| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 93.0% |
| Cumulative Return | 3,121,123.86% |
| CAGR﹪ | 61.5% |
| Sharpe | 2.1 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.1 |
| Sortino | 3.68 |
| Smart Sortino | 3.67 |
| Sortino/√2 | 2.6 |
| Smart Sortino/√2 | 2.6 |
| Omega | 1.55 |
| Max Drawdown | -24.7% |
| Longest DD Days | 211 |
| Volatility (ann.) | 25.94% |
| Calmar | 2.49 |
| Skew | 2.16 |
| Kurtosis | 35.81 |
| Expected Daily | 0.2% |
| Expected Monthly | 4.06% |
| Expected Yearly | 56.82% |
| Kelly Criterion | 19.87% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.47% |
| Expected Shortfall (cVaR) | -2.47% |
| Max Consecutive Wins | 12 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.55 |
| Gain/Pain (1M) | 5.64 |
| Payoff Ratio | 1.2 |
| Profit Factor | 1.55 |
| Common Sense Ratio | 2.09 |
| CPC Index | 1.04 |
| Tail Ratio | 1.35 |
| Outlier Win Ratio | 4.83 |
| Outlier Loss Ratio | 3.98 |
| MTD | -6.73% |
| 3M | -0.68% |
| 6M | -1.98% |
| YTD | -2.63% |
| 1Y | 16.87% |
| 3Y (ann.) | 32.89% |
| 5Y (ann.) | 31.76% |
| 10Y (ann.) | 37.99% |
| All-time (ann.) | 61.5% |
| Best Day | 32.09% |
| Worst Day | -11.32% |
| Best Month | 37.83% |
| Worst Month | -10.08% |
| Best Year | 263.58% |
| Worst Year | -2.63% |
| Avg. Drawdown | -2.63% |
| Avg. Drawdown Days | 14 |
| Recovery Factor | 126370.56 |
| Ulcer Index | 0.04 |
| Serenity Index | 143827.41 |
| Avg. Up Month | 6.77% |
| Avg. Down Month | -3.34% |
| Win Days | 56.28% |
| Win Month | 76.08% |
| Win Quarter | 85.06% |
| Win Year | 91.3% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -0.11% | -0.17% |
| 2001 | 41.84% | 47.44% |
| 2002 | 59.38% | 74.18% |
| 2003 | 133.77% | 263.58% |
| 2004 | 41.19% | 45.84% |
| 2005 | 43.2% | 51.53% |
| 2006 | 65.69% | 85.63% |
| 2007 | 68.78% | 93.39% |
| 2008 | 65.69% | 73.56% |
| 2009 | 122.91% | 226.28% |
| 2010 | 61.97% | 79.68% |
| 2011 | 28.3% | 26.42% |
| 2012 | 71.92% | 99.51% |
| 2013 | 54.08% | 66.9% |
| 2014 | 19.14% | 19.21% |
| 2015 | 29.13% | 30.02% |
| 2016 | 32.89% | 36.67% |
| 2017 | 48.62% | 60.96% |
| 2018 | 6.13% | 5.25% |
| 2019 | 38.78% | 45.81% |
| 2020 | 45.14% | 50.08% |
| 2021 | 26.5% | 28.87% |
| 2022 | -2.36% | -2.63% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-18 | 2008-09-18 | -24.70 | 62 |
| 2011-11-09 | 2012-01-26 | -23.51 | 78 |
| 2020-03-10 | 2020-04-06 | -18.40 | 27 |
| 2004-06-29 | 2004-10-21 | -16.11 | 114 |
| 2013-05-01 | 2013-08-01 | -15.93 | 92 |
| 2010-01-13 | 2010-03-01 | -14.77 | 47 |
| 2015-08-18 | 2015-10-23 | -13.59 | 66 |
| 2020-07-27 | 2021-01-04 | -13.08 | 161 |
| 2004-04-27 | 2004-05-27 | -12.89 | 30 |
| 2018-01-25 | 2018-08-24 | -12.77 | 211 |
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