| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 94.0% |
| Cumulative Return | 417,545.63% |
| CAGR﹪ | 47.62% |
| Sharpe | 2.0 |
| Smart Sharpe | 1.94 |
| Sortino | 3.45 |
| Smart Sortino | 3.35 |
| Sortino/√2 | 2.44 |
| Smart Sortino/√2 | 2.37 |
| Omega | 1.48 |
| Max Drawdown | -19.28% |
| Longest DD Days | 415 |
| Volatility (ann.) | 22.59% |
| Calmar | 2.47 |
| Skew | 2.01 |
| Kurtosis | 27.5 |
| Expected Daily % | 0.17% |
| Expected Monthly % | 3.28% |
| Expected Yearly % | 43.69% |
| Kelly Criterion | 18.2% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.16% |
| Expected Shortfall (cVaR) | -2.16% |
| Gain/Pain Ratio | 0.48 |
| Gain/Pain (1M) | 4.0 |
| Payoff Ratio | 1.16 |
| Profit Factor | 1.48 |
| Common Sense Ratio | 1.78 |
| CPC Index | 0.96 |
| Tail Ratio | 1.21 |
| Outlier Win Ratio | 4.39 |
| Outlier Loss Ratio | 3.57 |
| MTD | 2.33% |
| 3M | -11.97% |
| 6M | -0.04% |
| YTD | -13.45% |
| 1Y | 12.71% |
| 3Y (ann.) | 33.09% |
| 5Y (ann.) | 31.94% |
| 10Y (ann.) | 31.57% |
| All-time (ann.) | 47.62% |
| Best Day | 24.37% |
| Worst Day | -9.12% |
| Best Month | 26.43% |
| Worst Month | -15.86% |
| Best Year | 93.97% |
| Worst Year | -13.45% |
| Avg. Drawdown | -2.54% |
| Avg. Drawdown Days | 16 |
| Recovery Factor | 21656.47 |
| Ulcer Index | 0.05 |
| Serenity Index | 13285.99 |
| Avg. Up Month | 5.93% |
| Avg. Down Month | -3.26% |
| Win Days % | 56.15% |
| Win Month % | 73.15% |
| Win Quarter % | 83.72% |
| Win Year % | 95.65% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 26.63% | 29.23% |
| 2001 | 51.07% | 61.11% |
| 2002 | 51.71% | 63.4% |
| 2003 | 67.33% | 92.44% |
| 2004 | 34.18% | 38.26% |
| 2005 | 21.11% | 21.52% |
| 2006 | 68.61% | 93.97% |
| 2007 | 41.4% | 48.28% |
| 2008 | 58.32% | 67.78% |
| 2009 | 53.44% | 65.11% |
| 2010 | 68.43% | 93.91% |
| 2011 | 23.31% | 23.73% |
| 2012 | 46.34% | 55.97% |
| 2013 | 53.17% | 67.01% |
| 2014 | 9.29% | 7.87% |
| 2015 | 10.94% | 9.49% |
| 2016 | 36.03% | 41.03% |
| 2017 | 56.38% | 73.84% |
| 2018 | 4.59% | 2.64% |
| 2019 | 49.61% | 61.62% |
| 2020 | 41.35% | 45.43% |
| 2021 | 24.3% | 26.12% |
| 2022 | -14.12% | -13.45% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-09-04 | 2019-06-07 | -19.28 | 276 |
| 2021-12-28 | 2022-03-11 | -18.02 | 73 |
| 2001-09-27 | 2002-02-22 | -17.77 | 148 |
| 2020-03-06 | 2020-04-09 | -17.23 | 34 |
| 2008-07-17 | 2008-09-18 | -17.04 | 63 |
| 2014-07-07 | 2015-08-26 | -15.23 | 415 |
| 2015-08-27 | 2016-02-08 | -13.51 | 165 |
| 2005-01-03 | 2005-03-16 | -12.85 | 72 |
| 2002-08-06 | 2002-09-19 | -12.24 | 44 |
| 2011-07-27 | 2011-11-02 | -11.99 | 98 |
0 Comentarios