| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 78.0% |
| Cumulative Return | 37,514.19% |
| CAGR﹪ | 30.58% |
| Sharpe | 1.17 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.16 |
| Sortino | 1.81 |
| Smart Sortino | 1.8 |
| Sortino/√2 | 1.28 |
| Smart Sortino/√2 | 1.27 |
| Omega | 1.3 |
| Max Drawdown | -46.11% |
| Longest DD Days | 596 |
| Volatility (ann.) | 26.95% |
| Calmar | 0.66 |
| Skew | 0.39 |
| Kurtosis | 9.34 |
| Expected Daily | 0.11% |
| Expected Monthly | 2.24% |
| Expected Yearly | 28.03% |
| Kelly Criterion | 12.34% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.67% |
| Expected Shortfall (cVaR) | -2.67% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.3 |
| Gain/Pain (1M) | 1.38 |
| Payoff Ratio | 1.1 |
| Profit Factor | 1.3 |
| Common Sense Ratio | 1.5 |
| CPC Index | 0.77 |
| Tail Ratio | 1.16 |
| Outlier Win Ratio | 6.45 |
| Outlier Loss Ratio | 4.23 |
| MTD | 0.1% |
| 3M | 3.83% |
| 6M | -19.12% |
| YTD | 0.1% |
| 1Y | -40.83% |
| 3Y (ann.) | 21.79% |
| 5Y (ann.) | 17.57% |
| 10Y (ann.) | 21.47% |
| All-time (ann.) | 30.58% |
| Best Day | 16.4% |
| Worst Day | -15.86% |
| Best Month | 25.08% |
| Worst Month | -19.85% |
| Best Year | 163.77% |
| Worst Year | -40.89% |
| Avg. Drawdown | -3.23% |
| Avg. Drawdown Days | 22 |
| Recovery Factor | 813.55 |
| Ulcer Index | 0.12 |
| Serenity Index | 248.29 |
| Avg. Up Month | 6.43% |
| Avg. Down Month | -6.04% |
| Win Days | 54.08% |
| Win Month | 69.08% |
| Win Quarter | 75.56% |
| Win Year | 83.33% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 0.64% | 0.56% |
| 2001 | 41.58% | 43.82% |
| 2002 | 16.79% | 12.84% |
| 2003 | 103.07% | 163.77% |
| 2004 | 23.27% | 22.98% |
| 2005 | 17.67% | 18.6% |
| 2006 | 27.29% | 27.93% |
| 2007 | 51.3% | 63.14% |
| 2008 | -24.87% | -24.7% |
| 2009 | 93.51% | 142.7% |
| 2010 | 39.32% | 42.76% |
| 2011 | 5.21% | -0.13% |
| 2012 | 40.17% | 45.43% |
| 2013 | 43.67% | 52.01% |
| 2014 | 21.61% | 21.41% |
| 2015 | 7.16% | 3.66% |
| 2016 | 9.76% | 8.97% |
| 2017 | 49.52% | 62.56% |
| 2018 | -15.16% | -16.99% |
| 2019 | 44.49% | 51.97% |
| 2020 | 70.61% | 90.95% |
| 2021 | 49.46% | 56.81% |
| 2022 | -46.26% | -40.89% |
| 2023 | 0.1% | 0.1% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-28 | 2023-01-03 | -46.11 | 371 |
| 2008-08-15 | 2009-06-15 | -35.21 | 304 |
| 2018-10-01 | 2019-12-16 | -35.11 | 441 |
| 2015-06-24 | 2017-02-09 | -27.94 | 596 |
| 2011-03-04 | 2012-02-03 | -25.61 | 336 |
| 2002-01-18 | 2002-11-26 | -24.32 | 312 |
| 2001-08-03 | 2001-12-05 | -21.56 | 124 |
| 2018-01-24 | 2018-07-06 | -20.51 | 163 |
| 2020-07-14 | 2020-09-30 | -18.82 | 78 |
| 2001-06-08 | 2001-08-01 | -17.53 | 54 |
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