Trade JNUG/JDST (based on GDXJ SMA)volatility, 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	50.0%	100.0%
Cumulative Return	102.46%	37.87%
CAGR%	100.17%	37.16%
Sharpe	1.54	1.96
Sortino	2.56	2.72
Sortino/√2	1.81	1.93
Max Drawdown	-23.09%	-9.44%
Longest DD Days	64	69
Volatility (ann.)	54.55%	16.77%
R^2	0.0	0.0
Calmar	4.34	3.94
Skew	0.76	-1.14
Kurtosis	4.52	4.01
Expected Daily %	0.27%	0.13%
Expected Monthly %	5.58%	2.5%
Expected Yearly %	42.29%	17.42%
Kelly Criterion	12.87%	16.36%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-5.32%	-1.61%
Expected Shortfall (cVaR)	-5.32%	-1.61%
Gain/Pain Ratio	0.43	0.39
Gain/Pain (1M)	6.64	4.6
Payoff Ratio	1.14	1.01
Profit Factor	1.43	1.39
Common Sense Ratio	1.59	1.44
CPC Index	0.87	0.82
Tail Ratio	1.11	1.03
Outlier Win Ratio	4.51	8.13
Outlier Loss Ratio	1.69	7.22
MTD	-2.12%	0.85%
3M	-13.42%	9.77%
6M	15.52%	15.3%
YTD	6.03%	13.67%
1Y	107.75%	34.17%
3Y (ann.)	100.17%	37.16%
5Y (ann.)	100.17%	37.16%
10Y (ann.)	100.17%	37.16%
All-time (ann.)	100.17%	37.16%
Best Day	18.33%	2.56%
Worst Day	-11.44%	-5.76%
Best Month	19.43%	10.88%
Worst Month	-6.29%	-3.74%
Best Year	90.94%	21.29%
Worst Year	6.03%	13.67%
Avg. Drawdown	-9.75%	-1.43%
Avg. Drawdown Days	20	8
Recovery Factor	4.44	4.01
Ulcer Index	inf	1.03
Avg. Up Month	11.9%	5.78%
Avg. Down Month	-3.57%	-2.49%
Win Days %	53.54%	57.98%
Win Month %	66.67%	69.23%
Win Quarter %	80.0%	80.0%
Win Year %	100.0%	100.0%
Beta	-0.16	-
Alpha	0.89	-