dcleadlag

16 Dec, 2022 - 1 Jul, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	46.0%
Cumulative Return	57.51%
CAGR﹪	22.55%
Sharpe	2.11
Prob. Sharpe Ratio	99.99%
Smart Sharpe	2.1
Sortino	4.44
Smart Sortino	4.42
Sortino/√2	3.14
Smart Sortino/√2	3.13
Omega	1.81
Max Drawdown	-4.51%
Longest DD Days	111
Volatility (ann.)	9.87%
Calmar	5.01
Skew	3.02
Kurtosis	21.8
Expected Daily	0.08%
Expected Monthly	2.3%
Expected Yearly	16.35%
Kelly Criterion	25.73%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.94%
Expected Shortfall (cVaR)	-0.94%
Max Consecutive Wins	6
Max Consecutive Losses	4
Gain/Pain Ratio	0.81
Gain/Pain (1M)	5.94
Payoff Ratio	1.34
Profit Factor	1.81
Common Sense Ratio	2.66
CPC Index	1.39
Tail Ratio	1.47
Outlier Win Ratio	11.06
Outlier Loss Ratio	2.48
MTD	0.0%
3M	1.62%
6M	27.27%
YTD	27.27%
1Y	36.96%
3Y (ann.)	22.55%
5Y (ann.)	22.55%
10Y (ann.)	22.55%
All-time (ann.)	22.55%
Best Day	6.09%
Worst Day	-1.8%
Best Month	14.64%
Worst Month	-2.34%
Best Year	27.27%
Worst Year	0.0%
Avg. Drawdown	-1.27%
Avg. Drawdown Days	16
Recovery Factor	10.33
Ulcer Index	0.02
Serenity Index	5.96
Avg. Up Month	5.07%
Avg. Down Month	-1.14%
Win Days	57.53%
Win Month	61.11%
Win Quarter	100.0%
Win Year	100.0%