Strategy Performance Report

8 Apr, 2022 - 5 Jan, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	2.0%
Cumulative Return	478.74%
CAGR﹪	59.69%
Sharpe	0.63
Prob. Sharpe Ratio	99.18%
Smart Sharpe	0.63
Sortino	3.86
Smart Sortino	3.86
Sortino/√2	2.73
Smart Sortino/√2	2.73
Omega	4.06
Max Drawdown	-34.96%
Max DD Date	2022-11-08
Max DD Period Start	2022-08-20
Max DD Period End	2023-02-06
Longest DD Days	321
Volatility (ann.)	159.56%
Calmar	1.71
Skew	31.6
Kurtosis	1092.57
Expected Daily	0.13%
Expected Monthly	3.89%
Expected Yearly	42.07%
Kelly Criterion	44.54%
Risk of Ruin	0.0%
Daily Value-at-Risk	-13.46%
Expected Shortfall (cVaR)	-21.16%
Max Consecutive Wins	1
Max Consecutive Losses	1
Gain/Pain Ratio	3.06
Gain/Pain (1M)	3.06
Payoff Ratio	2.81
Profit Factor	4.06
Common Sense Ratio	-
CPC Index	6.75
Tail Ratio	-
Outlier Win Ratio	0.0
Outlier Loss Ratio	-0.0
MTD	1.69%
3M	1.69%
6M	6.55%
YTD	1.69%
1Y	-14.16%
3Y (ann.)	111.37%
5Y (ann.)	59.69%
10Y (ann.)	59.69%
All-time (ann.)	59.69%
Best Day	291.9%
Worst Day	-32.41%
Best Month	291.9%
Worst Month	-32.41%
Best Year	507.2%
Worst Year	-34.96%
Avg. Drawdown	-18.34%
Avg. Drawdown Days	135
Recovery Factor	10.74
Ulcer Index	0.16
Serenity Index	5.8
Avg. Up Month	38.31%
Avg. Down Month	-13.62%
Win Days	59.09%
Win Month	59.09%
Win Quarter	57.14%
Win Year	60.0%