Strategy Tearsheet

31 Dec, 2015 - 29 Dec, 2023

Key Performance Metrics

Metric	IWM	Fractional Momentum
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	89.67%	88.69%
CAGR﹪	5.68%	5.63%
Sharpe	0.51	0.53
Prob. Sharpe Ratio	90.34%	90.24%
Smart Sharpe	0.45	0.46
Sortino	0.78	0.75
Smart Sortino	0.69	0.65
Sortino/√2	0.55	0.53
Smart Sortino/√2	0.48	0.46
Omega	1.11	1.11
Max Drawdown	-41.13%	-48.34%
Longest DD Days	791	616
Volatility (ann.)	27.59%	25.95%
R^2	0.67	0.67
Information Ratio	-0.0	-0.0
Calmar	0.14	0.12
Skew	1.62	-0.54
Kurtosis	31.5	19.45
Expected Daily	0.04%	0.04%
Expected Monthly	0.72%	0.72%
Expected Yearly	7.37%	7.31%
Kelly Criterion	4.02%	4.28%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.8%	-2.63%
Expected Shortfall (cVaR)	-2.8%	-2.63%
Max Consecutive Wins	8	15
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.11	0.11
Gain/Pain (1M)	0.47	0.54
Payoff Ratio	0.95	0.99
Profit Factor	1.11	1.11
Common Sense Ratio	1.1	1.13
CPC Index	0.56	0.57
Tail Ratio	0.99	1.02
Outlier Win Ratio	3.75	3.75
Outlier Loss Ratio	3.59	3.69
MTD	11.72%	12.1%
3M	13.03%	14.14%
6M	8.93%	8.29%
YTD	15.11%	11.15%
1Y	17.7%	14.04%
3Y (ann.)	0.82%	7.38%
5Y (ann.)	5.01%	5.64%
10Y (ann.)	5.68%	5.63%
All-time (ann.)	5.68%	5.63%
Best Day	21.56%	13.83%
Worst Day	-13.27%	-15.46%
Best Month	25.69%	14.08%
Worst Month	-21.48%	-19.67%
Best Year	25.39%	33.16%
Worst Year	-21.62%	-10.69%
Avg. Drawdown	-3.59%	-4.11%
Avg. Drawdown Days	49	45
Recovery Factor	2.12	1.75
Ulcer Index	0.15	0.09
Serenity Index	0.36	0.93
Avg. Up Month	5.08%	4.54%
Avg. Down Month	-6.12%	-5.49%
Win Days	53.2%	52.48%
Win Month	61.8%	62.92%
Win Quarter	66.67%	69.7%
Win Year	66.67%	66.67%
Beta	-	0.77
Alpha	-	0.03
Correlation	-	81.93%
Treynor Ratio	-	115.07%