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Key Performance Metrics

Metric	Russell 3000	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	24.67%	167.37%
CAGR﹪	11.42%	61.96%
Sharpe	0.96	3.67
Prob. Sharpe Ratio	87.66%	100.0%
Smart Sharpe	0.81	3.09
Sortino	1.41	6.16
Smart Sortino	1.19	5.18
Sortino/√2	1.0	4.36
Smart Sortino/√2	0.84	3.67
Omega	1.89	1.89
Max Drawdown	-19.47%	-8.13%
Longest DD Days	107	29
Volatility (ann.)	17.97%	19.64%
R^2	0.41	0.41
Information Ratio	0.22	0.22
Calmar	0.59	7.62
Skew	0.75	-0.07
Kurtosis	16.55	1.83
Expected Daily	0.06%	0.28%
Expected Monthly	1.23%	5.62%
Expected Yearly	11.65%	63.51%
Kelly Criterion	4.51%	25.6%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.79%	-1.75%
Expected Shortfall (cVaR)	-1.79%	-1.75%
Max Consecutive Wins	9	14
Max Consecutive Losses	6	5
Gain/Pain Ratio	0.21	0.89
Gain/Pain (1M)	1.49	38.55
Payoff Ratio	0.86	1.1
Profit Factor	1.21	1.89
Common Sense Ratio	1.06	2.71
CPC Index	0.58	1.27
Tail Ratio	0.88	1.43
Outlier Win Ratio	3.92	2.84
Outlier Loss Ratio	3.99	3.67
MTD	1.65%	5.54%
3M	2.74%	27.83%
6M	-2.06%	33.51%
YTD	1.74%	33.8%
1Y	12.11%	99.41%
3Y (ann.)	11.42%	61.96%
5Y (ann.)	11.42%	61.96%
10Y (ann.)	11.42%	61.96%
All-time (ann.)	11.42%	61.96%
Best Day	9.53%	5.08%
Worst Day	-5.89%	-4.65%
Best Month	6.51%	13.01%
Worst Month	-5.96%	-2.3%
Best Year	22.53%	99.82%
Worst Year	1.74%	33.8%
Avg. Drawdown	-1.8%	-1.62%
Avg. Drawdown Days	12	6
Recovery Factor	1.25	12.44
Ulcer Index	0.05	0.02
Serenity Index	0.69	20.8
Avg. Up Month	3.55%	8.15%
Avg. Down Month	-3.17%	-0.49%
Win Days	55.93%	61.02%
Win Month	66.67%	88.89%
Win Quarter	83.33%	100.0%
Win Year	100.0%	100.0%
Beta	-	0.7
Alpha	-	0.6
Correlation	-	64.03%
Treynor Ratio	-	239.11%

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