Performance Results from (2018-01-28 to 2025-01-28)

12 Jul, 2018 - 28 Jan, 2025

Key Performance Metrics

Metric	Equity Realised	Equity Realised + Unrealised
Risk-Free Rate	0.0%	0.0%
Time in Market	3.0%	70.0%
Cumulative Return	44.02%	37.65%
CAGR﹪	3.92%	3.42%
Sharpe	0.29	0.27
Prob. Sharpe Ratio	85.39%	80.78%
Smart Sharpe	0.21	0.2
Sortino	0.61	0.44
Smart Sortino	0.45	0.32
Sortino/√2	0.43	0.31
Smart Sortino/√2	0.32	0.23
Omega	1.1	1.1
Max Drawdown	-35.71%	-69.64%
Longest DD Days	839	1438
Volatility (ann.)	18.24%	38.4%
R^2	0.17	0.17
Information Ratio	0.01	0.01
Calmar	0.11	0.05
Skew	17.87	4.16
Kurtosis	748.5	146.07
Expected Daily	0.02%	0.01%
Expected Monthly	0.46%	0.41%
Expected Yearly	4.67%	4.08%
Kelly Criterion	28.77%	1.3%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.87%	-3.94%
Expected Shortfall (cVaR)	-1.87%	-3.94%
Max Consecutive Wins	1	5
Max Consecutive Losses	1	5
Gain/Pain Ratio	0.68	0.1
Gain/Pain (1M)	0.71	0.58
Payoff Ratio	1.7	1.06
Profit Factor	1.68	1.1
Common Sense Ratio	-	1.13
CPC Index	1.57	0.57
Tail Ratio	-	1.03
Outlier Win Ratio	64.51	4.66
Outlier Loss Ratio	0.9	2.1
MTD	-24.21%	-5.32%
3M	-28.39%	-18.23%
6M	-31.74%	-21.97%
YTD	-24.21%	-5.32%
1Y	-29.39%	-31.98%
3Y (ann.)	-8.62%	-10.02%
5Y (ann.)	5.14%	5.91%
10Y (ann.)	3.92%	3.42%
All-time (ann.)	3.92%	3.42%
Best Day	40.42%	53.3%
Worst Day	-22.72%	-34.09%
Best Month	40.42%	58.34%
Worst Month	-24.21%	-13.79%
Best Year	61.64%	73.45%
Worst Year	-24.21%	-23.7%
Avg. Drawdown	-18.71%	-12.87%
Avg. Drawdown Days	518	124
Recovery Factor	1.42	1.43
Ulcer Index	0.07	0.3
Serenity Index	0.57	0.16
Avg. Up Month	6.58%	15.2%
Avg. Down Month	-3.28%	-3.89%
Win Days	55.17%	49.28%
Win Month	50.0%	44.3%
Win Quarter	51.85%	37.04%
Win Year	37.5%	37.5%
Beta	-	0.86
Alpha	-	0.06
Correlation	-	40.78%
Treynor Ratio	-	43.84%