Strategy Tearsheet

2 Jan, 2018 - 30 Dec, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	100.0%
Cumulative Return	579.03%
CAGR﹪	20.8%
Sharpe	0.62
Prob. Sharpe Ratio	97.52%
Smart Sharpe	0.59
Sortino	0.9
Smart Sortino	0.86
Sortino/√2	0.64
Smart Sortino/√2	0.61
Omega	1.12
Max Drawdown	-81.53%
Longest DD Days	1045
Volatility (ann.)	55.99%
Calmar	0.26
Skew	-0.32
Kurtosis	7.84
Expected Daily	0.07%
Expected Monthly	2.31%
Expected Yearly	31.47%
Kelly Criterion	5.67%
Risk of Ruin	0.0%
Daily Value-at-Risk	-5.66%
Expected Shortfall (cVaR)	-5.66%
Max Consecutive Wins	10
Max Consecutive Losses	8
Gain/Pain Ratio	0.12
Gain/Pain (1M)	0.72
Payoff Ratio	1.07
Profit Factor	1.12
Common Sense Ratio	1.15
CPC Index	0.61
Tail Ratio	1.02
Outlier Win Ratio	4.27
Outlier Loss Ratio	4.36
MTD	-3.85%
3M	41.29%
6M	52.31%
YTD	119.42%
1Y	120.28%
3Y (ann.)	23.4%
5Y (ann.)	38.05%
10Y (ann.)	20.8%
All-time (ann.)	20.8%
Best Day	18.75%
Worst Day	-37.17%
Best Month	60.25%
Worst Month	-37.77%
Best Year	303.16%
Worst Year	-72.6%
Avg. Drawdown	-13.74%
Avg. Drawdown Days	89
Recovery Factor	4.33
Ulcer Index	0.49
Serenity Index	0.31
Avg. Up Month	19.92%
Avg. Down Month	-12.82%
Win Days	51.35%
Win Month	52.38%
Win Quarter	53.57%
Win Year	71.43%