Strategy Tearsheet

7 Jan, 2000 - 23 Mar, 2022

Key Performance Metrics

Metric	benchmark	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	707.99%	1,437.36%
CAGR﹪	6.71%	8.86%
Sharpe	0.5	0.58
Prob. Sharpe Ratio	98.98%	99.65%
Smart Sharpe	0.47	0.54
Sortino	0.71	0.82
Smart Sortino	0.66	0.77
Sortino/√2	0.5	0.58
Smart Sortino/√2	0.47	0.54
Omega	1.11	1.11
Max Drawdown	-47.95%	-58.09%
Longest DD Days	1669	2246
Volatility (ann.)	26.03%	28.73%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	0.14	0.15
Skew	-0.26	-0.28
Kurtosis	8.76	5.41
Expected Daily	0.04%	0.05%
Expected Monthly	0.79%	1.03%
Expected Yearly	9.51%	12.62%
Kelly Criterion	2.36%	7.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.65%	-2.91%
Expected Shortfall (cVaR)	-2.65%	-2.91%
Max Consecutive Wins	11	13
Max Consecutive Losses	11	10
Gain/Pain Ratio	0.09	0.11
Gain/Pain (1M)	0.5	0.58
Payoff Ratio	0.97	1.05
Profit Factor	1.09	1.11
Common Sense Ratio	1.08	1.09
CPC Index	0.55	0.61
Tail Ratio	0.99	0.99
Outlier Win Ratio	3.93	3.64
Outlier Loss Ratio	4.25	3.9
MTD	-0.34%	4.24%
3M	-2.69%	3.85%
6M	-12.9%	-8.17%
YTD	0.5%	1.88%
1Y	-12.0%	-3.28%
3Y (ann.)	4.56%	8.87%
5Y (ann.)	7.24%	3.95%
10Y (ann.)	3.57%	7.2%
All-time (ann.)	6.71%	8.86%
Best Day	14.09%	12.55%
Worst Day	-16.28%	-13.77%
Best Month	28.15%	29.04%
Worst Month	-35.47%	-42.27%
Best Year	73.81%	121.42%
Worst Year	-21.26%	-39.7%
Avg. Drawdown	-4.64%	-5.63%
Avg. Drawdown Days	54	61
Recovery Factor	5.9	6.26
Ulcer Index	0.15	0.31
Serenity Index	1.07	0.38
Avg. Up Month	5.13%	5.66%
Avg. Down Month	-5.95%	-6.13%
Win Days	51.9%	52.48%
Win Month	58.8%	62.92%
Win Quarter	61.8%	57.3%
Win Year	65.22%	73.91%
Beta	-	0.13
Alpha	-	0.15
Correlation	-	11.68%
Treynor Ratio	-	11146.67%