Strategy Tearsheet

15 May, 2020 - 6 Jul, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	4.15%
Time in Market	100.0%
Cumulative Return	43.11%
CAGR﹪	6.15%
Sharpe	1.16
Prob. Sharpe Ratio	95.74%
Smart Sharpe	1.15
Sortino	1.7
Smart Sortino	1.68
Sortino/√2	1.2
Smart Sortino/√2	1.19
Omega	1.26
Max Drawdown	-7.04%
Longest DD Days	161
Volatility (ann.)	7.54%
Calmar	0.87
Skew	-0.22
Kurtosis	7.92
Expected Daily	0.05%
Expected Monthly	0.71%
Expected Yearly	7.43%
Kelly Criterion	16.08%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.73%
Expected Shortfall (cVaR)	-0.73%
Max Consecutive Wins	8
Max Consecutive Losses	8
Gain/Pain Ratio	0.4
Gain/Pain (1M)	2.25
Payoff Ratio	1.08
Profit Factor	1.4
Common Sense Ratio	1.56
CPC Index	0.85
Tail Ratio	1.11
Outlier Win Ratio	4.61
Outlier Loss Ratio	4.6
MTD	0.13%
3M	0.41%
6M	0.34%
YTD	1.65%
1Y	8.32%
3Y (ann.)	5.7%
5Y (ann.)	6.15%
10Y (ann.)	6.15%
All-time (ann.)	6.15%
Best Day	2.6%
Worst Day	-3.06%
Best Month	5.23%
Worst Month	-5.37%
Best Year	12.67%
Worst Year	1.65%
Avg. Drawdown	-0.85%
Avg. Drawdown Days	15
Recovery Factor	5.21
Ulcer Index	0.02
Serenity Index	2.28
Avg. Up Month	1.52%
Avg. Down Month	-1.03%
Win Days	56.39%
Win Month	68.63%
Win Quarter	94.44%
Win Year	100.0%