Strategy Performance Report

10 Dec, 2020 - 11 Oct, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	2.0%
Cumulative Return	407.85%
CAGR﹪	26.08%
Sharpe	0.94
Prob. Sharpe Ratio	100.0%
Smart Sharpe	0.93
Sortino	3.82
Smart Sortino	3.81
Sortino/√2	2.7
Smart Sortino/√2	2.69
Omega	6.54
Max Drawdown	-17.62%
Max DD Date	2022-11-09
Max DD Period Start	2022-08-20
Max DD Period End	2023-04-19
Longest DD Days	243
Volatility (ann.)	28.52%
Calmar	1.48
Skew	14.57
Kurtosis	260.55
Expected Daily	0.09%
Expected Monthly	2.79%
Expected Yearly	31.11%
Kelly Criterion	60.51%
Risk of Ruin	0.0%
Daily Value-at-Risk	-2.85%
Expected Shortfall (cVaR)	-10.24%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	5.54
Gain/Pain (1M)	5.54
Payoff Ratio	2.62
Profit Factor	6.54
Common Sense Ratio	-
CPC Index	12.23
Tail Ratio	-
Outlier Win Ratio	0.0
Outlier Loss Ratio	-0.0
MTD	-2.24%
3M	1.07%
6M	15.49%
YTD	15.49%
1Y	54.11%
3Y (ann.)	32.05%
5Y (ann.)	26.08%
10Y (ann.)	26.08%
All-time (ann.)	26.08%
Best Day	39.68%
Worst Day	-12.32%
Best Month	39.68%
Worst Month	-12.32%
Best Year	84.23%
Worst Year	-14.96%
Avg. Drawdown	-8.24%
Avg. Drawdown Days	145
Recovery Factor	10.62
Ulcer Index	0.05
Serenity Index	4.36
Avg. Up Month	14.72%
Avg. Down Month	-5.62%
Win Days	71.43%
Win Month	71.43%
Win Quarter	76.47%
Win Year	80.0%