| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 74.0% |
| Cumulative Return | 48,005.85% |
| CAGR﹪ | 32.03% |
| Sharpe | 1.26 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.26 |
| Sortino | 1.97 |
| Smart Sortino | 1.96 |
| Sortino/√2 | 1.39 |
| Smart Sortino/√2 | 1.39 |
| Omega | 1.33 |
| Max Drawdown | -36.11% |
| Longest DD Days | 562 |
| Volatility (ann.) | 25.79% |
| Calmar | 0.89 |
| Skew | 0.39 |
| Kurtosis | 10.66 |
| Expected Daily | 0.12% |
| Expected Monthly | 2.33% |
| Expected Yearly | 29.35% |
| Kelly Criterion | 13.66% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.54% |
| Expected Shortfall (cVaR) | -2.54% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.33 |
| Gain/Pain (1M) | 1.77 |
| Payoff Ratio | 1.1 |
| Profit Factor | 1.33 |
| Common Sense Ratio | 1.63 |
| CPC Index | 0.8 |
| Tail Ratio | 1.22 |
| Outlier Win Ratio | 7.05 |
| Outlier Loss Ratio | 3.94 |
| MTD | 0.0% |
| 3M | 0.0% |
| 6M | 5.52% |
| YTD | 0.0% |
| 1Y | -6.62% |
| 3Y (ann.) | 14.78% |
| 5Y (ann.) | 13.42% |
| 10Y (ann.) | 21.37% |
| All-time (ann.) | 32.03% |
| Best Day | 13.24% |
| Worst Day | -17.5% |
| Best Month | 25.92% |
| Worst Month | -22.0% |
| Best Year | 208.49% |
| Worst Year | -26.06% |
| Avg. Drawdown | -2.95% |
| Avg. Drawdown Days | 22 |
| Recovery Factor | 1329.55 |
| Ulcer Index | 0.1 |
| Serenity Index | 441.82 |
| Avg. Up Month | 6.05% |
| Avg. Down Month | -5.54% |
| Win Days | 54.81% |
| Win Month | 71.6% |
| Win Quarter | 74.71% |
| Win Year | 81.82% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 0.0% | 0.0% |
| 2001 | 37.52% | 37.97% |
| 2002 | 19.95% | 15.52% |
| 2003 | 119.49% | 208.49% |
| 2004 | 27.49% | 28.34% |
| 2005 | 14.43% | 14.85% |
| 2006 | 33.34% | 35.76% |
| 2007 | 53.65% | 66.62% |
| 2008 | -26.17% | -26.06% |
| 2009 | 105.2% | 172.06% |
| 2010 | 26.93% | 25.73% |
| 2011 | 8.4% | 3.45% |
| 2012 | 42.57% | 49.38% |
| 2013 | 49.93% | 61.92% |
| 2014 | 22.34% | 22.38% |
| 2015 | 23.58% | 20.82% |
| 2016 | 0.59% | -0.67% |
| 2017 | 49.75% | 62.87% |
| 2018 | -10.16% | -13.63% |
| 2019 | 42.15% | 48.2% |
| 2020 | 12.28% | 10.28% |
| 2021 | 40.96% | 47.05% |
| 2022 | -6.1% | -6.62% |
| 2023 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-08-15 | 2009-06-16 | -36.11 | 305 |
| 2018-10-01 | 2020-01-02 | -34.56 | 458 |
| 2011-07-25 | 2012-01-19 | -24.66 | 178 |
| 2015-06-24 | 2017-01-06 | -22.32 | 562 |
| 2002-01-18 | 2002-11-14 | -20.50 | 300 |
| 2020-06-12 | 2021-05-24 | -20.17 | 346 |
| 2001-08-03 | 2001-11-26 | -19.86 | 115 |
| 2010-04-27 | 2010-10-18 | -18.88 | 174 |
| 2003-01-15 | 2003-03-17 | -17.93 | 61 |
| 2001-06-08 | 2001-08-02 | -17.53 | 55 |
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