Performance Report for Eldergrove

7 Feb, 2024 - 14 Oct, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	41.0%
Cumulative Return	2.22%
CAGR﹪	2.24%
Sharpe	2.03
Prob. Sharpe Ratio	94.68%
Smart Sharpe	1.98
Sortino	2.51
Smart Sortino	2.46
Sortino/√2	1.77
Smart Sortino/√2	1.74
Omega	1.74
Max Drawdown	-0.83%
Longest DD Days	91
Volatility (ann.)	1.09%
Calmar	2.69
Skew	-3.68
Kurtosis	24.43
Expected Daily	0.01%
Expected Monthly	0.24%
Expected Yearly	2.22%
Kelly Criterion	31.16%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.1%
Expected Shortfall (cVaR)	-0.1%
Max Consecutive Wins	4
Max Consecutive Losses	3
Gain/Pain Ratio	0.74
Gain/Pain (1M)	3.8
Payoff Ratio	0.63
Profit Factor	1.74
Common Sense Ratio	2.4
CPC Index	0.81
Tail Ratio	1.38
Outlier Win Ratio	5.58
Outlier Loss Ratio	2.95
MTD	0.41%
3M	1.19%
6M	1.64%
YTD	2.22%
1Y	2.22%
3Y (ann.)	2.24%
5Y (ann.)	2.24%
10Y (ann.)	2.24%
All-time (ann.)	2.24%
Best Day	0.14%
Worst Day	-0.53%
Best Month	0.82%
Worst Month	-0.29%
Best Year	2.22%
Worst Year	2.22%
Avg. Drawdown	-0.17%
Avg. Drawdown Days	13
Recovery Factor	2.65
Ulcer Index	0.0
Serenity Index	0.77
Avg. Up Month	0.47%
Avg. Down Month	-0.19%
Win Days	73.27%
Win Month	66.67%
Win Quarter	100.0%
Win Year	100.0%