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Strategy ------------------ --------------- Start Period 2000-10-18 End Period 2020-05-05 Risk-Free Rate 0.0% Time in Market 78.0% Cumulative Return 408,075,626.47% CAGR% 117.77% Sharpe 1.61 Sortino 2.81 Max Drawdown -56.68% Longest DD Days 687 Payoff Ratio 1.23 Profit Factor 1.45 Common Sense Ratio 1.93 CPC Index 0.96 Tail Ratio 1.33 Outlier Win Ratio 6.38 Outlier Loss Ratio 4.23 MTD 5.78% 3M 29.48% 6M 49.97% YTD 29.76% 1Y 135.47% 3Y (ann.) 69.71% 5Y (ann.) 58.62% 10Y (ann.) 83.45% All-time (ann.) 117.77% Avg. Drawdown -7.45% Avg. Drawdown Days 22 Recovery Factor 7200075.91 Ulcer Index 1.0
Strategy ------------------ ----------------- Start Period 2000-10-18 End Period 2020-05-05 Risk-Free Rate 0.0% Time in Market 79.0% Cumulative Return 2,662,040,329.73% CAGR% 139.68% Sharpe 1.84 Sortino 3.34 Max Drawdown -49.64% Longest DD Days 869 Payoff Ratio 1.27 Profit Factor 1.52 Common Sense Ratio 2.02 CPC Index 1.05 Tail Ratio 1.33 Outlier Win Ratio 6.42 Outlier Loss Ratio 3.79 MTD -5.47% 3M 14.9% 6M 31.77% YTD 15.43% 1Y 107.32% 3Y (ann.) 55.34% 5Y (ann.) 53.85% 10Y (ann.) 73.47% All-time (ann.) 139.68% Avg. Drawdown -6.66% Avg. Drawdown Days 22 Recovery Factor 53622579.81 Ulcer Index 1.0
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