JTL

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Resultados Mensuales

% Rentabilidad Mensual

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	98.0%
Cumulative Return	110.49%
CAGR﹪	29.72%
Sharpe	2.15
Prob. Sharpe Ratio	99.99%
Smart Sharpe	2.14
Sortino	3.52
Smart Sortino	3.5
Sortino/√2	2.49
Smart Sortino/√2	2.48
Omega	1.52
Max Drawdown	-5.71%
Longest DD Days	127
Volatility (ann.)	12.18%
Calmar	5.2
Skew	0.6
Kurtosis	9.16
Expected Daily	0.1%
Expected Monthly	2.15%
Expected Yearly	20.45%
Kelly Criterion	19.27%
Risk of Ruin	0.0%
Daily Value-at-Risk	-1.16%
Expected Shortfall (cVaR)	-1.16%
Max Consecutive Wins	9
Max Consecutive Losses	7
Gain/Pain Ratio	0.52
Gain/Pain (1M)	4.52
Payoff Ratio	1.17
Profit Factor	1.52
Common Sense Ratio	2.06
CPC Index	1.0
Tail Ratio	1.35
Outlier Win Ratio	4.01
Outlier Loss Ratio	4.21
MTD	-1.01%
3M	7.55%
6M	20.88%
YTD	18.77%
1Y	31.84%
3Y (ann.)	29.72%
5Y (ann.)	29.72%
10Y (ann.)	29.72%
All-time (ann.)	29.72%
Best Day	4.85%
Worst Day	-4.07%
Best Month	12.23%
Worst Month	-3.69%
Best Year	30.41%
Worst Year	7.63%
Avg. Drawdown	-1.48%
Avg. Drawdown Days	14
Recovery Factor	19.34
Ulcer Index	0.02
Serenity Index	10.35
Avg. Up Month	4.12%
Avg. Down Month	-1.45%
Win Days	56.45%
Win Month	65.71%
Win Quarter	100.0%
Win Year	100.0%

Year	Return	Cumulative
2019	7.78%	7.63%
2020	27.34%	30.41%
2021	23.84%	26.27%
2022	17.66%	18.77%

Started	Recovered	Drawdown	Days
2019-11-22	2019-12-30	-5.71	38
2020-11-04	2021-01-05	-5.10	62
2019-08-07	2019-10-02	-4.98	56
2021-06-11	2021-08-11	-4.71	61
2021-02-03	2021-06-10	-4.65	127
2020-03-09	2020-05-21	-4.52	73
2019-10-15	2019-11-06	-4.18	22
2022-01-21	2022-02-11	-4.07	21
2022-05-09	2022-06-10	-3.95	32
2020-01-16	2020-02-13	-3.18	28