Trade JNUG/JDST (switching on GDXJ SMA 50 cross )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	36.0%	100.0%
Cumulative Return	105.21%	37.87%
CAGR%	102.83%	37.16%
Sharpe	1.65	1.96
Sortino	2.72	2.72
Sortino/√2	1.92	1.93
Max Drawdown	-20.5%	-9.44%
Longest DD Days	53	69
Volatility (ann.)	50.37%	16.77%
R^2	0.0	0.0
Calmar	5.02	3.94
Skew	0.47	-1.14
Kurtosis	5.7	4.01
Expected Daily %	0.28%	0.13%
Expected Monthly %	5.69%	2.5%
Expected Yearly %	43.25%	17.42%
Kelly Criterion	22.15%	15.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.89%	-1.61%
Expected Shortfall (cVaR)	-4.89%	-1.61%
Gain/Pain Ratio	0.57	0.39
Gain/Pain (1M)	6.22	4.6
Payoff Ratio	1.37	1.0
Profit Factor	1.57	1.39
Common Sense Ratio	2.16	1.44
CPC Index	1.18	0.81
Tail Ratio	1.38	1.03
Outlier Win Ratio	6.14	8.34
Outlier Loss Ratio	1.57	7.25
MTD	-2.96%	0.85%
3M	2.53%	9.77%
6M	33.38%	15.3%
YTD	40.11%	13.67%
1Y	110.55%	34.17%
3Y (ann.)	102.83%	37.16%
5Y (ann.)	102.83%	37.16%
10Y (ann.)	102.83%	37.16%
All-time (ann.)	102.83%	37.16%
Best Day	13.0%	2.56%
Worst Day	-14.68%	-5.76%
Best Month	27.52%	10.88%
Worst Month	-4.81%	-3.74%
Best Year	46.46%	21.29%
Worst Year	40.11%	13.67%
Avg. Drawdown	-9.56%	-1.43%
Avg. Drawdown Days	15	8
Recovery Factor	5.13	4.01
Ulcer Index	inf	1.03
Avg. Up Month	14.05%	5.17%
Avg. Down Month	-3.57%	-2.49%
Win Days %	54.95%	57.98%
Win Month %	66.67%	69.23%
Win Quarter %	80.0%	80.0%
Win Year %	100.0%	100.0%
Beta	-0.12	-
Alpha	0.87	-