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

24 Jan, 2020 - 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	1.5%	37.61%
CAGR﹪	0.71%	16.5%
Sharpe	-2.57	-1.94
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.24	-1.69
Sortino	-3.0	-2.45
Smart Sortino	-2.61	-2.14
Sortino/√2	-2.12	-1.73
Smart Sortino/√2	-1.85	-1.51
Omega	0.6	0.6
Max Drawdown	-31.09%	-33.79%
Longest DD Days	181	172
Volatility (ann.)	25.42%	25.93%
R^2	0.32	0.32
Information Ratio	-0.04	-0.04
Calmar	0.02	0.49
Skew	-1.96	-0.55
Kurtosis	18.43	13.29
Expected Daily	0.0%	0.06%
Expected Monthly	0.06%	1.24%
Expected Yearly	0.5%	11.23%
Kelly Criterion	-1.32%	4.28%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.62%	-2.61%
Expected Shortfall (cVaR)	-2.62%	-2.61%
Max Consecutive Wins	6	7
Max Consecutive Losses	9	6
Gain/Pain Ratio	0.03	0.16
Gain/Pain (1M)	0.16	0.97
Payoff Ratio	0.82	0.88
Profit Factor	1.03	1.16
Common Sense Ratio	0.92	1.02
CPC Index	0.46	0.56
Tail Ratio	0.89	0.88
Outlier Win Ratio	4.39	4.35
Outlier Loss Ratio	4.11	4.45
MTD	-15.75%	-2.77%
3M	-19.53%	-6.4%
6M	-18.0%	-1.57%
YTD	-19.44%	-8.04%
1Y	-16.23%	13.29%
3Y (ann.)	0.71%	16.5%
5Y (ann.)	0.71%	16.5%
10Y (ann.)	0.71%	16.5%
All-time (ann.)	0.71%	16.5%
Best Day	7.62%	9.39%
Worst Day	-15.29%	-11.98%
Best Month	11.23%	12.82%
Worst Month	-15.75%	-12.35%
Best Year	13.94%	29.88%
Worst Year	-19.44%	-8.04%
Avg. Drawdown	-3.15%	-1.96%
Avg. Drawdown Days	20	11
Recovery Factor	0.05	1.11
Ulcer Index	0.07	0.07
Serenity Index	-1.61	-0.99
Avg. Up Month	4.08%	5.17%
Avg. Down Month	-5.61%	-4.74%
Win Days	54.33%	55.29%
Win Month	57.69%	61.54%
Win Quarter	66.67%	77.78%
Win Year	66.67%	66.67%
Beta	0.55	-
Alpha	-0.07	-
Correlation	56.4%	-
Treynor Ratio	-178.16%	-