Performance Report for Omaris

24 Jul, 2019 - 4 Nov, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	4.0%
Cumulative Return	33.43%
CAGR﹪	3.22%
Sharpe	0.83
Prob. Sharpe Ratio	99.81%
Smart Sharpe	0.82
Sortino	1.68
Smart Sortino	1.68
Sortino/√2	1.19
Smart Sortino/√2	1.19
Omega	2.0
Max Drawdown	-6.84%
Longest DD Days	329
Volatility (ann.)	3.93%
Calmar	0.47
Skew	6.21
Kurtosis	95.92
Expected Daily	0.01%
Expected Monthly	0.38%
Expected Yearly	4.21%
Kelly Criterion	28.19%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.39%
Expected Shortfall (cVaR)	-0.39%
Max Consecutive Wins	1
Max Consecutive Losses	3
Gain/Pain Ratio	1.0
Gain/Pain (1M)	1.4
Payoff Ratio	1.56
Profit Factor	2.0
Common Sense Ratio	-
CPC Index	1.76
Tail Ratio	-
Outlier Win Ratio	38.82
Outlier Loss Ratio	0.83
MTD	0.0%
3M	-1.1%
6M	-1.64%
YTD	9.88%
1Y	7.25%
3Y (ann.)	1.02%
5Y (ann.)	2.33%
10Y (ann.)	3.22%
All-time (ann.)	3.22%
Best Day	4.51%
Worst Day	-1.64%
Best Month	7.26%
Worst Month	-2.89%
Best Year	9.98%
Worst Year	-4.95%
Avg. Drawdown	-2.26%
Avg. Drawdown Days	143
Recovery Factor	4.32
Ulcer Index	0.02
Serenity Index	1.02
Avg. Up Month	1.7%
Avg. Down Month	-1.11%
Win Days	56.25%
Win Month	61.22%
Win Quarter	64.0%
Win Year	71.43%