| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 82.0% |
| Cumulative Return | 75,654.42% |
| CAGR﹪ | 34.76% |
| Sharpe | 1.21 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.17 |
| Sortino | 1.92 |
| Smart Sortino | 1.87 |
| Sortino/√2 | 1.36 |
| Smart Sortino/√2 | 1.32 |
| Omega | 1.3 |
| Max Drawdown | -31.9% |
| Longest DD Days | 1090 |
| Volatility (ann.) | 29.55% |
| Calmar | 1.09 |
| Skew | 0.72 |
| Kurtosis | 9.72 |
| Expected Daily | 0.12% |
| Expected Monthly | 2.5% |
| Expected Yearly | 31.82% |
| Kelly Criterion | 12.33% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.92% |
| Expected Shortfall (cVaR) | -2.92% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 10 |
| Gain/Pain Ratio | 0.3 |
| Gain/Pain (1M) | 1.69 |
| Payoff Ratio | 1.13 |
| Profit Factor | 1.3 |
| Common Sense Ratio | 1.6 |
| CPC Index | 0.78 |
| Tail Ratio | 1.23 |
| Outlier Win Ratio | 6.22 |
| Outlier Loss Ratio | 4.14 |
| MTD | -0.23% |
| 3M | -3.16% |
| 6M | 0.46% |
| YTD | -0.23% |
| 1Y | 33.18% |
| 3Y (ann.) | 53.84% |
| 5Y (ann.) | 34.26% |
| 10Y (ann.) | 24.32% |
| All-time (ann.) | 34.76% |
| Best Day | 19.07% |
| Worst Day | -16.4% |
| Best Month | 40.45% |
| Worst Month | -24.99% |
| Best Year | 239.23% |
| Worst Year | -11.04% |
| Avg. Drawdown | -4.62% |
| Avg. Drawdown Days | 35 |
| Recovery Factor | 2371.46 |
| Ulcer Index | 0.1 |
| Serenity Index | 777.14 |
| Avg. Up Month | 6.88% |
| Avg. Down Month | -5.01% |
| Win Days | 53.56% |
| Win Month | 66.04% |
| Win Quarter | 67.78% |
| Win Year | 87.5% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 65.6% | 87.14% |
| 2001 | 88.85% | 124.28% |
| 2002 | 46.68% | 47.98% |
| 2003 | 128.52% | 239.23% |
| 2004 | 8.9% | 5.93% |
| 2005 | -10.46% | -11.04% |
| 2006 | 12.92% | 12.61% |
| 2007 | 17.36% | 16.11% |
| 2008 | 21.44% | 16.15% |
| 2009 | 77.39% | 98.86% |
| 2010 | 29.55% | 28.73% |
| 2011 | 8.71% | 4.05% |
| 2012 | 8.97% | 6.8% |
| 2013 | 25.18% | 27.31% |
| 2014 | 10.98% | 9.64% |
| 2015 | 30.36% | 30.48% |
| 2016 | -5.01% | -6.06% |
| 2017 | 16.14% | 16.55% |
| 2018 | 21.71% | 20.62% |
| 2019 | 7.59% | 5.33% |
| 2020 | 78.09% | 97.81% |
| 2021 | 32.23% | 32.33% |
| 2022 | 33.6% | 33.48% |
| 2023 | -0.23% | -0.23% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-11-05 | 2009-06-25 | -31.90 | 232 |
| 2019-09-04 | 2020-07-13 | -27.18 | 313 |
| 2004-02-18 | 2007-02-12 | -26.80 | 1090 |
| 2018-01-30 | 2018-12-07 | -25.24 | 311 |
| 2011-06-01 | 2012-04-27 | -23.51 | 331 |
| 2002-10-17 | 2003-01-17 | -22.65 | 92 |
| 2015-08-26 | 2018-01-12 | -22.28 | 870 |
| 2019-01-04 | 2019-05-23 | -22.14 | 139 |
| 2002-08-06 | 2002-09-30 | -20.68 | 55 |
| 2007-08-29 | 2008-09-22 | -20.52 | 390 |
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