Strategy Performance Report

16 Jan, 2020 - 6 Jan, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	10.0%
Cumulative Return	421.41%
CAGR﹪	21.0%
Sharpe	1.8
Prob. Sharpe Ratio	100.0%
Smart Sharpe	1.78
Sortino	6.19
Smart Sortino	6.12
Sortino/√2	4.38
Smart Sortino/√2	4.33
Omega	3.57
Max Drawdown	-7.81%
Max DD Date	2020-05-22
Max DD Period Start	2020-04-21
Max DD Period End	2020-06-08
Longest DD Days	161
Volatility (ann.)	10.93%
Calmar	2.69
Skew	7.13
Kurtosis	73.41
Expected Daily	0.08%
Expected Monthly	2.29%
Expected Yearly	26.61%
Kelly Criterion	41.66%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.05%
Expected Shortfall (cVaR)	-1.78%
Max Consecutive Wins	2
Max Consecutive Losses	2
Gain/Pain Ratio	2.57
Gain/Pain (1M)	6.08
Payoff Ratio	2.59
Profit Factor	3.57
Common Sense Ratio	-
CPC Index	5.36
Tail Ratio	-
Outlier Win Ratio	30.52
Outlier Loss Ratio	1.32
MTD	0.04%
3M	4.33%
6M	5.64%
YTD	0.04%
1Y	20.66%
3Y (ann.)	14.3%
5Y (ann.)	16.06%
10Y (ann.)	21.0%
All-time (ann.)	21.0%
Best Day	10.91%
Worst Day	-3.61%
Best Month	14.85%
Worst Month	-5.17%
Best Year	70.64%
Worst Year	0.04%
Avg. Drawdown	-1.95%
Avg. Drawdown Days	44
Recovery Factor	21.78
Ulcer Index	0.02
Serenity Index	12.14
Avg. Up Month	4.01%
Avg. Down Month	-1.22%
Win Days	57.89%
Win Month	68.49%
Win Quarter	92.0%
Win Year	100.0%