FXGD USD[Strategy] vs [Benchmark] gold_am USD

15 May, 2019 - 13 Oct, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	41.0%	99.0%
Cumulative Return	24.67%	213.41%
CAGR﹪	3.49%	19.48%
Sharpe	0.34	0.79
Prob. Sharpe Ratio	0.02%	62.89%
Smart Sharpe	0.31	0.72
Sortino	3.36	1.18
Smart Sortino	3.05	1.07
Sortino/√2	2.38	0.83
Smart Sortino/√2	2.15	0.75
Omega	3.2	3.2
Max Drawdown	-91.38%	-21.5%
Longest DD Days	1893	1211
Volatility (ann.)	355.7%	15.08%
R^2	0.0	0.0
Information Ratio	0.02	0.02
Calmar	0.04	0.91
Skew	39.8	0.17
Kurtosis	1604.97	3.61
Expected Daily	0.01%	0.07%
Expected Monthly	0.28%	1.48%
Expected Yearly	3.2%	17.73%
Kelly Criterion	47.39%	10.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-36.35%	-1.49%
Expected Shortfall (cVaR)	-36.35%	-1.49%
Max Consecutive Wins	9	11
Max Consecutive Losses	6	10
Gain/Pain Ratio	2.57	0.24
Gain/Pain (1M)	20.49	1.53
Payoff Ratio	5.17	1.11
Profit Factor	3.57	1.24
Common Sense Ratio	3.73	1.42
CPC Index	10.31	0.73
Tail Ratio	1.05	1.14
Outlier Win Ratio	2.71	3.28
Outlier Loss Ratio	2.04	3.41
MTD	0.0%	6.94%
3M	0.0%	22.03%
6M	0.0%	26.67%
YTD	0.0%	55.92%
1Y	0.0%	54.37%
3Y (ann.)	0.0%	33.21%
5Y (ann.)	-2.49%	17.16%
10Y (ann.)	3.49%	19.48%
All-time (ann.)	3.49%	19.48%
Best Day	902.48%	7.03%
Worst Day	-89.96%	-5.26%
Best Month	10.56%	11.71%
Worst Month	-7.23%	-7.12%
Best Year	22.82%	55.92%
Worst Year	-7.7%	-3.75%
Avg. Drawdown	-5.91%	-2.49%
Avg. Drawdown Days	94	38
Recovery Factor	0.27	9.92
Ulcer Index	0.16	0.08
Serenity Index	0.91	1.56
Avg. Up Month	4.45%	4.75%
Avg. Down Month	-3.4%	-3.42%
Win Days	55.92%	53.02%
Win Month	55.88%	57.69%
Win Quarter	66.67%	74.07%
Win Year	50.0%	71.43%
Beta	0.49	-
Alpha	1.2	-
Correlation	2.06%	-
Treynor Ratio	36.34%	-