| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | -99.88% | -9.06% |
| CAGR﹪ | -93.44% | -3.76% |
| Sharpe | -0.55 | -0.07 |
| Prob. Sharpe Ratio | 7.17% | 45.62% |
| Smart Sharpe | -0.55 | -0.07 |
| Sortino | -0.55 | -0.11 |
| Smart Sortino | -0.55 | -0.11 |
| Sortino/√2 | -0.39 | -0.08 |
| Smart Sortino/√2 | -0.39 | -0.08 |
| Omega | 0.17 | 0.17 |
| Max Drawdown | -99.9% | -39.65% |
| Longest DD Days | 849 | 478 |
| Volatility (ann.) | 64.73% | 22.07% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | -0.94 | -0.09 |
| Skew | -24.49 | 1.34 |
| Kurtosis | 600.09 | 14.67 |
| Expected Daily | -1.12% | -0.02% |
| Expected Monthly | -19.58% | -0.31% |
| Expected Yearly | -89.48% | -3.12% |
| Kelly Criterion | 94.94% | -3.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.85% | -2.29% |
| Expected Shortfall (cVaR) | -6.85% | -2.29% |
| Max Consecutive Wins | 43 | 6 |
| Max Consecutive Losses | 1 | 9 |
| Gain/Pain Ratio | -0.83 | -0.01 |
| Gain/Pain (1M) | -0.85 | -0.05 |
| Payoff Ratio | 2.76 | 1.08 |
| Profit Factor | 0.17 | 0.99 |
| Common Sense Ratio | - | 1.09 |
| CPC Index | 0.45 | 0.49 |
| Tail Ratio | - | 1.11 |
| Outlier Win Ratio | 68.17 | 2.25 |
| Outlier Loss Ratio | 0.39 | 2.47 |
| MTD | 0.5% | 10.1% |
| 3M | 2.9% | -25.87% |
| 6M | 5.84% | -26.13% |
| YTD | 6.18% | -24.15% |
| 1Y | 9.57% | -23.83% |
| 3Y (ann.) | -93.44% | -3.76% |
| 5Y (ann.) | -93.44% | -3.76% |
| 10Y (ann.) | -93.44% | -3.76% |
| All-time (ann.) | -93.44% | -3.76% |
| Best Day | 1.82% | 10.7% |
| Worst Day | -99.9% | -6.67% |
| Best Month | 1.42% | 17.19% |
| Worst Month | -99.9% | -16.34% |
| Best Year | 6.18% | 19.46% |
| Worst Year | -99.9% | -24.15% |
| Avg. Drawdown | -14.29% | -7.86% |
| Avg. Drawdown Days | 123 | 86 |
| Recovery Factor | -1.0 | -0.23 |
| Ulcer Index | 0.97 | 0.12 |
| Serenity Index | -0.03 | -0.05 |
| Avg. Up Month | 0.47% | 3.14% |
| Avg. Down Month | - | - |
| Win Days | 96.28% | 46.5% |
| Win Month | 96.77% | 54.84% |
| Win Quarter | 90.91% | 54.55% |
| Win Year | 66.67% | 66.67% |
| Beta | -0.33 | - |
| Alpha | -0.36 | - |
| Correlation | -11.24% | - |
| Treynor Ratio | 303.06% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 19.46 | -99.90 | -5.13 | - |
| 2021 | 0.36 | 5.55 | 15.58 | + |
| 2022 | -24.15 | 6.18 | -0.26 | + |
| 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 | 2020-03-02 | -0.02 | 3 |
| 2020-03-16 | 2020-03-17 | -0.02 | 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 |