Strategy Tearsheet

28 Apr, 1995 - 23 Sep, 2021

Key Performance Metrics

Metric	benchmark	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	296.41%	1,800.07%
CAGR﹪	3.66%	8.0%
Sharpe	0.38	0.7
Prob. Sharpe Ratio	97.52%	99.98%
Smart Sharpe	0.36	0.66
Sortino	0.53	0.99
Smart Sortino	0.5	0.92
Sortino/√2	0.38	0.7
Smart Sortino/√2	0.35	0.65
Omega	1.14	1.14
Max Drawdown	-57.42%	-49.24%
Longest DD Days	2042	1057
Volatility (ann.)	17.66%	18.21%
R^2	0.9	0.9
Information Ratio	0.07	0.07
Calmar	0.06	0.16
Skew	-0.28	-0.38
Kurtosis	7.36	10.15
Expected Daily	0.02%	0.04%
Expected Monthly	0.43%	0.93%
Expected Yearly	5.23%	11.52%
Kelly Criterion	1.48%	7.03%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.8%	-1.84%
Expected Shortfall (cVaR)	-1.8%	-1.84%
Max Consecutive Wins	13	18
Max Consecutive Losses	11	11
Gain/Pain Ratio	0.07	0.14
Gain/Pain (1M)	0.35	0.75
Payoff Ratio	0.87	0.92
Profit Factor	1.07	1.14
Common Sense Ratio	1.02	1.09
CPC Index	0.51	0.58
Tail Ratio	0.95	0.96
Outlier Win Ratio	4.26	4.16
Outlier Loss Ratio	4.16	4.09
MTD	-1.57%	-0.98%
3M	1.06%	1.89%
6M	5.75%	7.3%
YTD	14.23%	13.22%
1Y	30.88%	23.08%
3Y (ann.)	4.24%	3.79%
5Y (ann.)	3.58%	3.61%
10Y (ann.)	4.15%	5.88%
All-time (ann.)	3.66%	8.0%
Best Day	9.0%	9.73%
Worst Day	-10.59%	-12.67%
Best Month	16.8%	13.27%
Worst Month	-33.13%	-35.52%
Best Year	57.17%	41.37%
Worst Year	-43.44%	-32.59%
Avg. Drawdown	-2.75%	-2.33%
Avg. Drawdown Days	51	28
Recovery Factor	3.12	6.88
Ulcer Index	0.17	0.11
Serenity Index	0.37	1.84
Avg. Up Month	3.5%	3.93%
Avg. Down Month	-4.97%	-4.44%
Win Days	54.2%	55.48%
Win Month	63.84%	66.98%
Win Quarter	66.04%	68.87%
Win Year	70.37%	81.48%
Beta	-	0.98
Alpha	-	0.06
Correlation	-	95.11%
Treynor Ratio	-	1835.2%