Strategy Tearsheet

4 Jan, 2021 - 27 May, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	19.72%	12.51%
CAGR%	58.32%	35.11%
Sharpe	1.56	2.11
Sortino	2.23	3.17
Sortino/√2	1.58	2.24
Max Drawdown	-14.0%	-4.06%
Longest DD Days	72	23
Volatility (ann.)	32.04%	14.44%
R^2	0.07	0.07
Calmar	4.17	8.65
Skew	-0.5	-0.37
Kurtosis	1.43	0.56
Expected Daily %	0.18%	0.12%
Expected Monthly %	3.67%	2.39%
Expected Yearly %	19.72%	12.51%
Kelly Criterion	7.84%	17.16%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.12%	-1.37%
Expected Shortfall (cVaR)	-3.12%	-1.37%
Gain/Pain Ratio	0.31	0.42
Gain/Pain (1M)	51.46	13.22
Payoff Ratio	0.73	1.11
Profit Factor	1.31	1.42
Common Sense Ratio	1.28	1.55
CPC Index	0.58	0.89
Tail Ratio	0.98	1.09
Outlier Win Ratio	2.46	4.68
Outlier Loss Ratio	2.58	6.52
MTD	1.5%	0.48%
3M	12.02%	8.56%
6M	19.72%	12.51%
YTD	19.72%	12.51%
1Y	19.72%	12.51%
3Y (ann.)	58.32%	35.11%
5Y (ann.)	58.32%	35.11%
10Y (ann.)	58.32%	35.11%
All-time (ann.)	58.32%	35.11%
Best Day	5.44%	2.42%
Worst Day	-6.3%	-2.44%
Best Month	8.82%	5.29%
Worst Month	-0.91%	-1.02%
Best Year	19.72%	12.51%
Worst Year	19.72%	12.51%
Avg. Drawdown	-4.65%	-1.35%
Avg. Drawdown Days	15	7
Recovery Factor	1.41	3.08
Ulcer Index	inf	1.04
Avg. Up Month	4.88%	3.27%
Avg. Down Month	-0.91%	-1.02%
Win Days %	61.0%	56.44%
Win Month %	80.0%	80.0%
Win Quarter %	100.0%	100.0%
Win Year %	100.0%	100.0%
Beta	0.57	-
Alpha	0.33	-