| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 79.0% |
| Cumulative Return | 35,810.21% |
| CAGR﹪ | 30.31% |
| Sharpe | 1.11 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.09 |
| Sortino | 1.71 |
| Smart Sortino | 1.67 |
| Sortino/√2 | 1.21 |
| Smart Sortino/√2 | 1.18 |
| Omega | 1.28 |
| Max Drawdown | -62.46% |
| Longest DD Days | 394 |
| Volatility (ann.) | 28.67% |
| Calmar | 0.49 |
| Skew | 0.38 |
| Kurtosis | 10.22 |
| Expected Daily | 0.11% |
| Expected Monthly | 2.22% |
| Expected Yearly | 27.78% |
| Kelly Criterion | 11.92% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.84% |
| Expected Shortfall (cVaR) | -2.84% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.28 |
| Gain/Pain (1M) | 1.35 |
| Payoff Ratio | 1.08 |
| Profit Factor | 1.28 |
| Common Sense Ratio | 1.5 |
| CPC Index | 0.75 |
| Tail Ratio | 1.17 |
| Outlier Win Ratio | 6.37 |
| Outlier Loss Ratio | 4.35 |
| MTD | 0.23% |
| 3M | 2.36% |
| 6M | -21.12% |
| YTD | 0.23% |
| 1Y | -59.36% |
| 3Y (ann.) | 4.81% |
| 5Y (ann.) | 9.62% |
| 10Y (ann.) | 20.03% |
| All-time (ann.) | 30.31% |
| Best Day | 16.4% |
| Worst Day | -17.5% |
| Best Month | 25.9% |
| Worst Month | -24.24% |
| Best Year | 203.78% |
| Worst Year | -59.46% |
| Avg. Drawdown | -3.0% |
| Avg. Drawdown Days | 19 |
| Recovery Factor | 573.3 |
| Ulcer Index | 0.14 |
| Serenity Index | 173.61 |
| Avg. Up Month | 6.46% |
| Avg. Down Month | -6.51% |
| Win Days | 54.28% |
| Win Month | 70.38% |
| Win Quarter | 76.4% |
| Win Year | 86.96% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 0.0% | 0.0% |
| 2001 | 37.08% | 37.18% |
| 2002 | 17.44% | 12.57% |
| 2003 | 118.06% | 203.78% |
| 2004 | 24.54% | 24.44% |
| 2005 | 14.43% | 14.85% |
| 2006 | 38.28% | 42.75% |
| 2007 | 49.78% | 59.67% |
| 2008 | -31.43% | -30.03% |
| 2009 | 106.5% | 176.65% |
| 2010 | 24.83% | 22.61% |
| 2011 | 11.39% | 6.07% |
| 2012 | 35.23% | 38.9% |
| 2013 | 46.51% | 57.27% |
| 2014 | 25.57% | 27.18% |
| 2015 | 42.37% | 45.59% |
| 2016 | 3.41% | 1.94% |
| 2017 | 34.51% | 40.14% |
| 2018 | -1.71% | -6.05% |
| 2019 | 44.58% | 51.96% |
| 2020 | 66.85% | 78.64% |
| 2021 | 48.64% | 55.89% |
| 2022 | -81.71% | -59.46% |
| 2023 | 0.23% | 0.23% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2023-01-03 | -62.46 | 371 |
| 2008-08-15 | 2009-06-26 | -38.24 | 315 |
| 2018-10-01 | 2019-09-17 | -33.58 | 351 |
| 2011-07-25 | 2012-01-25 | -25.75 | 184 |
| 2002-01-18 | 2002-11-21 | -22.53 | 307 |
| 2015-08-06 | 2015-11-02 | -21.78 | 88 |
| 2003-01-15 | 2003-04-02 | -21.72 | 77 |
| 2020-02-27 | 2020-05-18 | -20.63 | 81 |
| 2001-08-03 | 2001-11-26 | -19.86 | 115 |
| 2015-12-07 | 2017-01-04 | -19.74 | 394 |
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