| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 94.0% |
| Cumulative Return | 124,317,108,234,393.36% |
| CAGR﹪ | 269.39% |
| Sharpe | 2.01 |
| Smart Sharpe | 1.96 |
| Sortino | 3.5 |
| Smart Sortino | 3.4 |
| Sortino/√2 | 2.47 |
| Smart Sortino/√2 | 2.41 |
| Omega | 1.49 |
| Max Drawdown | -58.66% |
| Longest DD Days | 595 |
| Volatility (ann.) | 90.83% |
| Calmar | 4.59 |
| Skew | 2.1 |
| Kurtosis | 27.98 |
| Expected Daily % | 0.57% |
| Expected Monthly % | 11.44% |
| Expected Yearly % | 235.62% |
| Kelly Criterion | 18.37% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -8.69% |
| Expected Shortfall (cVaR) | -8.69% |
| Gain/Pain Ratio | 0.49 |
| Gain/Pain (1M) | 4.06 |
| Payoff Ratio | 1.16 |
| Profit Factor | 1.49 |
| Common Sense Ratio | 1.8 |
| CPC Index | 0.96 |
| Tail Ratio | 1.21 |
| Outlier Win Ratio | 4.33 |
| Outlier Loss Ratio | 3.58 |
| MTD | -3.24% |
| 3M | -39.81% |
| 6M | -5.76% |
| YTD | -53.05% |
| 1Y | 22.47% |
| 3Y (ann.) | 130.74% |
| 5Y (ann.) | 150.21% |
| 10Y (ann.) | 147.21% |
| All-time (ann.) | 269.39% |
| Best Day | 97.46% |
| Worst Day | -36.48% |
| Best Month | 144.21% |
| Worst Month | -51.48% |
| Best Year | 986.49% |
| Worst Year | -53.05% |
| Avg. Drawdown | -9.87% |
| Avg. Drawdown Days | 18 |
| Recovery Factor | 2119168289074.45 |
| Ulcer Index | 0.19 |
| Serenity Index | 1100141139334.96 |
| Avg. Up Month | 25.2% |
| Avg. Down Month | -13.05% |
| Win Days % | 56.25% |
| Win Month % | 71.48% |
| Win Quarter % | 77.91% |
| Win Year % | 91.3% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 106.51% | 151.52% |
| 2001 | 221.74% | 403.45% |
| 2002 | 210.79% | 447.5% |
| 2003 | 266.88% | 978.76% |
| 2004 | 126.41% | 168.08% |
| 2005 | 88.93% | 87.98% |
| 2006 | 274.42% | 984.61% |
| 2007 | 165.76% | 283.58% |
| 2008 | 242.85% | 372.37% |
| 2009 | 213.77% | 410.35% |
| 2010 | 273.74% | 986.49% |
| 2011 | 89.79% | 77.58% |
| 2012 | 178.67% | 343.93% |
| 2013 | 212.69% | 522.94% |
| 2014 | 37.17% | 9.83% |
| 2015 | 45.42% | 18.82% |
| 2016 | 156.3% | 265.63% |
| 2017 | 225.53% | 702.57% |
| 2018 | 25.39% | -4.86% |
| 2019 | 197.33% | 456.51% |
| 2020 | 167.72% | 195.13% |
| 2021 | 96.2% | 119.4% |
| 2022 | -71.02% | -53.05% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2001-09-27 | 2002-04-23 | -58.66 | 208 |
| 2020-03-06 | 2020-06-03 | -57.11 | 89 |
| 2018-08-30 | 2019-06-18 | -56.59 | 292 |
| 2021-12-28 | 2022-02-04 | -56.37 | 38 |
| 2008-07-17 | 2008-09-18 | -56.31 | 63 |
| 2014-07-07 | 2016-02-22 | -53.37 | 595 |
| 2005-01-03 | 2005-04-18 | -44.17 | 105 |
| 2011-07-27 | 2011-11-07 | -43.02 | 103 |
| 2013-05-07 | 2013-07-11 | -40.24 | 65 |
| 2009-06-03 | 2009-07-20 | -39.94 | 47 |
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