| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -22.81% | 5.75% |
| CAGR﹪ | -42.46% | 12.67% |
| Sharpe | -1.26 | 68.29 |
| Prob. Sharpe Ratio | 19.58% | 100.0% |
| Smart Sharpe | -1.14 | 61.63 |
| Sortino | -1.7 | - |
| Smart Sortino | -1.54 | - |
| Sortino/√2 | -1.21 | - |
| Smart Sortino/√2 | -1.09 | - |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -37.93% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 37.57% | 0.17% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | -1.12 | - |
| Skew | 0.24 | -0.33 |
| Kurtosis | 1.79 | 1.66 |
| Expected Daily | -0.22% | 0.05% |
| Expected Monthly | -4.22% | 0.94% |
| Expected Yearly | -12.14% | 2.83% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.08% | -0.03% |
| Expected Shortfall (cVaR) | -4.08% | -0.03% |
| Max Consecutive Wins | 5 | 119 |
| Max Consecutive Losses | 8 | 0 |
| Gain/Pain Ratio | -0.19 | - |
| Gain/Pain (1M) | -0.61 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.81 | - |
| Common Sense Ratio | 0.7 | - |
| CPC Index | - | - |
| Tail Ratio | 0.87 | 1.94 |
| Outlier Win Ratio | 1.76 | 61.74 |
| Outlier Loss Ratio | 1.39 | - |
| MTD | 3.28% | 1.17% |
| 3M | -25.4% | 3.2% |
| 6M | -22.81% | 5.75% |
| YTD | -16.95% | 2.17% |
| 1Y | -22.81% | 5.75% |
| 3Y (ann.) | -42.46% | 12.67% |
| 5Y (ann.) | -42.46% | 12.67% |
| 10Y (ann.) | -42.46% | 12.67% |
| All-time (ann.) | -42.46% | 12.67% |
| Best Day | 8.92% | 0.06% |
| Worst Day | -7.4% | 0.0% |
| Best Month | 5.93% | 1.17% |
| Worst Month | -19.59% | 0.57% |
| Best Year | -7.06% | 3.5% |
| Worst Year | -16.95% | 2.17% |
| Avg. Drawdown | -9.12% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.6 | - |
| Ulcer Index | 0.19 | 0.0 |
| Serenity Index | -0.08 | - |
| Avg. Up Month | 4.4% | 1.08% |
| Avg. Down Month | - | - |
| Win Days | 46.15% | 100.0% |
| Win Month | 50.0% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 15.82 | - |
| Alpha | -2.33 | - |
| Correlation | 7.24% | - |
| Treynor Ratio | -1.44% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.50 | -7.06 | -2.02 | - |
| 2022 | 2.17 | -16.95 | -7.81 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2022-02-25 | -37.93 | 100 |
| 2021-09-24 | 2021-11-03 | -10.89 | 40 |
| 2021-09-13 | 2021-09-22 | -3.03 | 9 |
| 2021-09-08 | 2021-09-10 | -1.38 | 2 |
| 2021-11-09 | 2021-11-12 | -0.95 | 3 |
| 2021-11-05 | 2021-11-08 | -0.57 | 3 |