| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 75.0% |
| Cumulative Return | 33,726.16% |
| CAGR﹪ | 29.96% |
| Sharpe | 1.2 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.2 |
| Sortino | 1.87 |
| Smart Sortino | 1.86 |
| Sortino/√2 | 1.32 |
| Smart Sortino/√2 | 1.31 |
| Omega | 1.31 |
| Max Drawdown | -36.41% |
| Longest DD Days | 644 |
| Volatility (ann.) | 25.55% |
| Calmar | 0.82 |
| Skew | 0.39 |
| Kurtosis | 9.55 |
| Expected Daily | 0.11% |
| Expected Monthly | 2.2% |
| Expected Yearly | 27.46% |
| Kelly Criterion | 12.87% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.53% |
| Expected Shortfall (cVaR) | -2.53% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.31 |
| Gain/Pain (1M) | 1.53 |
| Payoff Ratio | 1.11 |
| Profit Factor | 1.31 |
| Common Sense Ratio | 1.58 |
| CPC Index | 0.79 |
| Tail Ratio | 1.2 |
| Outlier Win Ratio | 7.0 |
| Outlier Loss Ratio | 4.09 |
| MTD | 0.0% |
| 3M | 0.0% |
| 6M | 5.37% |
| YTD | 0.0% |
| 1Y | -1.94% |
| 3Y (ann.) | 11.76% |
| 5Y (ann.) | 11.84% |
| 10Y (ann.) | 18.75% |
| All-time (ann.) | 29.96% |
| Best Day | 13.24% |
| Worst Day | -15.86% |
| Best Month | 26.83% |
| Worst Month | -19.85% |
| Best Year | 178.55% |
| Worst Year | -23.54% |
| Avg. Drawdown | -3.16% |
| Avg. Drawdown Days | 25 |
| Recovery Factor | 926.39 |
| Ulcer Index | 0.11 |
| Serenity Index | 259.67 |
| Avg. Up Month | 6.26% |
| Avg. Down Month | -5.38% |
| Win Days | 54.14% |
| Win Month | 68.38% |
| Win Quarter | 73.86% |
| Win Year | 86.96% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 0.64% | 0.56% |
| 2001 | 40.78% | 42.1% |
| 2002 | 13.05% | 8.56% |
| 2003 | 108.86% | 178.55% |
| 2004 | 23.49% | 23.23% |
| 2005 | 17.13% | 17.94% |
| 2006 | 30.84% | 32.47% |
| 2007 | 55.78% | 70.39% |
| 2008 | -22.97% | -23.54% |
| 2009 | 98.43% | 153.87% |
| 2010 | 35.7% | 37.42% |
| 2011 | 6.82% | 1.43% |
| 2012 | 40.64% | 46.04% |
| 2013 | 43.73% | 52.12% |
| 2014 | 22.43% | 22.11% |
| 2015 | 8.38% | 4.85% |
| 2016 | 7.53% | 6.36% |
| 2017 | 52.08% | 66.67% |
| 2018 | -12.27% | -14.96% |
| 2019 | 42.77% | 49.16% |
| 2020 | 10.28% | 7.76% |
| 2021 | 28.96% | 30.5% |
| 2022 | -1.56% | -1.94% |
| 2023 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-08-15 | 2009-06-15 | -36.41 | 304 |
| 2018-10-01 | 2019-12-16 | -34.38 | 441 |
| 2015-06-24 | 2017-03-29 | -28.48 | 644 |
| 2002-01-18 | 2002-12-04 | -27.18 | 320 |
| 2011-03-04 | 2012-02-01 | -24.46 | 334 |
| 2020-06-12 | 2021-06-14 | -22.82 | 367 |
| 2001-08-03 | 2001-12-05 | -21.56 | 124 |
| 2018-01-24 | 2018-07-02 | -20.13 | 159 |
| 2007-12-27 | 2008-08-08 | -18.12 | 225 |
| 2012-03-28 | 2012-07-19 | -17.84 | 113 |
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