Performance Report for Claytin

28 Jun, 2019 - 30 Jan, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	7.0%
Cumulative Return	19.64%
CAGR﹪	1.89%
Sharpe	0.58
Prob. Sharpe Ratio	93.79%
Smart Sharpe	0.58
Sortino	0.78
Smart Sortino	0.78
Sortino/√2	0.55
Smart Sortino/√2	0.55
Omega	1.72
Max Drawdown	-7.99%
Longest DD Days	648
Volatility (ann.)	3.33%
Calmar	0.24
Skew	-7.47
Kurtosis	271.06
Expected Daily	0.01%
Expected Monthly	0.22%
Expected Yearly	2.27%
Kelly Criterion	27.49%
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	0.72
Gain/Pain (1M)	0.91
Payoff Ratio	0.91
Profit Factor	1.72
Common Sense Ratio	-
CPC Index	1.02
Tail Ratio	-
Outlier Win Ratio	29.24
Outlier Loss Ratio	0.44
MTD	-0.46%
3M	-1.08%
6M	-1.05%
YTD	-0.46%
1Y	2.35%
3Y (ann.)	2.04%
5Y (ann.)	3.07%
10Y (ann.)	1.89%
All-time (ann.)	1.89%
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	131
Recovery Factor	2.31
Ulcer Index	0.03
Serenity Index	0.28
Avg. Up Month	0.87%
Avg. Down Month	-0.92%
Win Days	65.52%
Win Month	67.16%
Win Quarter	65.38%
Win Year	75.0%