FXRL USD[Strategy] vs RTSTRN USD[Benchmark]

17 May, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	99.0%	100.0%
Cumulative Return	3.33%	-12.19%
CAGR﹪	1.19%	-4.57%
Sharpe	0.02	-0.03
Prob. Sharpe Ratio	7.2%	5.43%
Smart Sharpe	0.02	-0.03
Sortino	0.03	-0.04
Smart Sortino	0.03	-0.04
Sortino/√2	0.02	-0.03
Smart Sortino/√2	0.02	-0.03
Omega	1.0	1.0
Max Drawdown	-48.35%	-60.79%
Longest DD Days	472	472
Volatility (ann.)	35.33%	42.75%
R^2	0.74	0.74
Information Ratio	0.01	0.01
Calmar	0.02	-0.08
Skew	-1.89	-3.83
Kurtosis	13.83	81.21
Expected Daily	0.0%	-0.02%
Expected Monthly	0.1%	-0.38%
Expected Yearly	0.82%	-3.2%
Kelly Criterion	0.96%	-0.61%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.63%	-4.41%
Expected Shortfall (cVaR)	-3.63%	-4.41%
Max Consecutive Wins	9	11
Max Consecutive Losses	6	6
Gain/Pain Ratio	0.04	0.03
Gain/Pain (1M)	0.21	0.14
Payoff Ratio	0.79	0.75
Profit Factor	1.04	1.03
Common Sense Ratio	0.97	0.85
CPC Index	0.46	0.44
Tail Ratio	0.93	0.83
Outlier Win Ratio	4.12	4.17
Outlier Loss Ratio	4.42	4.42
MTD	-23.17%	-34.72%
3M	-31.7%	-42.84%
6M	-31.63%	-42.5%
YTD	-29.92%	-41.02%
1Y	-19.42%	-31.81%
3Y (ann.)	1.19%	-4.57%
5Y (ann.)	1.19%	-4.57%
10Y (ann.)	1.19%	-4.57%
All-time (ann.)	1.19%	-4.57%
Best Day	9.36%	26.12%
Worst Day	-17.58%	-39.44%
Best Month	19.76%	20.21%
Worst Month	-23.17%	-34.72%
Best Year	31.23%	30.77%
Worst Year	-29.92%	-41.02%
Avg. Drawdown	-4.7%	-5.8%
Avg. Drawdown Days	27	32
Recovery Factor	0.07	-0.2
Ulcer Index	0.16	0.16
Serenity Index	-0.02	-0.1
Avg. Up Month	5.77%	5.83%
Avg. Down Month	-8.68%	-9.7%
Win Days	56.37%	56.75%
Win Month	64.71%	61.76%
Win Quarter	58.33%	58.33%
Win Year	50.0%	50.0%
Beta	0.71	-
Alpha	0.04	-
Correlation	85.87%	-
Treynor Ratio	-5.17%	-