| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -11.26% | 8.86% |
| CAGR﹪ | -7.83% | 5.96% |
| Sharpe | 0.05 | 83.54 |
| Prob. Sharpe Ratio | 52.26% | 100.0% |
| Smart Sharpe | 0.05 | 80.09 |
| Sortino | 0.06 | - |
| Smart Sortino | 0.06 | - |
| Sortino/√2 | 0.04 | - |
| Smart Sortino/√2 | 0.04 | - |
| Omega | 1.01 | 1.01 |
| Max Drawdown | -43.59% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 45.85% | 0.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | -0.18 | - |
| Skew | -9.77 | 0.85 |
| Kurtosis | 136.17 | 4.23 |
| Expected Daily | -0.04% | 0.03% |
| Expected Monthly | -0.85% | 0.61% |
| Expected Yearly | -3.9% | 2.87% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.74% | -0.02% |
| Expected Shortfall (cVaR) | -4.74% | -0.02% |
| Max Consecutive Wins | 8 | 278 |
| Max Consecutive Losses | 7 | 0 |
| Gain/Pain Ratio | 0.01 | - |
| Gain/Pain (1M) | 0.05 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.01 | - |
| Common Sense Ratio | 1.17 | - |
| CPC Index | - | - |
| Tail Ratio | 1.15 | 1.6 |
| Outlier Win Ratio | 1.46 | 60.91 |
| Outlier Loss Ratio | 1.41 | - |
| MTD | 6.2% | 0.64% |
| 3M | 21.15% | 2.15% |
| 6M | 20.57% | 3.92% |
| YTD | 9.42% | 1.32% |
| 1Y | -13.55% | 5.05% |
| 3Y (ann.) | -7.83% | 5.96% |
| 5Y (ann.) | -7.83% | 5.96% |
| 10Y (ann.) | -7.83% | 5.96% |
| All-time (ann.) | -7.83% | 5.96% |
| Best Day | 5.9% | 0.05% |
| Worst Day | -40.25% | 0.0% |
| Best Month | 13.32% | 0.71% |
| Worst Month | -31.41% | 0.5% |
| Best Year | 9.42% | 5.01% |
| Worst Year | -24.7% | 1.32% |
| Avg. Drawdown | -9.36% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.26 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | -0.03 | - |
| Avg. Up Month | 6.01% | 0.63% |
| Avg. Down Month | - | - |
| Win Days | 53.07% | 100.0% |
| Win Month | 64.29% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -35.09 | - |
| Alpha | 2.72 | - |
| Correlation | -7.03% | - |
| Treynor Ratio | 0.32% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.32 | 7.70 | 3.32 | + |
| 2022 | 5.01 | -24.70 | -4.92 | - |
| 2023 | 1.32 | 9.42 | 7.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-14 | 2023-02-24 | -43.59 | 225 |
| 2022-01-05 | 2022-02-25 | -7.41 | 51 |
| 2021-09-08 | 2021-11-02 | -6.34 | 55 |
| 2021-11-23 | 2021-12-29 | -6.00 | 36 |
| 2021-11-08 | 2021-11-12 | -1.12 | 4 |
| 2021-11-17 | 2021-11-18 | -0.98 | 1 |
| 2022-01-03 | 2022-01-04 | -0.10 | 1 |