| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 93.0% |
| Cumulative Return | 338,215,337.50% |
| CAGR﹪ | 99.71% |
| Sharpe | 2.09 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.09 |
| Sortino | 3.66 |
| Smart Sortino | 3.66 |
| Sortino/√2 | 2.59 |
| Smart Sortino/√2 | 2.59 |
| Omega | 1.54 |
| Max Drawdown | -35.36% |
| Longest DD Days | 225 |
| Volatility (ann.) | 38.93% |
| Calmar | 2.82 |
| Skew | 2.16 |
| Kurtosis | 35.63 |
| Expected Daily | 0.29% |
| Expected Monthly | 5.91% |
| Expected Yearly | 92.26% |
| Kelly Criterion | 19.78% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -3.71% |
| Expected Shortfall (cVaR) | -3.71% |
| Max Consecutive Wins | 12 |
| Max Consecutive Losses | 8 |
| Gain/Pain Ratio | 0.54 |
| Gain/Pain (1M) | 5.61 |
| Payoff Ratio | 1.2 |
| Profit Factor | 1.54 |
| Common Sense Ratio | 2.08 |
| CPC Index | 1.04 |
| Tail Ratio | 1.35 |
| Outlier Win Ratio | 4.88 |
| Outlier Loss Ratio | 3.97 |
| MTD | -5.35% |
| 3M | -6.19% |
| 6M | -2.8% |
| YTD | -3.81% |
| 1Y | 22.14% |
| 3Y (ann.) | 40.88% |
| 5Y (ann.) | 47.18% |
| 10Y (ann.) | 55.57% |
| All-time (ann.) | 99.71% |
| Best Day | 48.14% |
| Worst Day | -16.98% |
| Best Month | 61.16% |
| Worst Month | -15.46% |
| Best Year | 570.18% |
| Worst Year | -3.81% |
| Avg. Drawdown | -3.93% |
| Avg. Drawdown Days | 15 |
| Recovery Factor | 9564441.8 |
| Ulcer Index | 0.07 |
| Serenity Index | 10235674.31 |
| Avg. Up Month | 10.17% |
| Avg. Down Month | -5.06% |
| Win Days | 56.22% |
| Win Month | 75.88% |
| Win Quarter | 82.95% |
| Win Year | 91.3% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -0.16% | -0.31% |
| 2001 | 63.0% | 75.42% |
| 2002 | 89.02% | 123.34% |
| 2003 | 200.69% | 570.18% |
| 2004 | 61.51% | 71.09% |
| 2005 | 65.09% | 84.79% |
| 2006 | 98.67% | 146.06% |
| 2007 | 103.17% | 163.37% |
| 2008 | 98.53% | 113.11% |
| 2009 | 184.36% | 469.75% |
| 2010 | 92.95% | 134.86% |
| 2011 | 42.44% | 37.04% |
| 2012 | 107.87% | 175.98% |
| 2013 | 81.11% | 111.08% |
| 2014 | 28.71% | 28.63% |
| 2015 | 43.69% | 45.03% |
| 2016 | 49.31% | 57.82% |
| 2017 | 72.94% | 102.64% |
| 2018 | 9.19% | 7.17% |
| 2019 | 58.17% | 74.69% |
| 2020 | 67.71% | 77.76% |
| 2021 | 39.74% | 45.06% |
| 2022 | -2.65% | -3.81% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-18 | 2008-09-18 | -35.36 | 62 |
| 2011-11-09 | 2012-01-27 | -33.81 | 79 |
| 2020-03-10 | 2020-04-06 | -26.71 | 27 |
| 2004-06-29 | 2004-10-21 | -23.46 | 114 |
| 2013-05-01 | 2013-08-01 | -23.41 | 92 |
| 2010-01-13 | 2010-03-01 | -21.72 | 47 |
| 2015-08-18 | 2016-03-30 | -20.16 | 225 |
| 2020-07-27 | 2021-01-04 | -19.06 | 161 |
| 2004-04-27 | 2004-05-27 | -18.99 | 30 |
| 2018-01-25 | 2018-08-27 | -18.90 | 214 |
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