Strategy Tearsheet

17 Apr, 2022 - 11 Apr, 2024

Key Performance Metrics

Metric	Benchmark	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	69.0%	100.0%
Cumulative Return	16.64%	-14.01%
CAGR﹪	5.5%	-5.11%
Sharpe	0.43	-0.03
Prob. Sharpe Ratio	76.51%	48.02%
Smart Sharpe	0.43	-0.03
Sortino	0.61	-0.04
Smart Sortino	0.61	-0.04
Sortino/√2	0.43	-0.03
Smart Sortino/√2	0.43	-0.03
Omega	0.99	0.99
Max Drawdown	-19.84%	-31.67%
Longest DD Days	448	386
Volatility (ann.)	15.24%	29.58%
R^2	0.0	0.0
Information Ratio	-0.01	-0.01
Calmar	0.28	-0.16
Skew	-0.11	0.03
Kurtosis	4.26	1.21
Expected Daily	0.02%	-0.02%
Expected Monthly	0.62%	-0.6%
Expected Yearly	5.26%	-4.91%
Kelly Criterion	8.29%	-11.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.55%	-3.07%
Expected Shortfall (cVaR)	-1.55%	-3.07%
Max Consecutive Wins	5	7
Max Consecutive Losses	4	10
Gain/Pain Ratio	0.09	-0.01
Gain/Pain (1M)	0.41	-0.03
Payoff Ratio	1.18	0.84
Profit Factor	1.09	0.99
Common Sense Ratio	1.2	0.9
CPC Index	0.65	0.41
Tail Ratio	1.1	0.9
Outlier Win Ratio	8.3	2.81
Outlier Loss Ratio	4.73	2.9
MTD	-2.3%	0.37%
3M	7.18%	-11.93%
6M	17.05%	-23.68%
YTD	7.41%	-16.16%
1Y	24.69%	-7.37%
3Y (ann.)	5.5%	-5.11%
5Y (ann.)	5.5%	-5.11%
10Y (ann.)	5.5%	-5.11%
All-time (ann.)	5.5%	-5.11%
Best Day	5.54%	7.12%
Worst Day	-4.32%	-6.37%
Best Month	8.42%	16.36%
Worst Month	-9.61%	-15.23%
Best Year	24.23%	3.64%
Worst Year	-12.59%	-16.16%
Avg. Drawdown	-2.19%	-7.21%
Avg. Drawdown Days	30	55
Recovery Factor	0.94	0.08
Ulcer Index	0.09	0.16
Serenity Index	0.13	-0.01
Avg. Up Month	4.96%	6.25%
Avg. Down Month	-5.05%	-9.17%
Win Days	50.4%	49.17%
Win Month	56.0%	56.0%
Win Quarter	55.56%	44.44%
Win Year	66.67%	33.33%
Beta	-	-0.04
Alpha	-	-0.01
Correlation	-	-1.99%
Treynor Ratio	-	362.16%