GPBS USD[Strategy] vs ^GSPC USD[Benchmark]

31 Jul, 2019 - 12 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	-10.83%	71.9%
CAGR﹪	-2.41%	12.21%
Sharpe	-1.32	-1.52
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.01	-1.17
Sortino	-1.93	-1.91
Smart Sortino	-1.48	-1.46
Sortino/√2	-1.37	-1.35
Smart Sortino/√2	-1.05	-1.04
Omega	0.68	0.68
Max Drawdown	-58.5%	-27.46%
Longest DD Days	853	746
Volatility (ann.)	48.03%	27.22%
R^2	0.01	0.01
Information Ratio	-0.03	-0.03
Calmar	-0.04	0.44
Skew	3.32	-1.44
Kurtosis	110.8	14.47
Expected Daily	-0.02%	0.1%
Expected Monthly	-0.2%	0.97%
Expected Yearly	-1.89%	9.45%
Kelly Criterion	6.3%	9.17%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.95%	-2.71%
Expected Shortfall (cVaR)	-4.95%	-2.71%
Max Consecutive Wins	9	11
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.04	0.22
Gain/Pain (1M)	0.11	0.7
Payoff Ratio	1.08	0.96
Profit Factor	1.04	1.22
Common Sense Ratio	1.01	1.33
CPC Index	0.58	0.65
Tail Ratio	0.97	1.09
Outlier Win Ratio	3.87	4.57
Outlier Loss Ratio	4.23	4.95
MTD	0.22%	-2.49%
3M	-2.6%	7.71%
6M	12.12%	17.56%
YTD	0.22%	7.41%
1Y	-9.48%	24.68%
3Y (ann.)	-3.04%	7.47%
5Y (ann.)	-2.41%	12.21%
10Y (ann.)	-2.41%	12.21%
All-time (ann.)	-2.41%	12.21%
Best Day	44.81%	7.33%
Worst Day	-33.23%	-13.93%
Best Month	25.34%	12.68%
Worst Month	-16.2%	-12.51%
Best Year	15.9%	28.43%
Worst Year	-22.28%	-19.89%
Avg. Drawdown	-12.82%	-2.49%
Avg. Drawdown Days	203	28
Recovery Factor	-0.19	2.62
Ulcer Index	0.19	0.09
Serenity Index	-0.52	-0.31
Avg. Up Month	3.85%	4.04%
Avg. Down Month	-6.52%	-4.48%
Win Days	51.24%	55.5%
Win Month	50.91%	63.64%
Win Quarter	40.0%	65.0%
Win Year	66.67%	83.33%
Beta	0.19	-
Alpha	0.01	-
Correlation	10.73%	-
Treynor Ratio	-585.28%	-