Market State Decoder Balanced

2 Jan, 1998 - 13 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1,072.06%	501.42%
CAGR﹪	10.55%	7.58%
Sharpe	0.91	0.48
Smart Sharpe	0.87	0.46
Sortino	1.3	0.68
Smart Sortino	1.25	0.65
Sortino/√2	0.92	0.48
Smart Sortino/√2	0.88	0.46
Omega	1.18	1.18
Max Drawdown	-19.2%	-55.19%
Longest DD Days	800	2404
Volatility (ann.)	12.14%	19.73%
R^2	0.26	0.26
Calmar	0.55	0.14
Skew	-0.16	0.06
Kurtosis	4.98	10.71
Expected Daily %	0.04%	0.03%
Expected Monthly %	0.84%	0.61%
Expected Yearly %	10.35%	7.44%
Kelly Criterion	6.81%	3.68%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.21%	-2.01%
Expected Shortfall (cVaR)	-1.21%	-2.01%
Gain/Pain Ratio	0.18	0.09
Gain/Pain (1M)	1.16	0.56
Payoff Ratio	0.93	0.9
Profit Factor	1.18	1.09
Common Sense Ratio	1.2	0.98
CPC Index	0.6	0.54
Tail Ratio	1.02	0.9
Outlier Win Ratio	5.09	3.4
Outlier Loss Ratio	5.17	3.3
MTD	-0.1%	0.42%
3M	-5.87%	-13.51%
6M	-11.32%	-18.02%
YTD	-14.08%	-19.65%
1Y	-6.4%	-12.09%
3Y (ann.)	9.46%	9.79%
5Y (ann.)	7.63%	11.07%
10Y (ann.)	7.36%	12.93%
All-time (ann.)	10.55%	7.58%
Best Day	5.63%	14.52%
Worst Day	-4.83%	-10.94%
Best Month	8.87%	12.7%
Worst Month	-11.12%	-16.52%
Best Year	39.49%	32.31%
Worst Year	-14.08%	-36.79%
Avg. Drawdown	-1.84%	-2.06%
Avg. Drawdown Days	26	29
Recovery Factor	55.82	9.09
Ulcer Index	0.05	0.16
Serenity Index	17.04	1.22
Avg. Up Month	2.77%	3.4%
Avg. Down Month	-2.59%	-4.12%
Win Days %	55.19%	54.38%
Win Month %	64.75%	63.05%
Win Quarter %	69.7%	70.71%
Win Year %	84.0%	76.0%
Beta	0.31	-
Alpha	0.08	-