| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 100.0% |
| Cumulative Return | -9.08% | 6.42% |
| CAGR﹪ | -7.45% | 5.19% |
| Sharpe | -0.05 | 98.55 |
| Prob. Sharpe Ratio | 48.28% | 100.0% |
| Smart Sharpe | -0.04 | 90.61 |
| Sortino | -0.05 | - |
| Smart Sortino | -0.05 | - |
| Sortino/√2 | -0.04 | - |
| Smart Sortino/√2 | -0.03 | - |
| Omega | 0.99 | 0.99 |
| Max Drawdown | -40.33% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 41.44% | 0.08% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.18 | - |
| Skew | -8.19 | -0.92 |
| Kurtosis | 96.02 | 6.1 |
| Expected Daily | -0.05% | 0.03% |
| Expected Monthly | -0.86% | 0.57% |
| Expected Yearly | -3.12% | 2.09% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.3% | -0.02% |
| Expected Shortfall (cVaR) | -4.3% | -0.02% |
| Max Consecutive Wins | 4 | 197 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | -0.01 | - |
| Gain/Pain (1M) | -0.04 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.99 | - |
| Common Sense Ratio | 1.31 | - |
| CPC Index | - | - |
| Tail Ratio | 1.32 | 1.6 |
| Outlier Win Ratio | 1.73 | 64.01 |
| Outlier Loss Ratio | 1.64 | - |
| MTD | 2.19% | 0.03% |
| 3M | 22.21% | 2.0% |
| 6M | -19.91% | 3.73% |
| YTD | 4.32% | 0.7% |
| 1Y | -14.58% | 4.47% |
| 3Y (ann.) | -7.45% | 5.19% |
| 5Y (ann.) | -7.45% | 5.19% |
| 10Y (ann.) | -7.45% | 5.19% |
| All-time (ann.) | -7.45% | 5.19% |
| Best Day | 4.75% | 0.04% |
| Worst Day | -30.6% | 0.0% |
| Best Month | 14.62% | 0.71% |
| Worst Month | -34.2% | 0.03% |
| Best Year | 5.6% | 4.41% |
| Worst Year | -17.47% | 0.7% |
| Avg. Drawdown | -7.07% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.23 | - |
| Ulcer Index | 0.25 | 0.0 |
| Serenity Index | -0.02 | - |
| Avg. Up Month | 4.61% | 0.57% |
| Avg. Down Month | - | - |
| Win Days | 51.3% | 100.0% |
| Win Month | 81.82% | 100.0% |
| Win Quarter | 80.0% | 100.0% |
| Win Year | 66.67% | 100.0% |
| Beta | -26.73 | - |
| Alpha | 2.1 | - |
| Correlation | -5.18% | - |
| Treynor Ratio | 0.34% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.21 | 5.60 | 4.63 | + |
| 2022 | 4.41 | -17.47 | -3.96 | - |
| 2023 | 0.70 | 4.32 | 6.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-11 | 2023-02-01 | -40.33 | 174 |
| 2022-01-27 | 2022-02-21 | -5.92 | 25 |
| 2021-11-29 | 2022-01-05 | -3.22 | 37 |
| 2022-01-06 | 2022-01-24 | -2.96 | 18 |
| 2021-11-23 | 2021-11-26 | -1.38 | 3 |
| 2021-11-17 | 2021-11-19 | -1.35 | 2 |
| 2022-02-22 | 2022-02-25 | -1.15 | 3 |
| 2022-01-25 | 2022-01-26 | -0.29 | 1 |