Performance Report for Mossgrace

13 Aug, 2019 - 14 Oct, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	5.0%
Cumulative Return	13.68%
CAGR﹪	1.73%
Sharpe	0.68
Prob. Sharpe Ratio	97.28%
Smart Sharpe	0.67
Sortino	1.09
Smart Sortino	1.06
Sortino/√2	0.77
Smart Sortino/√2	0.75
Omega	1.82
Max Drawdown	-3.12%
Longest DD Days	402
Volatility (ann.)	2.55%
Calmar	0.55
Skew	2.36
Kurtosis	99.53
Expected Daily	0.01%
Expected Monthly	0.2%
Expected Yearly	2.16%
Kelly Criterion	31.53%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.26%
Expected Shortfall (cVaR)	-0.26%
Max Consecutive Wins	2
Max Consecutive Losses	1
Gain/Pain Ratio	0.82
Gain/Pain (1M)	1.6
Payoff Ratio	0.77
Profit Factor	1.82
Common Sense Ratio	-
CPC Index	0.99
Tail Ratio	-
Outlier Win Ratio	34.26
Outlier Loss Ratio	0.06
MTD	0.6%
3M	1.15%
6M	0.29%
YTD	1.91%
1Y	1.91%
3Y (ann.)	2.39%
5Y (ann.)	1.78%
10Y (ann.)	1.73%
All-time (ann.)	1.73%
Best Day	2.57%
Worst Day	-1.81%
Best Month	2.89%
Worst Month	-1.44%
Best Year	4.88%
Worst Year	0.24%
Avg. Drawdown	-1.66%
Avg. Drawdown Days	184
Recovery Factor	4.19
Ulcer Index	0.01
Serenity Index	0.7
Avg. Up Month	0.82%
Avg. Down Month	-0.69%
Win Days	70.13%
Win Month	68.42%
Win Quarter	72.73%
Win Year	100.0%