Example

3 Aug, 2023 - 2 Aug, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	100.0%
Cumulative Return	15.62%
CAGR﹪	10.54%
Sharpe	0.75
Prob. Sharpe Ratio	77.58%
Smart Sharpe	0.69
Sortino	1.13
Smart Sortino	1.04
Sortino/√2	0.8
Smart Sortino/√2	0.73
Omega	1.14
Max Drawdown	-16.61%
Longest DD Days	178
Volatility (ann.)	22.7%
Calmar	0.63
Skew	0.44
Kurtosis	3.64
Expected Daily	0.06%
Expected Monthly	1.12%
Expected Yearly	7.53%
Kelly Criterion	6.65%
Risk of Ruin	0.0%
Daily Value-at-Risk	-2.28%
Expected Shortfall (cVaR)	-2.28%
Max Consecutive Wins	8
Max Consecutive Losses	7
Gain/Pain Ratio	0.14
Gain/Pain (1M)	0.75
Payoff Ratio	0.93
Profit Factor	1.14
Common Sense Ratio	1.08
CPC Index	0.58
Tail Ratio	0.95
Outlier Win Ratio	3.72
Outlier Loss Ratio	3.26
MTD	-1.0%
3M	30.04%
6M	17.97%
YTD	14.5%
1Y	15.62%
3Y (ann.)	10.54%
5Y (ann.)	10.54%
10Y (ann.)	10.54%
All-time (ann.)	10.54%
Best Day	7.26%
Worst Day	-4.8%
Best Month	13.02%
Worst Month	-8.87%
Best Year	14.5%
Worst Year	0.98%
Avg. Drawdown	-5.21%
Avg. Drawdown Days	37
Recovery Factor	1.03
Ulcer Index	0.08
Serenity Index	0.23
Avg. Up Month	8.15%
Avg. Down Month	-2.95%
Win Days	54.98%
Win Month	38.46%
Win Quarter	60.0%
Win Year	100.0%