Performance Report for Claytin

28 Jun, 2019 - 17 Oct, 2025

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	6.0%
Cumulative Return	21.34%
CAGR﹪	2.14%
Sharpe	0.64
Prob. Sharpe Ratio	94.92%
Smart Sharpe	0.64
Sortino	0.86
Smart Sortino	0.86
Sortino/√2	0.61
Smart Sortino/√2	0.61
Omega	1.85
Max Drawdown	-7.99%
Longest DD Days	648
Volatility (ann.)	3.38%
Calmar	0.27
Skew	-7.47
Kurtosis	267.02
Expected Daily	0.01%
Expected Monthly	0.25%
Expected Yearly	2.8%
Kelly Criterion	30.92%
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	0.85
Gain/Pain (1M)	1.07
Payoff Ratio	0.89
Profit Factor	1.85
Common Sense Ratio	-
CPC Index	1.11
Tail Ratio	-
Outlier Win Ratio	28.5
Outlier Loss Ratio	0.38
MTD	0.0%
3M	0.21%
6M	3.2%
YTD	3.48%
1Y	9.44%
3Y (ann.)	3.1%
5Y (ann.)	3.44%
10Y (ann.)	2.14%
All-time (ann.)	2.14%
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	123
Recovery Factor	2.49
Ulcer Index	0.03
Serenity Index	0.3
Avg. Up Month	0.88%
Avg. Down Month	-0.97%
Win Days	67.39%
Win Month	69.84%
Win Quarter	70.83%
Win Year	85.71%