Strategy Tearsheet

20 Feb, 2023 - 19 Feb, 2024

Key Performance Metrics

Metric	Benchmark	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	109.12%	114.32%
CAGR﹪	66.65%	69.51%
Sharpe	1.59	1.64
Prob. Sharpe Ratio	97.99%	97.87%
Smart Sharpe	1.58	1.63
Sortino	2.93	2.71
Smart Sortino	2.92	2.69
Sortino/√2	2.07	1.92
Smart Sortino/√2	2.06	1.91
Omega	1.36	1.36
Max Drawdown	-18.93%	-20.06%
Longest DD Days	101	101
Volatility (ann.)	36.0%	36.0%
R^2	0.44	0.44
Information Ratio	0.0	0.0
Calmar	3.52	3.47
Skew	1.46	0.57
Kurtosis	6.83	3.15
Expected Daily	0.2%	0.21%
Expected Monthly	5.84%	6.04%
Expected Yearly	44.61%	46.4%
Kelly Criterion	18.25%	17.27%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.5%	-3.5%
Expected Shortfall (cVaR)	-3.5%	-3.5%
Max Consecutive Wins	5	8
Max Consecutive Losses	7	8
Gain/Pain Ratio	0.37	0.36
Gain/Pain (1M)	3.19	3.19
Payoff Ratio	1.91	1.54
Profit Factor	1.37	1.36
Common Sense Ratio	2.24	1.82
CPC Index	1.22	1.05
Tail Ratio	1.63	1.34
Outlier Win Ratio	4.21	4.3
Outlier Loss Ratio	4.57	4.0
MTD	20.03%	22.44%
3M	42.44%	42.51%
6M	95.74%	100.15%
YTD	22.43%	23.36%
1Y	109.12%	114.32%
3Y (ann.)	66.65%	69.51%
5Y (ann.)	66.65%	69.51%
10Y (ann.)	66.65%	69.51%
All-time (ann.)	66.65%	69.51%
Best Day	13.81%	10.31%
Worst Day	-7.02%	-7.58%
Best Month	28.15%	28.55%
Worst Month	-7.08%	-11.29%
Best Year	70.81%	73.73%
Worst Year	22.43%	23.36%
Avg. Drawdown	-5.39%	-5.24%
Avg. Drawdown Days	15	14
Recovery Factor	4.39	4.27
Ulcer Index	0.09	0.09
Serenity Index	1.22	1.31
Avg. Up Month	13.84%	13.8%
Avg. Down Month	-6.41%	-6.81%
Win Days	46.3%	49.86%
Win Month	61.54%	69.23%
Win Quarter	80.0%	80.0%
Win Year	100.0%	100.0%
Beta	-	0.66
Alpha	-	0.21
Correlation	-	66.2%
Treynor Ratio	-	172.71%