Performance Report for Omaris

24 Jul, 2019 - 14 Oct, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	4.0%
Cumulative Return	24.41%
CAGR﹪	2.92%
Sharpe	0.85
Prob. Sharpe Ratio	99.58%
Smart Sharpe	0.85
Sortino	1.65
Smart Sortino	1.64
Sortino/√2	1.17
Smart Sortino/√2	1.16
Omega	2.02
Max Drawdown	-5.33%
Longest DD Days	300
Volatility (ann.)	3.46%
Calmar	0.55
Skew	4.95
Kurtosis	73.37
Expected Daily	0.01%
Expected Monthly	0.34%
Expected Yearly	3.71%
Kelly Criterion	29.52%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.35%
Expected Shortfall (cVaR)	-0.35%
Max Consecutive Wins	1
Max Consecutive Losses	3
Gain/Pain Ratio	1.02
Gain/Pain (1M)	1.65
Payoff Ratio	1.44
Profit Factor	2.02
Common Sense Ratio	-
CPC Index	1.7
Tail Ratio	-
Outlier Win Ratio	39.7
Outlier Loss Ratio	0.73
MTD	-0.44%
3M	-2.4%
6M	-4.56%
YTD	-2.63%
1Y	-1.72%
3Y (ann.)	1.12%
5Y (ann.)	2.49%
10Y (ann.)	2.92%
All-time (ann.)	2.92%
Best Day	2.98%
Worst Day	-1.56%
Best Month	6.05%
Worst Month	-1.91%
Best Year	9.98%
Worst Year	-2.63%
Avg. Drawdown	-1.99%
Avg. Drawdown Days	135
Recovery Factor	4.18
Ulcer Index	0.01
Serenity Index	2.28
Avg. Up Month	1.44%
Avg. Down Month	-0.9%
Win Days	58.46%
Win Month	62.5%
Win Quarter	61.9%
Win Year	66.67%