Strategy Tearsheet

23 Oct, 1995 - 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	490.89%	3,475.23%
CAGR﹪	4.75%	9.79%
Sharpe	0.41	0.8
Prob. Sharpe Ratio	98.06%	100.0%
Smart Sharpe	0.37	0.73
Sortino	0.58	1.18
Smart Sortino	0.53	1.07
Sortino/√2	0.41	0.83
Smart Sortino/√2	0.38	0.76
Omega	1.16	1.16
Max Drawdown	-72.14%	-38.54%
Longest DD Days	2689	789
Volatility (ann.)	24.03%	19.58%
R^2	0.01	0.01
Information Ratio	0.01	0.01
Calmar	0.07	0.25
Skew	0.15	-0.02
Kurtosis	12.48	4.21
Expected Daily	0.03%	0.05%
Expected Monthly	0.56%	1.13%
Expected Yearly	6.55%	13.63%
Kelly Criterion	1.96%	8.69%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.45%	-1.97%
Expected Shortfall (cVaR)	-2.45%	-1.97%
Max Consecutive Wins	14	11
Max Consecutive Losses	10	11
Gain/Pain Ratio	0.08	0.16
Gain/Pain (1M)	0.34	0.95
Payoff Ratio	0.93	1.04
Profit Factor	1.08	1.16
Common Sense Ratio	1.06	1.21
CPC Index	0.53	0.64
Tail Ratio	0.98	1.05
Outlier Win Ratio	3.98	4.56
Outlier Loss Ratio	3.79	4.53
MTD	-5.6%	5.02%
3M	-1.9%	5.3%
6M	-7.63%	10.24%
YTD	-1.61%	5.28%
1Y	-16.31%	-6.54%
3Y (ann.)	-4.18%	2.0%
5Y (ann.)	1.15%	1.65%
10Y (ann.)	2.57%	6.99%
All-time (ann.)	4.75%	9.79%
Best Day	17.19%	8.54%
Worst Day	-14.17%	-8.72%
Best Month	32.57%	32.89%
Worst Month	-41.06%	-21.7%
Best Year	78.31%	59.67%
Worst Year	-43.02%	-20.99%
Avg. Drawdown	-4.16%	-2.69%
Avg. Drawdown Days	69	32
Recovery Factor	3.5	10.57
Ulcer Index	0.23	0.12
Serenity Index	0.39	1.9
Avg. Up Month	5.26%	4.18%
Avg. Down Month	-5.48%	-4.13%
Win Days	52.76%	53.41%
Win Month	55.35%	62.26%
Win Quarter	57.55%	68.87%
Win Year	53.57%	71.43%
Beta	-	0.09
Alpha	-	0.15
Correlation	-	11.06%
Treynor Ratio	-	38550.95%