Performance Report for Omaris

24 Jul, 2019 - 5 Dec, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	4.0%
Cumulative Return	34.88%
CAGR﹪	3.29%
Sharpe	0.85
Prob. Sharpe Ratio	99.86%
Smart Sharpe	0.84
Sortino	1.73
Smart Sortino	1.73
Sortino/√2	1.22
Smart Sortino/√2	1.22
Omega	2.04
Max Drawdown	-6.84%
Longest DD Days	329
Volatility (ann.)	3.92%
Calmar	0.48
Skew	6.21
Kurtosis	95.75
Expected Daily	0.01%
Expected Monthly	0.38%
Expected Yearly	4.37%
Kelly Criterion	28.97%
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	1.04
Gain/Pain (1M)	1.45
Payoff Ratio	1.55
Profit Factor	2.04
Common Sense Ratio	-
CPC Index	1.8
Tail Ratio	-
Outlier Win Ratio	39.84
Outlier Loss Ratio	0.8
MTD	1.09%
3M	-0.08%
6M	2.38%
YTD	11.07%
1Y	11.07%
3Y (ann.)	1.26%
5Y (ann.)	2.38%
10Y (ann.)	3.29%
All-time (ann.)	3.29%
Best Day	4.51%
Worst Day	-1.64%
Best Month	7.26%
Worst Month	-2.89%
Best Year	11.07%
Worst Year	-4.95%
Avg. Drawdown	-2.26%
Avg. Drawdown Days	146
Recovery Factor	4.48
Ulcer Index	0.02
Serenity Index	1.05
Avg. Up Month	1.68%
Avg. Down Month	-1.11%
Win Days	56.79%
Win Month	62.0%
Win Quarter	68.0%
Win Year	71.43%