| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 80.0% |
| Cumulative Return | 28,914.61% |
| CAGR﹪ | 29.06% |
| Sharpe | 1.08 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.07 |
| Sortino | 1.66 |
| Smart Sortino | 1.64 |
| Sortino/√2 | 1.18 |
| Smart Sortino/√2 | 1.16 |
| Omega | 1.27 |
| Max Drawdown | -60.12% |
| Longest DD Days | 559 |
| Volatility (ann.) | 28.39% |
| Calmar | 0.48 |
| Skew | 0.4 |
| Kurtosis | 9.87 |
| Expected Daily | 0.11% |
| Expected Monthly | 2.14% |
| Expected Yearly | 26.65% |
| Kelly Criterion | 11.57% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.82% |
| Expected Shortfall (cVaR) | -2.82% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.27 |
| Gain/Pain (1M) | 1.27 |
| Payoff Ratio | 1.08 |
| Profit Factor | 1.27 |
| Common Sense Ratio | 1.47 |
| CPC Index | 0.74 |
| Tail Ratio | 1.15 |
| Outlier Win Ratio | 6.44 |
| Outlier Loss Ratio | 4.34 |
| MTD | 0.11% |
| 3M | 2.24% |
| 6M | -20.36% |
| YTD | 0.11% |
| 1Y | -56.88% |
| 3Y (ann.) | 3.99% |
| 5Y (ann.) | 10.62% |
| 10Y (ann.) | 19.62% |
| All-time (ann.) | 29.06% |
| Best Day | 16.4% |
| Worst Day | -15.86% |
| Best Month | 25.9% |
| Worst Month | -23.81% |
| Best Year | 171.01% |
| Worst Year | -56.93% |
| Avg. Drawdown | -3.15% |
| Avg. Drawdown Days | 21 |
| Recovery Factor | 480.94 |
| Ulcer Index | 0.14 |
| Serenity Index | 138.45 |
| Avg. Up Month | 6.34% |
| Avg. Down Month | -6.71% |
| Win Days | 54.1% |
| Win Month | 70.61% |
| Win Quarter | 74.44% |
| Win Year | 87.5% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 0.64% | 0.56% |
| 2001 | 40.34% | 41.29% |
| 2002 | 10.54% | 5.79% |
| 2003 | 106.23% | 171.01% |
| 2004 | 17.21% | 15.57% |
| 2005 | 17.13% | 17.94% |
| 2006 | 34.4% | 37.3% |
| 2007 | 55.49% | 69.34% |
| 2008 | -22.97% | -23.54% |
| 2009 | 89.35% | 131.67% |
| 2010 | 36.14% | 37.68% |
| 2011 | 9.17% | 3.56% |
| 2012 | 34.07% | 37.01% |
| 2013 | 43.39% | 52.48% |
| 2014 | 27.61% | 29.29% |
| 2015 | 27.15% | 26.47% |
| 2016 | 11.93% | 11.06% |
| 2017 | 37.43% | 44.24% |
| 2018 | -1.8% | -5.88% |
| 2019 | 48.85% | 58.69% |
| 2020 | 61.96% | 69.19% |
| 2021 | 44.36% | 49.25% |
| 2022 | -76.39% | -56.93% |
| 2023 | 0.11% | 0.11% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2023-01-03 | -60.12 | 371 |
| 2008-08-15 | 2009-07-14 | -39.67 | 333 |
| 2018-10-01 | 2019-09-05 | -33.39 | 339 |
| 2002-01-18 | 2002-12-05 | -29.05 | 321 |
| 2015-07-21 | 2017-01-30 | -26.77 | 559 |
| 2011-07-25 | 2012-02-03 | -25.00 | 193 |
| 2001-08-03 | 2001-12-05 | -21.56 | 124 |
| 2020-02-27 | 2020-05-20 | -20.65 | 83 |
| 2012-03-28 | 2012-07-27 | -19.56 | 121 |
| 2020-07-14 | 2020-10-01 | -18.82 | 79 |
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