Strategy Tearsheet

31 Mar, 1994 - 6 Apr, 2021

Key Performance Metrics

Metric	benchmark	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	445.12%	1,198.67%
CAGR﹪	4.43%	6.77%
Sharpe	0.41	0.56
Prob. Sharpe Ratio	98.42%	99.82%
Smart Sharpe	0.39	0.53
Sortino	0.58	0.79
Smart Sortino	0.54	0.75
Sortino/√2	0.41	0.56
Smart Sortino/√2	0.38	0.53
Omega	1.11	1.11
Max Drawdown	-69.11%	-60.97%
Longest DD Days	2249	1966
Volatility (ann.)	19.92%	20.59%
R^2	0.92	0.92
Information Ratio	0.04	0.04
Calmar	0.06	0.11
Skew	-0.18	-0.14
Kurtosis	7.93	11.1
Expected Daily	0.02%	0.04%
Expected Monthly	0.52%	0.79%
Expected Yearly	6.24%	9.59%
Kelly Criterion	3.23%	4.42%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.03%	-2.09%
Expected Shortfall (cVaR)	-2.03%	-2.09%
Max Consecutive Wins	14	11
Max Consecutive Losses	11	12
Gain/Pain Ratio	0.08	0.11
Gain/Pain (1M)	0.37	0.55
Payoff Ratio	0.9	0.93
Profit Factor	1.08	1.11
Common Sense Ratio	1.01	1.04
CPC Index	0.52	0.56
Tail Ratio	0.94	0.93
Outlier Win Ratio	3.89	3.76
Outlier Loss Ratio	3.94	3.96
MTD	1.03%	0.81%
3M	7.34%	3.93%
6M	21.23%	14.45%
YTD	9.66%	5.91%
1Y	51.95%	44.0%
3Y (ann.)	2.93%	2.44%
5Y (ann.)	5.1%	4.89%
10Y (ann.)	5.16%	5.88%
All-time (ann.)	4.43%	6.77%
Best Day	12.54%	14.54%
Worst Day	-11.87%	-13.36%
Best Month	19.96%	16.06%
Worst Month	-37.24%	-39.12%
Best Year	43.12%	42.61%
Worst Year	-45.75%	-43.98%
Avg. Drawdown	-2.97%	-2.71%
Avg. Drawdown Days	56	39
Recovery Factor	3.23	5.15
Ulcer Index	0.23	0.2
Serenity Index	0.27	0.54
Avg. Up Month	4.1%	4.29%
Avg. Down Month	-5.57%	-5.34%
Win Days	54.27%	54.02%
Win Month	63.19%	66.56%
Win Quarter	66.36%	68.18%
Win Year	75.0%	75.0%
Beta	-	0.99
Alpha	-	0.03
Correlation	-	95.79%
Treynor Ratio	-	1210.34%