| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -1.13% | 5.75% |
| CAGR﹪ | -2.4% | 12.67% |
| Sharpe | 0.04 | 68.29 |
| Prob. Sharpe Ratio | 51.2% | 100.0% |
| Smart Sharpe | 0.04 | 66.27 |
| Sortino | 0.06 | - |
| Smart Sortino | 0.06 | - |
| Sortino/√2 | 0.05 | - |
| Smart Sortino/√2 | 0.04 | - |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -16.53% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 26.86% | 0.17% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.14 | - |
| Skew | 0.44 | -0.33 |
| Kurtosis | 2.24 | 1.66 |
| Expected Daily | -0.01% | 0.05% |
| Expected Monthly | -0.19% | 0.94% |
| Expected Yearly | -0.57% | 2.83% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.78% | -0.03% |
| Expected Shortfall (cVaR) | -2.78% | -0.03% |
| Max Consecutive Wins | 7 | 119 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.01 | - |
| Gain/Pain (1M) | 0.03 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.01 | - |
| Common Sense Ratio | 0.78 | - |
| CPC Index | - | - |
| Tail Ratio | 0.77 | 1.94 |
| Outlier Win Ratio | 2.22 | 59.0 |
| Outlier Loss Ratio | 1.58 | - |
| MTD | 2.01% | 1.17% |
| 3M | -5.75% | 3.2% |
| 6M | -1.13% | 5.75% |
| YTD | -7.19% | 2.17% |
| 1Y | -1.13% | 5.75% |
| 3Y (ann.) | -2.4% | 12.67% |
| 5Y (ann.) | -2.4% | 12.67% |
| 10Y (ann.) | -2.4% | 12.67% |
| All-time (ann.) | -2.4% | 12.67% |
| Best Day | 6.34% | 0.06% |
| Worst Day | -3.98% | 0.0% |
| Best Month | 9.07% | 1.17% |
| Worst Month | -9.02% | 0.57% |
| Best Year | 6.53% | 3.5% |
| Worst Year | -7.19% | 2.17% |
| Avg. Drawdown | -6.93% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.07 | - |
| Ulcer Index | 0.08 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 4.0% | 1.02% |
| Avg. Down Month | - | - |
| Win Days | 49.58% | 100.0% |
| Win Month | 66.67% | 100.0% |
| Win Quarter | 33.33% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 8.18 | - |
| Alpha | -0.95 | - |
| Correlation | 5.23% | - |
| Treynor Ratio | -0.14% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.50 | 6.53 | 1.86 | + |
| 2022 | 2.17 | -7.19 | -3.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-23 | 2022-02-25 | -16.53 | 94 |
| 2021-09-08 | 2021-11-05 | -9.85 | 58 |
| 2021-11-10 | 2021-11-12 | -1.03 | 2 |
| 2021-11-17 | 2021-11-18 | -0.33 | 1 |