| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -14.63% | 7.68% |
| CAGR﹪ | -11.51% | 5.89% |
| Sharpe | -0.01 | 79.1 |
| Prob. Sharpe Ratio | 49.53% | 100.0% |
| Smart Sharpe | -0.01 | 75.67 |
| Sortino | -0.01 | - |
| Smart Sortino | -0.01 | - |
| Sortino/√2 | -0.01 | - |
| Smart Sortino/√2 | -0.01 | - |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -45.48% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 51.0% | 0.1% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.25 | - |
| Skew | -8.59 | 0.31 |
| Kurtosis | 110.03 | 2.58 |
| Expected Daily | -0.07% | 0.03% |
| Expected Monthly | -1.31% | 0.62% |
| Expected Yearly | -5.14% | 2.5% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.29% | -0.02% |
| Expected Shortfall (cVaR) | -5.29% | -0.02% |
| Max Consecutive Wins | 5 | 233 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.0 | - |
| Gain/Pain (1M) | -0.01 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.0 | - |
| Common Sense Ratio | 1.04 | - |
| CPC Index | - | - |
| Tail Ratio | 1.05 | 1.72 |
| Outlier Win Ratio | 1.83 | 77.21 |
| Outlier Loss Ratio | 1.1 | - |
| MTD | 2.91% | 0.64% |
| 3M | 21.94% | 2.15% |
| 6M | 26.12% | 3.92% |
| YTD | 6.65% | 1.32% |
| 1Y | -18.21% | 5.05% |
| 3Y (ann.) | -11.51% | 5.89% |
| 5Y (ann.) | -11.51% | 5.89% |
| 10Y (ann.) | -11.51% | 5.89% |
| All-time (ann.) | -11.51% | 5.89% |
| Best Day | 9.32% | 0.05% |
| Worst Day | -40.61% | 0.0% |
| Best Month | 15.63% | 0.71% |
| Worst Month | -35.03% | 0.55% |
| Best Year | 6.65% | 5.01% |
| Worst Year | -20.77% | 1.21% |
| Avg. Drawdown | -8.72% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.32 | - |
| Ulcer Index | 0.29 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 4.74% | 0.64% |
| Avg. Down Month | - | - |
| Win Days | 55.84% | 100.0% |
| Win Month | 75.0% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -45.99 | - |
| Alpha | 3.66 | - |
| Correlation | -9.09% | - |
| Treynor Ratio | 0.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 1.03 | 0.85 | - |
| 2022 | 5.01 | -20.77 | -4.14 | - |
| 2023 | 1.32 | 6.65 | 5.05 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2023-02-24 | -45.48 | 364 |
| 2022-01-27 | 2022-02-24 | -5.90 | 28 |
| 2021-11-23 | 2022-01-05 | -3.92 | 43 |
| 2022-01-06 | 2022-01-24 | -3.16 | 18 |
| 2021-11-17 | 2021-11-19 | -1.91 | 2 |
| 2021-11-11 | 2021-11-12 | -0.65 | 1 |
| 2021-11-15 | 2021-11-16 | -0.04 | 1 |