| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -38.71% | 8.56% |
| CAGR﹪ | -45.21% | 10.62% |
| Sharpe | -1.59 | 6.35 |
| Prob. Sharpe Ratio | 6.02% | 99.94% |
| Smart Sharpe | -1.33 | 5.35 |
| Sortino | -1.83 | - |
| Smart Sortino | -1.54 | - |
| Sortino/√2 | -1.3 | - |
| Smart Sortino/√2 | -1.09 | - |
| Omega | 0.7 | 0.7 |
| Max Drawdown | -41.62% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 37.92% | 1.79% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | -1.09 | - |
| Skew | -3.09 | 13.14 |
| Kurtosis | 24.13 | 175.5 |
| Expected Daily | -0.27% | 0.05% |
| Expected Monthly | -4.35% | 0.75% |
| Expected Yearly | -21.71% | 4.19% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.17% | -0.14% |
| Expected Shortfall (cVaR) | -4.17% | -0.14% |
| Max Consecutive Wins | 7 | 181 |
| Max Consecutive Losses | 5 | 0 |
| Gain/Pain Ratio | -0.3 | - |
| Gain/Pain (1M) | -0.76 | - |
| Payoff Ratio | - | - |
| Profit Factor | 0.7 | - |
| Common Sense Ratio | 0.46 | - |
| CPC Index | - | - |
| Tail Ratio | 0.67 | 1.93 |
| Outlier Win Ratio | 2.02 | 50.47 |
| Outlier Loss Ratio | 2.1 | - |
| MTD | -5.6% | 0.58% |
| 3M | -3.85% | 2.43% |
| 6M | -31.68% | 5.77% |
| YTD | -35.3% | 6.21% |
| 1Y | -38.71% | 8.56% |
| 3Y (ann.) | -45.21% | 10.62% |
| 5Y (ann.) | -45.21% | 10.62% |
| 10Y (ann.) | -45.21% | 10.62% |
| All-time (ann.) | -45.21% | 10.62% |
| Best Day | 8.78% | 1.55% |
| Worst Day | -18.7% | 0.0% |
| Best Month | 8.78% | 1.55% |
| Worst Month | -28.39% | 0.4% |
| Best Year | -5.27% | 6.21% |
| Worst Year | -35.3% | 2.21% |
| Avg. Drawdown | -14.46% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.93 | - |
| Ulcer Index | 0.26 | 0.0 |
| Serenity Index | -0.08 | - |
| Avg. Up Month | 4.47% | 0.92% |
| Avg. Down Month | - | - |
| Win Days | 47.49% | 100.0% |
| Win Month | 27.27% | 100.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | 5.82 | - |
| Alpha | -1.26 | - |
| Correlation | 27.54% | - |
| Treynor Ratio | -6.65% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 2.21 | -5.27 | -2.38 | - |
| 2022 | 6.21 | -35.30 | -5.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-10-20 | 2022-07-21 | -41.62 | 274 |
| 2021-09-28 | 2021-10-05 | -1.20 | 7 |
| 2021-10-12 | 2021-10-19 | -0.57 | 7 |