Market State Decoder Defensive Capped

2 Jan, 1998 - 18 Jul, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	937.69%	506.38%
CAGR﹪	10.0%	7.62%
Sharpe	0.98	0.48
Smart Sharpe	0.97	0.47
Sortino	1.39	0.68
Smart Sortino	1.36	0.67
Sortino/√2	0.98	0.48
Smart Sortino/√2	0.96	0.47
Omega	1.19	1.19
Max Drawdown	-16.18%	-55.19%
Longest DD Days	809	2404
Volatility (ann.)	10.46%	19.7%
R^2	0.3	0.3
Calmar	0.62	0.14
Skew	-0.45	0.01
Kurtosis	4.76	10.87
Expected Daily %	0.04%	0.03%
Expected Monthly %	0.8%	0.61%
Expected Yearly %	9.81%	7.48%
Kelly Criterion	7.21%	3.76%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.04%	-2.0%
Expected Shortfall (cVaR)	-1.04%	-2.0%
Gain/Pain Ratio	0.19	0.09
Gain/Pain (1M)	1.27	0.57
Payoff Ratio	0.94	0.9
Profit Factor	1.19	1.09
Common Sense Ratio	1.21	1.0
CPC Index	0.62	0.54
Tail Ratio	1.02	0.91
Outlier Win Ratio	5.48	3.19
Outlier Loss Ratio	5.79	3.13
MTD	-0.43%	1.25%
3M	-6.79%	-12.38%
6M	-11.76%	-17.2%
YTD	-13.15%	-18.98%
1Y	-6.31%	-10.19%
3Y (ann.)	9.3%	10.3%
5Y (ann.)	8.53%	11.14%
10Y (ann.)	7.87%	12.86%
All-time (ann.)	10.0%	7.62%
Best Day	3.86%	14.52%
Worst Day	-5.76%	-10.94%
Best Month	10.55%	12.7%
Worst Month	-10.92%	-16.52%
Best Year	34.26%	32.31%
Worst Year	-13.15%	-36.8%
Avg. Drawdown	-1.52%	-2.06%
Avg. Drawdown Days	23	29
Recovery Factor	57.95	9.18
Ulcer Index	0.04	0.17
Serenity Index	19.53	1.22
Avg. Up Month	2.46%	3.38%
Avg. Down Month	-2.24%	-4.06%
Win Days %	54.95%	54.45%
Win Month %	66.1%	63.05%
Win Quarter %	68.69%	70.71%
Win Year %	84.0%	76.0%
Beta	0.29	-
Alpha	0.08	-