Two Regimes

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	4,567.29%	501.42%
CAGR﹪	16.95%	7.58%
Sharpe	1.33	0.48
Smart Sharpe	1.3	0.48
Sortino	1.95	0.68
Smart Sortino	1.92	0.67
Sortino/√2	1.38	0.48
Smart Sortino/√2	1.35	0.47
Omega	1.27	1.27
Max Drawdown	-13.42%	-55.19%
Longest DD Days	343	2241
Volatility (ann.)	13.05%	20.03%
R^2	0.14	0.14
Calmar	1.26	0.14
Skew	-0.1	0.01
Kurtosis	4.29	10.32
Expected Daily %	0.07%	0.03%
Expected Monthly %	1.31%	0.61%
Expected Yearly %	16.62%	7.44%
Kelly Criterion	11.14%	8.22%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.28%	-2.04%
Expected Shortfall (cVaR)	-1.28%	-2.04%
Gain/Pain Ratio	0.27	0.1
Gain/Pain (1M)	2.09	0.57
Payoff Ratio	0.97	0.98
Profit Factor	1.27	1.1
Common Sense Ratio	1.32	1.0
CPC Index	0.69	0.59
Tail Ratio	1.04	0.91
Outlier Win Ratio	4.84	3.49
Outlier Loss Ratio	5.01	3.33
MTD	-0.1%	0.42%
3M	-0.39%	-16.0%
6M	-9.68%	-18.01%
YTD	-11.47%	-19.65%
1Y	-3.81%	-12.09%
3Y (ann.)	26.02%	9.79%
5Y (ann.)	23.13%	11.07%
10Y (ann.)	18.19%	12.93%
All-time (ann.)	16.95%	7.58%
Best Day	6.72%	13.53%
Worst Day	-5.76%	-9.84%
Best Month	18.98%	12.7%
Worst Month	-10.5%	-16.52%
Best Year	63.73%	32.31%
Worst Year	-11.47%	-36.79%
Avg. Drawdown	-1.46%	-2.09%
Avg. Drawdown Days	15	30
Recovery Factor	340.33	9.09
Ulcer Index	0.04	0.16
Serenity Index	143.41	1.24
Avg. Up Month	2.9%	3.12%
Avg. Down Month	-2.41%	-3.22%
Win Days %	56.19%	54.62%
Win Month %	70.51%	63.27%
Win Quarter %	80.81%	70.71%
Win Year %	92.0%	76.0%
Beta	0.24	-
Alpha	0.15	-