My basket again the market

10 Aug, 2021 - 9 Aug, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	99.0%	99.0%
Cumulative Return	35.27%	-5.75%
CAGR﹪	35.38%	-5.77%
Sharpe	0.87	-0.19
Smart Sharpe	0.79	-0.17
Sortino	1.26	-0.25
Smart Sortino	1.15	-0.23
Sortino/√2	0.89	-0.18
Smart Sortino/√2	0.81	-0.16
Omega	1.17	1.17
Max Drawdown	-36.99%	-23.01%
Longest DD Days	141	217
Volatility (ann.)	47.28%	20.34%
R^2	0.4	0.4
Calmar	0.96	-0.25
Skew	-0.09	-0.32
Kurtosis	2.58	0.64
Expected Daily %	0.12%	-0.02%
Expected Monthly %	2.35%	-0.45%
Expected Yearly %	16.31%	-2.92%
Kelly Criterion	6.69%	-4.96%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.74%	-2.12%
Expected Shortfall (cVaR)	-4.74%	-2.12%
Gain/Pain Ratio	0.17	-0.03
Gain/Pain (1M)	0.62	-0.13
Payoff Ratio	0.86	0.89
Profit Factor	1.17	0.97
Common Sense Ratio	1.2	0.94
CPC Index	0.57	0.44
Tail Ratio	1.03	0.97
Outlier Win Ratio	2.61	5.68
Outlier Loss Ratio	2.5	5.75
MTD	3.86%	0.14%
3M	7.16%	0.44%
6M	28.83%	-7.64%
YTD	41.11%	-12.75%
1Y	35.27%	-5.75%
3Y (ann.)	35.38%	-5.77%
5Y (ann.)	35.38%	-5.77%
10Y (ann.)	35.38%	-5.77%
All-time (ann.)	35.38%	-5.77%
Best Day	13.07%	3.18%
Worst Day	-11.71%	-4.03%
Best Month	29.85%	8.89%
Worst Month	-26.71%	-8.25%
Best Year	41.11%	8.01%
Worst Year	-4.14%	-12.75%
Avg. Drawdown	-7.62%	-3.1%
Avg. Drawdown Days	20	25
Recovery Factor	0.95	-0.25
Ulcer Index	0.14	0.1
Serenity Index	0.29	-0.04
Avg. Up Month	11.82%	4.44%
Avg. Down Month	-12.98%	-5.01%
Win Days %	56.75%	50.6%
Win Month %	61.54%	46.15%
Win Quarter %	60.0%	40.0%
Win Year %	50.0%	50.0%
Beta	1.47	-
Alpha	0.47	-