Strategy Performance Report

29 Mar, 2019 - 26 Dec, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	2.0%
Cumulative Return	887.67%
CAGR﹪	26.38%
Sharpe	0.59
Prob. Sharpe Ratio	99.84%
Smart Sharpe	0.59
Sortino	2.14
Smart Sortino	2.14
Sortino/√2	1.52
Smart Sortino/√2	1.51
Omega	3.81
Max Drawdown	-55.47%
Max DD Date	2019-10-04
Max DD Period Start	2019-06-17
Max DD Period End	2020-06-24
Longest DD Days	374
Volatility (ann.)	60.78%
Calmar	0.48
Skew	21.47
Kurtosis	576.86
Expected Daily	0.09%
Expected Monthly	2.83%
Expected Yearly	38.7%
Kelly Criterion	36.87%
Risk of Ruin	0.0%
Daily Value-at-Risk	-6.15%
Expected Shortfall (cVaR)	-19.11%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	2.81
Gain/Pain (1M)	2.81
Payoff Ratio	3.81
Profit Factor	3.81
Common Sense Ratio	-
CPC Index	7.25
Tail Ratio	-
Outlier Win Ratio	0.0
Outlier Loss Ratio	-0.0
MTD	-0.39%
3M	4.46%
6M	3.13%
YTD	13.37%
1Y	13.37%
3Y (ann.)	14.6%
5Y (ann.)	20.49%
10Y (ann.)	26.38%
All-time (ann.)	26.38%
Best Day	110.01%
Worst Day	-33.86%
Best Month	110.01%
Worst Month	-33.86%
Best Year	179.67%
Worst Year	-6.47%
Avg. Drawdown	-12.43%
Avg. Drawdown Days	153
Recovery Factor	6.38
Ulcer Index	0.14
Serenity Index	2.81
Avg. Up Month	31.98%
Avg. Down Month	-8.87%
Win Days	50.0%
Win Month	51.72%
Win Quarter	56.52%
Win Year	85.71%