Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 80.0% |
Cumulative Return | 28,907.05% |
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 | 0.08% |
3M | 2.22% |
6M | -20.38% |
YTD | 0.08% |
1Y | -56.89% |
3Y (ann.) | 3.98% |
5Y (ann.) | 10.61% |
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 | 480.82 |
Ulcer Index | 0.14 |
Serenity Index | 138.41 |
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 | 0.08% | 0.08% |
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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