FXGD USD[Strategy] vs [Benchmark] gold_am USD

15 May, 2019 - 9 Sep, 2026

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	36.0%	99.0%
Cumulative Return	24.67%	238.48%
CAGR﹪	3.06%	18.11%
Sharpe	0.32	0.64
Prob. Sharpe Ratio	0.01%	40.45%
Smart Sharpe	0.29	0.58
Sortino	3.13	0.91
Smart Sortino	2.83	0.82
Sortino/√2	2.21	0.64
Smart Sortino/√2	2.0	0.58
Omega	3.15	3.15
Max Drawdown	-91.38%	-27.69%
Longest DD Days	2224	1211
Volatility (ann.)	333.2%	17.64%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.03	0.65
Skew	42.49	-0.49
Kurtosis	1829.09	6.97
Expected Daily	0.01%	0.07%
Expected Monthly	0.25%	1.38%
Expected Yearly	2.79%	16.46%
Kelly Criterion	47.39%	10.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-34.08%	-1.76%
Expected Shortfall (cVaR)	-34.08%	-1.76%
Max Consecutive Wins	9	11
Max Consecutive Losses	6	10
Gain/Pain Ratio	2.57	0.2
Gain/Pain (1M)	20.49	1.22
Payoff Ratio	5.17	1.11
Profit Factor	3.57	1.2
Common Sense Ratio	3.72	1.35
CPC Index	10.31	0.71
Tail Ratio	1.04	1.12
Outlier Win Ratio	3.37	3.15
Outlier Loss Ratio	2.28	3.39
MTD	0.0%	-4.47%
3M	0.0%	2.71%
6M	0.0%	-13.59%
YTD	0.0%	2.06%
1Y	0.0%	21.77%
3Y (ann.)	0.0%	35.21%
5Y (ann.)	-0.98%	20.51%
10Y (ann.)	3.06%	18.11%
All-time (ann.)	3.06%	18.11%
Best Day	902.48%	7.03%
Worst Day	-89.96%	-8.32%
Best Month	10.56%	17.54%
Worst Month	-7.23%	-11.99%
Best Year	22.82%	65.0%
Worst Year	-7.7%	-3.75%
Avg. Drawdown	-5.91%	-2.89%
Avg. Drawdown Days	108	39
Recovery Factor	0.27	8.61
Ulcer Index	0.17	0.09
Serenity Index	0.82	1.56
Avg. Up Month	4.45%	4.75%
Avg. Down Month	-3.4%	-3.42%
Win Days	55.92%	52.68%
Win Month	55.88%	58.43%
Win Quarter	66.67%	73.33%
Win Year	50.0%	75.0%
Beta	0.31	-
Alpha	1.07	-
Correlation	1.66%	-
Treynor Ratio	56.49%	-