| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 700.0% | 700.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | -99.88% | -34.62% |
| CAGR﹪ | -93.34% | -15.67% |
| Sharpe | -3.78 | -6.09 |
| Prob. Sharpe Ratio | 0.0% | 0.0% |
| Smart Sharpe | -3.77 | -6.07 |
| Sortino | -3.68 | -6.31 |
| Smart Sortino | -3.67 | -6.29 |
| Sortino/√2 | -2.6 | -4.46 |
| Smart Sortino/√2 | -2.59 | -4.45 |
| Omega | 0.0 | 0.0 |
| Max Drawdown | -99.9% | -52.1% |
| Longest DD Days | 849 | 309 |
| Volatility (ann.) | 64.57% | 36.06% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | -0.93 | -0.3 |
| Skew | -24.55 | -4.37 |
| Kurtosis | 603.09 | 86.88 |
| Expected Daily | -1.11% | -0.07% |
| Expected Monthly | -19.58% | -1.36% |
| Expected Yearly | -89.48% | -13.21% |
| Kelly Criterion | 74.33% | -65.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.83% | -3.78% |
| Expected Shortfall (cVaR) | -6.83% | -3.78% |
| Max Consecutive Wins | 43 | 11 |
| Max Consecutive Losses | 1 | 5 |
| Gain/Pain Ratio | -0.83 | -0.07 |
| Gain/Pain (1M) | -0.85 | -0.26 |
| Payoff Ratio | 0.18 | 0.39 |
| Profit Factor | 0.17 | 0.93 |
| Common Sense Ratio | - | 0.76 |
| CPC Index | 0.03 | 0.19 |
| Tail Ratio | - | 0.81 |
| Outlier Win Ratio | 67.19 | 1.87 |
| Outlier Loss Ratio | 0.61 | 2.26 |
| MTD | 0.5% | -6.86% |
| 3M | 2.9% | -11.89% |
| 6M | 5.84% | -41.59% |
| YTD | 6.18% | -45.78% |
| 1Y | 9.57% | -44.56% |
| 3Y (ann.) | -93.34% | -15.67% |
| 5Y (ann.) | -93.34% | -15.67% |
| 10Y (ann.) | -93.34% | -15.67% |
| All-time (ann.) | -93.34% | -15.67% |
| Best Day | 1.82% | 20.04% |
| Worst Day | -99.9% | -33.28% |
| Best Month | 1.42% | 15.5% |
| Worst Month | -99.9% | -30.02% |
| Best Year | 6.18% | 15.15% |
| Worst Year | -99.9% | -45.78% |
| Avg. Drawdown | -12.5% | -4.59% |
| Avg. Drawdown Days | 108 | 31 |
| Recovery Factor | -1.0 | -0.66 |
| Ulcer Index | 0.97 | 0.19 |
| Serenity Index | -0.25 | -2.51 |
| Avg. Up Month | 0.42% | 4.62% |
| Avg. Down Month | -99.9% | -9.92% |
| Win Days | 96.12% | 53.23% |
| Win Month | 96.77% | 51.61% |
| Win Quarter | 90.91% | 54.55% |
| Win Year | 66.67% | 66.67% |
| Beta | -0.27 | - |
| Alpha | -0.38 | - |
| Correlation | -15.18% | - |
| Treynor Ratio | 2942.12% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 4.71 | -99.90 | -21.23 | - |
| 2021 | 15.15 | 5.55 | 0.37 | - |
| 2022 | -45.78 | 6.18 | -0.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-03-24 | 2022-07-21 | -99.90 | 849 |
| 2020-02-18 | 2020-02-19 | -0.03 | 1 |
| 2020-02-28 | 2020-03-03 | -0.02 | 4 |
| 2020-03-16 | 2020-03-17 | -0.02 | 1 |
| 2020-01-27 | 2020-01-28 | -0.01 | 1 |
| 2020-02-11 | 2020-02-12 | -0.01 | 1 |
| 2020-03-04 | 2020-03-05 | -0.01 | 1 |
| 2020-03-06 | 2020-03-11 | -0.01 | 5 |