86 |
| Kurtosis | 133.2 | 19.11 |
| Expected Daily | -0.1% | 0.03% |
| Expected Monthly | -1.79% | 0.62% |
| Expected Yearly | -7.54% | 2.7% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.61% | -0.01% |
| Expected Shortfall (cVaR) | -5.61% | -0.01% |
| Max Consecutive Wins | 6 | 243 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.03 | - |
| Gain/Pain (1M) | -0.06 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.97 | - |
| Common Sense Ratio | 1.01 | - |
| CPC Index | - | - |
| Tail Ratio | 1.04 | 2.16 |
| Outlier Win Ratio | 1.95 | 77.11 |
| Outlier Loss Ratio | 1.27 | - |
| MTD | 6.4% | 0.64% |
| 3M | 31.79% | 2.15% |
| 6M | 37.09% | 3.9% |
| YTD | 10.24% | 1.32% |
| 1Y | -19.56% | 5.73% |
| 3Y (ann.) | -17.09% | 6.57% |
| 5Y (ann.) | -17.09% | 6.57% |
| 10Y (ann.) | -17.09% | 6.57% |
| All-time (ann.) | -17.09% | 6.57% |
| Best Day | 8.11% | 0.1% |
| Worst Day | -45.56% | 0.0% |
| Best Month | 18.23% | 0.71% |
| Worst Month | -51.26% | 0.5% |
| Best Year | 10.24% | 5.69% |
| Worst Year | -28.47% | 1.15% |
| Avg. Drawdown | -11.32% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.4 | - |
| Ulcer Index | 0.36 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 8.67% | 0.64% |