| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 77.0% |
| Cumulative Return | 55,814.52% |
| CAGR﹪ | 32.93% |
| Sharpe | 1.23 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.23 |
| Sortino | 1.91 |
| Smart Sortino | 1.9 |
| Sortino/√2 | 1.35 |
| Smart Sortino/√2 | 1.34 |
| Omega | 1.32 |
| Max Drawdown | -48.28% |
| Longest DD Days | 458 |
| Volatility (ann.) | 27.3% |
| Calmar | 0.68 |
| Skew | 0.38 |
| Kurtosis | 10.14 |
| Expected Daily | 0.12% |
| Expected Monthly | 2.39% |
| Expected Yearly | 30.16% |
| Kelly Criterion | 13.1% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.7% |
| Expected Shortfall (cVaR) | -2.7% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.32 |
| Gain/Pain (1M) | 1.56 |
| Payoff Ratio | 1.09 |
| Profit Factor | 1.32 |
| Common Sense Ratio | 1.55 |
| CPC Index | 0.78 |
| Tail Ratio | 1.18 |
| Outlier Win Ratio | 6.48 |
| Outlier Loss Ratio | 4.23 |
| MTD | 0.23% |
| 3M | 3.96% |
| 6M | -19.89% |
| YTD | 0.23% |
| 1Y | -42.78% |
| 3Y (ann.) | 24.11% |
| 5Y (ann.) | 18.7% |
| 10Y (ann.) | 23.8% |
| All-time (ann.) | 32.93% |
| Best Day | 16.4% |
| Worst Day | -17.5% |
| Best Month | 25.92% |
| Worst Month | -22.0% |
| Best Year | 208.42% |
| Worst Year | -42.91% |
| Avg. Drawdown | -3.09% |
| Avg. Drawdown Days | 20 |
| Recovery Factor | 1155.98 |
| Ulcer Index | 0.11 |
| Serenity Index | 389.16 |
| Avg. Up Month | 6.4% |
| Avg. Down Month | -6.06% |
| Win Days | 54.68% |
| Win Month | 70.77% |
| Win Quarter | 75.28% |
| Win Year | 86.96% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 0.0% | 0.0% |
| 2001 | 36.62% | 37.36% |
| 2002 | 23.46% | 19.79% |
| 2003 | 119.13% | 208.42% |
| 2004 | 28.67% | 29.97% |
| 2005 | 14.43% | 14.85% |
| 2006 | 29.89% | 31.23% |
| 2007 | 48.9% | 59.36% |
| 2008 | -27.28% | -26.83% |
| 2009 | 105.2% | 172.06% |
| 2010 | 29.23% | 28.84% |
| 2011 | 5.35% | 0.41% |
| 2012 | 42.73% | 49.7% |
| 2013 | 48.83% | 60.17% |
| 2014 | 21.48% | 21.53% |
| 2015 | 22.78% | 19.97% |
| 2016 | 3.28% | 2.17% |
| 2017 | 46.87% | 58.34% |
| 2018 | -11.8% | -14.77% |
| 2019 | 42.85% | 49.49% |
| 2020 | 74.68% | 99.66% |
| 2021 | 55.32% | 66.5% |
| 2022 | -49.21% | -42.91% |
| 2023 | 0.23% | 0.23% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-10 | 2023-01-03 | -48.28 | 327 |
| 2008-08-15 | 2009-06-16 | -36.78 | 305 |
| 2018-10-01 | 2020-01-02 | -35.30 | 458 |
| 2011-03-04 | 2012-01-25 | -24.92 | 327 |
| 2015-06-24 | 2015-12-04 | -21.15 | 163 |
| 2001-08-03 | 2001-11-26 | -19.86 | 115 |
| 2002-04-17 | 2002-11-14 | -19.79 | 211 |
| 2015-12-07 | 2016-09-22 | -18.88 | 290 |
| 2010-04-27 | 2010-10-13 | -18.88 | 169 |
| 2020-07-14 | 2020-09-28 | -18.57 | 76 |
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