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Sistema Oro 3

MetricStrategy
Risk-Free Rate0.0%
Time in Market77.0%

Cumulative Return1,278,716.59%
CAGR﹪53.01%

Sharpe1.69
Prob. Sharpe Ratio100.0%
Smart Sharpe1.63
Sortino3.03
Smart Sortino2.91
Sortino/√22.14
Smart Sortino/√22.06
Omega1.48

Max Drawdown-28.65%
Longest DD Days854
Volatility (ann.)26.73%
Calmar1.85
Skew1.87
Kurtosis15.69

Expected Daily0.17%
Expected Monthly3.59%
Expected Yearly48.29%
Kelly Criterion17.56%
Risk of Ruin0.0%
Daily Value-at-Risk-2.59%
Expected Shortfall (cVaR)-2.59%

Max Consecutive Wins9
Max Consecutive Losses9
Gain/Pain Ratio0.48
Gain/Pain (1M)3.86

Payoff Ratio1.25
Profit Factor1.48
Common Sense Ratio1.98
CPC Index1.0
Tail Ratio1.34
Outlier Win Ratio6.83
Outlier Loss Ratio3.85

MTD-0.75%
3M-4.15%
6M-6.46%
YTD-0.75%
1Y8.52%
3Y (ann.)13.41%
5Y (ann.)16.74%
10Y (ann.)18.22%
All-time (ann.)53.01%

Best Day17.59%
Worst Day-8.39%
Best Month35.9%
Worst Month-9.74%
Best Year205.3%
Worst Year-6.49%

Avg. Drawdown-3.54%
Avg. Drawdown Days23
Recovery Factor44625.76
Ulcer Index0.08
Serenity Index18502.83

Avg. Up Month7.32%
Avg. Down Month-3.08%
Win Days54.28%
Win Month66.67%
Win Quarter78.89%
Win Year87.5%
YearReturnCumulative
20002.54%2.36%
200128.46%25.43%
200276.22%105.57%
200376.91%108.28%
200464.28%81.37%
200561.8%79.19%
2006118.71%205.3%
200763.98%82.82%
200881.68%107.51%
200985.26%120.75%
201042.12%49.12%
201185.13%116.02%
201253.09%65.99%
201325.72%25.52%
2014-5.27%-6.49%
2015-2.72%-4.14%
201643.59%51.26%
201735.28%40.03%
201813.0%12.44%
201929.06%31.34%
202025.28%23.18%
202112.79%12.47%
20229.63%8.2%
2023-0.74%-0.75%
StartedRecoveredDrawdownDays
2014-05-062016-09-06-28.65854
2011-08-042011-09-22-21.8449
2012-11-262013-07-19-16.55235
2002-12-302003-05-06-16.13127
2006-09-292006-11-01-15.7533
2020-04-012020-07-23-15.48113
2005-03-142005-09-08-15.20178
2019-02-202019-06-24-14.81124
2000-12-282001-05-17-14.77140
2018-04-122018-12-20-13.64252

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