Strategy Tearsheet

9 Feb, 2024 - 7 Feb, 2025

Key Performance Metrics

Metric	Close	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	96.0%	100.0%
Cumulative Return	20.56%	14.66%
CAGR﹪	13.82%	9.94%
Sharpe	1.51	0.88
Prob. Sharpe Ratio	93.24%	80.59%
Smart Sharpe	1.41	0.82
Sortino	2.15	1.19
Smart Sortino	2.01	1.11
Sortino/√2	1.52	0.84
Smart Sortino/√2	1.42	0.78
Omega	1.19	1.19
Max Drawdown	-8.41%	-13.23%
Longest DD Days	64	101
Volatility (ann.)	12.51%	16.66%
R^2	0.32	0.32
Information Ratio	-0.02	-0.02
Calmar	1.64	0.75
Skew	-0.5	-1.08
Kurtosis	1.76	8.2
Expected Daily	0.07%	0.05%
Expected Monthly	1.45%	1.06%
Expected Yearly	9.8%	7.08%
Kelly Criterion	6.11%	3.09%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.22%	-1.67%
Expected Shortfall (cVaR)	-1.22%	-1.67%
Max Consecutive Wins	10	7
Max Consecutive Losses	6	5
Gain/Pain Ratio	0.3	0.19
Gain/Pain (1M)	2.58	2.58
Payoff Ratio	0.78	0.81
Profit Factor	1.3	1.19
Common Sense Ratio	1.12	1.31
CPC Index	0.6	0.54
Tail Ratio	0.86	1.1
Outlier Win Ratio	4.3	3.66
Outlier Loss Ratio	4.43	4.0
MTD	-0.17%	0.28%
3M	1.65%	7.22%
6M	15.06%	19.84%
YTD	2.51%	3.75%
1Y	20.56%	14.66%
3Y (ann.)	13.82%	9.94%
5Y (ann.)	13.82%	9.94%
10Y (ann.)	13.82%	9.94%
All-time (ann.)	13.82%	9.94%
Best Day	2.49%	4.49%
Worst Day	-2.98%	-5.77%
Best Month	5.96%	3.53%
Worst Month	-3.86%	-3.89%
Best Year	17.61%	10.52%
Worst Year	2.51%	3.75%
Avg. Drawdown	-1.5%	-2.41%
Avg. Drawdown Days	11	14
Recovery Factor	2.32	1.14
Ulcer Index	0.02	0.03
Serenity Index	1.89	1.12
Avg. Up Month	3.22%	2.17%
Avg. Down Month	-3.86%	-1.48%
Win Days	58.8%	56.76%
Win Month	69.23%	76.92%
Win Quarter	100.0%	80.0%
Win Year	100.0%	100.0%
Beta	-	0.75
Alpha	-	0.0
Correlation	-	56.45%
Treynor Ratio	-	19.51%