Performance Report for Omaris

24 Jul, 2019 - 28 Sep, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	4.0%
Cumulative Return	33.87%
CAGR﹪	2.84%
Sharpe	0.73
Prob. Sharpe Ratio	99.57%
Smart Sharpe	0.73
Sortino	1.39
Smart Sortino	1.38
Sortino/√2	0.98
Smart Sortino/√2	0.98
Omega	1.86
Max Drawdown	-6.84%
Longest DD Days	392
Volatility (ann.)	3.92%
Calmar	0.42
Skew	5.17
Kurtosis	92.07
Expected Daily	0.01%
Expected Monthly	0.34%
Expected Yearly	3.71%
Kelly Criterion	25.76%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.4%
Expected Shortfall (cVaR)	-0.4%
Max Consecutive Wins	1
Max Consecutive Losses	3
Gain/Pain Ratio	0.86
Gain/Pain (1M)	1.21
Payoff Ratio	1.48
Profit Factor	1.86
Common Sense Ratio	-
CPC Index	1.53
Tail Ratio	-
Outlier Win Ratio	41.69
Outlier Loss Ratio	0.75
MTD	-1.05%
3M	0.39%
6M	0.35%
YTD	-0.75%
1Y	0.33%
3Y (ann.)	1.11%
5Y (ann.)	1.71%
10Y (ann.)	2.84%
All-time (ann.)	2.84%
Best Day	4.51%
Worst Day	-2.61%
Best Month	7.26%
Worst Month	-2.89%
Best Year	11.07%
Worst Year	-4.95%
Avg. Drawdown	-2.43%
Avg. Drawdown Days	175
Recovery Factor	4.38
Ulcer Index	0.02
Serenity Index	1.01
Avg. Up Month	1.67%
Avg. Down Month	-1.12%
Win Days	55.68%
Win Month	60.0%
Win Quarter	64.29%
Win Year	62.5%