| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 92.0% |
| Cumulative Return | 3,170,797.86% |
| CAGR﹪ | 61.88% |
| Sharpe | 2.11 |
| Smart Sharpe | 2.07 |
| Sortino | 3.86 |
| Smart Sortino | 3.79 |
| Sortino/√2 | 2.73 |
| Smart Sortino/√2 | 2.68 |
| Omega | 1.57 |
| Max Drawdown | -24.49% |
| Longest DD Days | 390 |
| Volatility (ann.) | 26.63% |
| Calmar | 2.53 |
| Skew | 3.09 |
| Kurtosis | 46.32 |
| Expected Daily % | 0.21% |
| Expected Monthly % | 4.08% |
| Expected Yearly % | 56.93% |
| Kelly Criterion | 20.38% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.54% |
| Expected Shortfall (cVaR) | -2.54% |
| Gain/Pain Ratio | 0.57 |
| Gain/Pain (1M) | 5.52 |
| Payoff Ratio | 1.21 |
| Profit Factor | 1.57 |
| Common Sense Ratio | 2.09 |
| CPC Index | 1.07 |
| Tail Ratio | 1.34 |
| Outlier Win Ratio | 4.85 |
| Outlier Loss Ratio | 3.9 |
| MTD | 4.93% |
| 3M | 9.63% |
| 6M | 14.42% |
| YTD | 6.74% |
| 1Y | 30.12% |
| 3Y (ann.) | 38.97% |
| 5Y (ann.) | 34.36% |
| 10Y (ann.) | 37.55% |
| All-time (ann.) | 61.88% |
| Best Day | 32.35% |
| Worst Day | -9.57% |
| Best Month | 38.6% |
| Worst Month | -10.73% |
| Best Year | 287.52% |
| Worst Year | -2.37% |
| Avg. Drawdown | -2.6% |
| Avg. Drawdown Days | 15 |
| Recovery Factor | 129485.36 |
| Ulcer Index | 0.05 |
| Serenity Index | 113622.34 |
| Avg. Up Month | 6.95% |
| Avg. Down Month | -3.24% |
| Win Days % | 56.38% |
| Win Month % | 74.8% |
| Win Quarter % | 85.06% |
| Win Year % | 91.3% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -0.11% | -0.17% |
| 2001 | 41.21% | 46.82% |
| 2002 | 64.01% | 83.0% |
| 2003 | 140.09% | 287.52% |
| 2004 | 44.37% | 50.98% |
| 2005 | 43.23% | 51.67% |
| 2006 | 60.77% | 75.8% |
| 2007 | 67.11% | 90.89% |
| 2008 | 67.53% | 75.28% |
| 2009 | 124.7% | 229.17% |
| 2010 | 60.39% | 77.12% |
| 2011 | 24.34% | 22.33% |
| 2012 | 75.33% | 106.8% |
| 2013 | 52.85% | 65.34% |
| 2014 | 16.58% | 16.0% |
| 2015 | 15.78% | 14.72% |
| 2016 | 31.36% | 34.42% |
| 2017 | 59.69% | 79.66% |
| 2018 | -1.07% | -2.37% |
| 2019 | 37.03% | 43.3% |
| 2020 | 46.75% | 50.17% |
| 2021 | 26.5% | 28.87% |
| 2022 | 6.66% | 6.74% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-05-22 | 2008-09-18 | -24.49 | 119 |
| 2011-11-09 | 2012-01-25 | -22.25 | 77 |
| 2020-03-10 | 2020-03-26 | -18.34 | 16 |
| 2018-01-25 | 2019-02-19 | -16.75 | 390 |
| 2013-05-01 | 2013-08-01 | -16.35 | 92 |
| 2015-06-19 | 2016-06-08 | -15.20 | 355 |
| 2010-01-13 | 2010-03-02 | -14.99 | 48 |
| 2004-06-29 | 2004-10-01 | -14.18 | 94 |
| 2007-07-23 | 2007-09-11 | -13.27 | 50 |
| 2014-08-20 | 2015-01-08 | -13.12 | 141 |
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