FXIT USD[Strategy] vs ^SP500TR USD[Benchmark]

17 May, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	69.67%	60.67%
CAGR﹪	20.94%	18.59%
Sharpe	-1.67	-2.09
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.53	-1.92
Sortino	-2.03	-2.63
Smart Sortino	-1.87	-2.41
Sortino/√2	-1.44	-1.86
Smart Sortino/√2	-1.32	-1.71
Omega	0.73	0.73
Max Drawdown	-31.71%	-33.79%
Longest DD Days	110	172
Volatility (ann.)	27.48%	23.37%
R^2	0.34	0.34
Information Ratio	0.01	0.01
Calmar	0.66	0.55
Skew	-1.69	-0.6
Kurtosis	16.95	15.78
Expected Daily	0.08%	0.07%
Expected Monthly	1.57%	1.4%
Expected Yearly	14.13%	12.59%
Kelly Criterion	4.73%	6.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.75%	-2.34%
Expected Shortfall (cVaR)	-2.75%	-2.34%
Max Consecutive Wins	8	7
Max Consecutive Losses	10	6
Gain/Pain Ratio	0.18	0.2
Gain/Pain (1M)	0.99	1.27
Payoff Ratio	0.87	0.87
Profit Factor	1.18	1.2
Common Sense Ratio	1.16	1.07
CPC Index	0.57	0.59
Tail Ratio	0.99	0.9
Outlier Win Ratio	3.74	4.78
Outlier Loss Ratio	3.94	5.04
MTD	-17.27%	-2.77%
3M	-24.23%	-6.4%
6M	-20.4%	-1.57%
YTD	-25.09%	-8.04%
1Y	-6.6%	13.29%
3Y (ann.)	20.94%	18.59%
5Y (ann.)	20.94%	18.59%
10Y (ann.)	20.94%	18.59%
All-time (ann.)	20.94%	18.59%
Best Day	8.75%	9.39%
Worst Day	-16.87%	-11.98%
Best Month	12.58%	12.82%
Worst Month	-17.27%	-12.35%
Best Year	46.42%	29.88%
Worst Year	-25.09%	-8.04%
Avg. Drawdown	-2.83%	-1.73%
Avg. Drawdown Days	12	10
Recovery Factor	2.2	1.8
Ulcer Index	0.07	0.06
Serenity Index	-0.62	-0.73
Avg. Up Month	5.68%	4.44%
Avg. Down Month	-7.29%	-5.02%
Win Days	55.8%	56.38%
Win Month	70.59%	67.65%
Win Quarter	83.33%	83.33%
Win Year	75.0%	75.0%
Beta	0.69	-
Alpha	0.09	-
Correlation	58.71%	-
Treynor Ratio	-43.92%	-