Performance Report for Claytin

28 Jun, 2019 - 1 Jul, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	6.0%
Cumulative Return	20.99%
CAGR﹪	2.21%
Sharpe	0.65
Prob. Sharpe Ratio	94.72%
Smart Sharpe	0.65
Sortino	0.87
Smart Sortino	0.87
Sortino/√2	0.62
Smart Sortino/√2	0.62
Omega	1.85
Max Drawdown	-7.99%
Longest DD Days	648
Volatility (ann.)	3.45%
Calmar	0.28
Skew	-7.32
Kurtosis	255.67
Expected Daily	0.01%
Expected Monthly	0.26%
Expected Yearly	2.76%
Kelly Criterion	31.12%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.35%
Expected Shortfall (cVaR)	-0.35%
Max Consecutive Wins	2
Max Consecutive Losses	2
Gain/Pain Ratio	0.85
Gain/Pain (1M)	1.08
Payoff Ratio	0.88
Profit Factor	1.85
Common Sense Ratio	-
CPC Index	1.11
Tail Ratio	-
Outlier Win Ratio	29.03
Outlier Loss Ratio	0.37
MTD	0.0%
3M	-1.21%
6M	3.18%
YTD	3.18%
1Y	9.76%
3Y (ann.)	3.38%
5Y (ann.)	3.19%
10Y (ann.)	2.21%
All-time (ann.)	2.21%
Best Day	2.8%
Worst Day	-5.3%
Best Month	5.69%
Worst Month	-5.36%
Best Year	7.52%
Worst Year	-4.62%
Avg. Drawdown	-1.32%
Avg. Drawdown Days	116
Recovery Factor	2.45
Ulcer Index	0.03
Serenity Index	0.29
Avg. Up Month	0.88%
Avg. Down Month	-1.07%
Win Days	67.69%
Win Month	71.67%
Win Quarter	69.57%
Win Year	85.71%