Performance Report for Claytin

28 Jun, 2019 - 12 Jun, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	6.0%
Cumulative Return	20.16%
CAGR﹪	1.84%
Sharpe	0.58
Prob. Sharpe Ratio	94.15%
Smart Sharpe	0.58
Sortino	0.78
Smart Sortino	0.78
Sortino/√2	0.55
Smart Sortino/√2	0.55
Omega	1.74
Max Drawdown	-7.99%
Longest DD Days	648
Volatility (ann.)	3.24%
Calmar	0.23
Skew	-7.65
Kurtosis	285.41
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	2.32%
Kelly Criterion	28.06%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.33%
Expected Shortfall (cVaR)	-0.33%
Max Consecutive Wins	2
Max Consecutive Losses	2
Gain/Pain Ratio	0.74
Gain/Pain (1M)	0.93
Payoff Ratio	0.9
Profit Factor	1.74
Common Sense Ratio	-
CPC Index	1.03
Tail Ratio	-
Outlier Win Ratio	29.86
Outlier Loss Ratio	0.42
MTD	0.0%
3M	0.35%
6M	-0.02%
YTD	-0.02%
1Y	-0.22%
3Y (ann.)	2.2%
5Y (ann.)	2.91%
10Y (ann.)	1.84%
All-time (ann.)	1.84%
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	140
Recovery Factor	2.36
Ulcer Index	0.03
Serenity Index	0.29
Avg. Up Month	0.84%
Avg. Down Month	-0.92%
Win Days	65.99%
Win Month	68.12%
Win Quarter	66.67%
Win Year	75.0%