| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | -11.13% | 9.04% |
| CAGR﹪ | -8.74% | 6.93% |
| Sharpe | -0.09 | 10.59 |
| Prob. Sharpe Ratio | 46.23% | 99.35% |
| Smart Sharpe | -0.09 | 10.39 |
| Sortino | -0.12 | - |
| Smart Sortino | -0.11 | - |
| Sortino/√2 | -0.08 | - |
| Smart Sortino/√2 | -0.08 | - |
| Omega | 0.98 | 0.98 |
| Max Drawdown | -40.89% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 37.91% | 0.77% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.21 | - |
| Skew | -3.81 | 16.04 |
| Kurtosis | 48.83 | 260.12 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.84% | 0.62% |
| Expected Yearly | -5.73% | 4.42% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.94% | -0.05% |
| Expected Shortfall (cVaR) | -3.94% | -0.05% |
| Max Consecutive Wins | 7 | 265 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.02 | - |
| Gain/Pain (1M) | -0.07 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.98 | - |
| Common Sense Ratio | 1.18 | - |
| CPC Index | - | - |
| Tail Ratio | 1.21 | 1.72 |
| Outlier Win Ratio | 2.11 | 85.04 |
| Outlier Loss Ratio | 1.7 | - |
| MTD | 9.77% | 0.68% |
| 3M | 10.91% | 2.04% |
| 6M | 23.7% | 3.82% |
| YTD | -11.44% | 6.57% |
| 1Y | -11.17% | 6.78% |
| 3Y (ann.) | -8.74% | 6.93% |
| 5Y (ann.) | -8.74% | 6.93% |
| 10Y (ann.) | -8.74% | 6.93% |
| All-time (ann.) | -8.74% | 6.93% |
| Best Day | 10.54% | 0.82% |
| Worst Day | -25.28% | 0.0% |
| Best Month | 21.25% | 0.82% |
| Worst Month | -25.28% | 0.5% |
| Best Year | 0.35% | 6.57% |
| Worst Year | -11.44% | 2.32% |
| Avg. Drawdown | -9.09% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.27 | - |
| Ulcer Index | 0.23 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 8.27% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 47.67% | 100.0% |
| Win Month | 46.15% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | -31.43 | - |
| Alpha | 2.54 | - |
| Correlation | -64.17% | - |
| Treynor Ratio | 0.35% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.32 | 0.35 | 0.15 | - |
| 2022 | 6.57 | -11.44 | -1.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-25 | 2022-12-22 | -40.89 | 300 |
| 2021-09-09 | 2021-11-22 | -6.72 | 74 |
| 2022-01-27 | 2022-02-21 | -6.35 | 25 |
| 2021-11-23 | 2022-01-05 | -4.70 | 43 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2022-02-22 | 2022-02-24 | -1.92 | 2 |
| 2022-01-25 | 2022-01-26 | -0.06 | 1 |