Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	96.0%
Cumulative Return	128.78%
CAGR﹪	7.65%
Sharpe	0.57
Prob. Sharpe Ratio	96.83%
Smart Sharpe	0.54
Sortino	0.76
Smart Sortino	0.72
Sortino/√2	0.54
Smart Sortino/√2	0.51
Omega	1.12
Max Drawdown	-30.29%
Max DD Date	2020-03-23
Max DD Period Start	2020-02-20
Max DD Period End	2021-02-04
Longest DD Days	1556
Volatility (ann.)	14.91%
Calmar	0.25
Skew	-1.44
Kurtosis	16.89
Expected Daily	0.03%
Expected Monthly	0.63%
Expected Yearly	7.81%
Kelly Criterion	5.36%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.51%
Expected Shortfall (cVaR)	-2.39%
Max Consecutive Wins	9
Max Consecutive Losses	11
Gain/Pain Ratio	0.12
Gain/Pain (1M)	0.61
Payoff Ratio	1.1
Profit Factor	1.12
Common Sense Ratio	1.07
CPC Index	0.62
Tail Ratio	0.96
Outlier Win Ratio	3.87
Outlier Loss Ratio	4.5
MTD	0.27%
3M	2.59%
6M	3.03%
YTD	19.99%
1Y	15.5%
3Y (ann.)	17.36%
5Y (ann.)	14.17%
10Y (ann.)	9.82%
All-time (ann.)	7.65%
Best Day	6.49%
Worst Day	-12.35%
Best Month	11.89%
Worst Month	-15.92%
Best Year	29.2%
Worst Year	-10.27%
Avg. Drawdown	-2.28%
Avg. Drawdown Days	36
Recovery Factor	3.15
Ulcer Index	0.11
Serenity Index	0.34
Avg. Up Month	3.43%
Avg. Down Month	-3.01%
Win Days	50.52%
Win Month	58.27%
Win Quarter	69.77%
Win Year	63.64%