Trade JNUG volatility above GDXJ SMA-50, Jun-20 to Jun-21

4 Jun, 2020 - 10 Jun, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	11.0%	100.0%
Cumulative Return	64.84%	37.87%
CAGR%	63.52%	37.16%
Sharpe	1.67	1.96
Sortino	3.19	2.72
Sortino/√2	2.26	1.93
Max Drawdown	-10.65%	-9.44%
Longest DD Days	6	69
Volatility (ann.)	32.5%	16.77%
R^2	0.01	0.01
Calmar	5.96	3.94
Skew	1.92	-1.14
Kurtosis	18.16	4.01
Expected Daily %	0.19%	0.13%
Expected Monthly %	3.92%	2.5%
Expected Yearly %	28.39%	17.42%
Kelly Criterion	48.48%	42.73%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.15%	-1.61%
Expected Shortfall (cVaR)	-3.15%	-1.61%
Gain/Pain Ratio	1.29	0.39
Gain/Pain (1M)	18.58	4.6
Payoff Ratio	3.21	2.76
Profit Factor	2.29	1.39
Common Sense Ratio	inf	1.44
CPC Index	4.47	2.23
Tail Ratio	inf	1.03
Outlier Win Ratio	15.4	7.71
Outlier Loss Ratio	1.11	5.5
MTD	-2.95%	0.85%
3M	8.64%	9.77%
6M	8.64%	15.3%
YTD	8.64%	13.67%
1Y	69.14%	34.17%
3Y (ann.)	63.52%	37.16%
5Y (ann.)	63.52%	37.16%
10Y (ann.)	63.52%	37.16%
All-time (ann.)	63.52%	37.16%
Best Day	12.17%	2.56%
Worst Day	-10.65%	-5.76%
Best Month	27.52%	10.88%
Worst Month	-2.95%	-3.74%
Best Year	51.73%	21.29%
Worst Year	8.64%	13.67%
Avg. Drawdown	-6.09%	-1.43%
Avg. Drawdown Days	3	8
Recovery Factor	6.09	4.01
Ulcer Index	inf	1.03
Avg. Up Month	19.73%	3.82%
Avg. Down Month	nan%	nan%
Win Days %	60.71%	57.98%
Win Month %	80.0%	69.23%
Win Quarter %	100.0%	80.0%
Win Year %	100.0%	100.0%
Beta	-0.16	-
Alpha	0.6	-