BandTrade Strategy for JNUG/JDST pair

6 Jan, 2021 - 4 May, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	66.0%	100.0%
Cumulative Return	27.9%	12.29%
CAGR%	114.09%	43.14%
Sharpe	1.59	2.57
Sortino	2.81	3.96
Sortino/√2	1.99	2.8
Max Drawdown	-17.67%	-4.06%
Longest DD Days	63	23
Volatility (ann.)	57.7%	14.29%
R^2	0.01	0.01
Calmar	6.46	10.63
Skew	0.91	-0.36
Kurtosis	2.58	0.84
Expected Daily %	0.3%	0.14%
Expected Monthly %	5.04%	2.35%
Expected Yearly %	27.9%	12.29%
Kelly Criterion	12.95%	12.7%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.61%	-1.34%
Expected Shortfall (cVaR)	-5.61%	-1.34%
Gain/Pain Ratio	0.4	0.54
Gain/Pain (1M)	2.07	18.29
Payoff Ratio	1.35	0.96
Profit Factor	1.4	1.54
Common Sense Ratio	1.83	1.73
CPC Index	0.94	0.84
Tail Ratio	1.31	1.12
Outlier Win Ratio	3.45	9.05
Outlier Loss Ratio	1.73	7.57
MTD	4.52%	-0.4%
3M	17.33%	12.68%
6M	27.9%	12.29%
YTD	27.9%	12.29%
1Y	27.9%	12.29%
3Y (ann.)	114.09%	43.14%
5Y (ann.)	114.09%	43.14%
10Y (ann.)	114.09%	43.14%
All-time (ann.)	114.09%	43.14%
Best Day	13.3%	2.42%
Worst Day	-8.07%	-2.44%
Best Month	28.91%	5.29%
Worst Month	-14.5%	-0.4%
Best Year	27.9%	12.29%
Worst Year	27.9%	12.29%
Avg. Drawdown	-10.55%	-1.15%
Avg. Drawdown Days	28	6
Recovery Factor	1.58	3.03
Ulcer Index	inf	1.06
Avg. Up Month	15.38%	4.04%
Avg. Down Month	nan%	nan%
Win Days %	50.0%	57.32%
Win Month %	80.0%	60.0%
Win Quarter %	100.0%	100.0%
Win Year %	100.0%	100.0%
Beta	0.43	-
Alpha	0.76	-