Performance Report for Claytin

28 Jun, 2019 - 15 Sep, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	6.0%
Cumulative Return	20.64%
CAGR﹪	2.1%
Sharpe	0.63
Prob. Sharpe Ratio	94.51%
Smart Sharpe	0.63
Sortino	0.84
Smart Sortino	0.84
Sortino/√2	0.6
Smart Sortino/√2	0.6
Omega	1.82
Max Drawdown	-7.99%
Longest DD Days	648
Volatility (ann.)	3.4%
Calmar	0.26
Skew	-7.43
Kurtosis	264.1
Expected Daily	0.01%
Expected Monthly	0.25%
Expected Yearly	2.72%
Kelly Criterion	30.21%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.34%
Expected Shortfall (cVaR)	-0.34%
Max Consecutive Wins	2
Max Consecutive Losses	2
Gain/Pain Ratio	0.82
Gain/Pain (1M)	1.04
Payoff Ratio	0.9
Profit Factor	1.82
Common Sense Ratio	-
CPC Index	1.1
Tail Ratio	-
Outlier Win Ratio	28.9
Outlier Loss Ratio	0.39
MTD	0.0%
3M	0.18%
6M	-1.49%
YTD	2.88%
1Y	8.68%
3Y (ann.)	2.95%
5Y (ann.)	3.43%
10Y (ann.)	2.1%
All-time (ann.)	2.1%
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	121
Recovery Factor	2.41
Ulcer Index	0.03
Serenity Index	0.29
Avg. Up Month	0.86%
Avg. Down Month	-0.97%
Win Days	66.91%
Win Month	69.84%
Win Quarter	66.67%
Win Year	85.71%