| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -0.38% | 6.24% |
| CAGR﹪ | -0.64% | 10.67% |
| Sharpe | 0.38 | 36.54 |
| Prob. Sharpe Ratio | 62.44% | 100.0% |
| Smart Sharpe | 0.13 | 12.45 |
| Sortino | 0.72 | - |
| Smart Sortino | 0.25 | - |
| Sortino/√2 | 0.51 | - |
| Smart Sortino/√2 | 0.17 | - |
| Omega | 1.25 | 1.25 |
| Max Drawdown | -38.04% | - |
| Longest DD Days | - | - |
| Volatility (ann.) | 87.09% | 0.27% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | -0.02 | - |
| Skew | 5.51 | -0.61 |
| Kurtosis | 86.61 | -0.44 |
| Expected Daily | -0.0% | 0.04% |
| Expected Monthly | -0.05% | 0.76% |
| Expected Yearly | -0.19% | 3.08% |
| Kelly Criterion | - | - |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -8.89% | -0.01% |
| Expected Shortfall (cVaR) | -8.89% | -0.01% |
| Max Consecutive Wins | 3 | 152 |
| Max Consecutive Losses | 6 | 0 |
| Gain/Pain Ratio | 0.25 | - |
| Gain/Pain (1M) | 2.94 | - |
| Payoff Ratio | - | - |
| Profit Factor | 1.25 | - |
| Common Sense Ratio | 1.67 | - |
| CPC Index | - | - |
| Tail Ratio | 1.34 | 8.37 |
| Outlier Win Ratio | 1.0 | 35.15 |
| Outlier Loss Ratio | 1.17 | - |
| MTD | -0.41% | 1.17% |
| 3M | 1.05% | 3.2% |
| 6M | -0.45% | 5.82% |
| YTD | 0.81% | 2.17% |
| 1Y | -0.38% | 6.24% |
| 3Y (ann.) | -0.64% | 10.67% |
| 5Y (ann.) | -0.64% | 10.67% |
| 10Y (ann.) | -0.64% | 10.67% |
| All-time (ann.) | -0.64% | 10.67% |
| Best Day | 56.74% | 0.06% |
| Worst Day | -35.42% | 0.0% |
| Best Month | 5.57% | 1.17% |
| Worst Month | -3.31% | 0.17% |
| Best Year | 0.81% | 3.99% |
| Worst Year | -1.18% | 2.17% |
| Avg. Drawdown | -11.84% | - |
| Avg. Drawdown Days | - | - |
| Recovery Factor | -0.01 | - |
| Ulcer Index | 0.05 | 0.0 |
| Serenity Index | -0.05 | - |
| Avg. Up Month | 2.4% | 0.71% |
| Avg. Down Month | - | - |
| Win Days | 46.36% | 100.0% |
| Win Month | 37.5% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 50.0% | 100.0% |
| Beta | 11.4 | - |
| Alpha | -0.8 | - |
| Correlation | 3.58% | - |
| Treynor Ratio | -0.03% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 3.99 | -1.18 | -0.30 | - |
| 2022 | 2.17 | 0.81 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-25 | 2022-02-25 | -38.04 | 31 |
| 2021-08-23 | 2022-01-24 | -8.15 | 154 |
| 2021-07-28 | 2021-08-19 | -1.04 | 22 |
| 2021-07-23 | 2021-07-27 | -0.12 | 4 |