| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 99.0% |
| Cumulative Return | 43,900,257,450,501.38% |
| CAGR﹪ | 243.3% |
| Sharpe | 2.5 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.46 |
| Sortino | 4.98 |
| Smart Sortino | 4.9 |
| Sortino/√2 | 3.52 |
| Smart Sortino/√2 | 3.47 |
| Omega | 1.69 |
| Max Drawdown | -62.5% |
| Longest DD Days | 446 |
| Volatility (ann.) | 59.48% |
| Calmar | 3.89 |
| Skew | 3.92 |
| Kurtosis | 60.46 |
| Expected Daily | 0.52% |
| Expected Monthly | 10.77% |
| Expected Yearly | 220.77% |
| Kelly Criterion | 22.65% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -5.57% |
| Expected Shortfall (cVaR) | -5.57% |
| Max Consecutive Wins | 13 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.69 |
| Gain/Pain (1M) | 9.08 |
| Payoff Ratio | 1.34 |
| Profit Factor | 1.69 |
| Common Sense Ratio | 2.43 |
| CPC Index | 1.26 |
| Tail Ratio | 1.44 |
| Outlier Win Ratio | 4.72 |
| Outlier Loss Ratio | 3.76 |
| MTD | -1.42% |
| 3M | 9.85% |
| 6M | 47.98% |
| YTD | 55.81% |
| 1Y | 82.27% |
| 3Y (ann.) | 148.66% |
| 5Y (ann.) | 119.78% |
| 10Y (ann.) | 143.35% |
| All-time (ann.) | 243.3% |
| Best Day | 75.32% |
| Worst Day | -21.74% |
| Best Month | 216.52% |
| Worst Month | -35.97% |
| Best Year | 1882.17% |
| Worst Year | 0.7% |
| Avg. Drawdown | -5.22% |
| Avg. Drawdown Days | 14 |
| Recovery Factor | 702429439120.26 |
| Ulcer Index | 0.12 |
| Serenity Index | 611167999796.61 |
| Avg. Up Month | 17.74% |
| Avg. Down Month | -5.95% |
| Win Days | 55.7% |
| Win Month | 77.1% |
| Win Quarter | 92.05% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 1.3% | 0.7% |
| 2001 | 111.36% | 160.88% |
| 2002 | 123.3% | 208.23% |
| 2003 | 234.95% | 826.86% |
| 2004 | 93.78% | 134.44% |
| 2005 | 119.4% | 206.36% |
| 2006 | 149.3% | 299.0% |
| 2007 | 184.97% | 460.55% |
| 2008 | 345.4% | 1882.17% |
| 2009 | 297.9% | 1520.9% |
| 2010 | 112.68% | 164.97% |
| 2011 | 123.39% | 188.54% |
| 2012 | 147.46% | 296.71% |
| 2013 | 109.54% | 171.83% |
| 2014 | 117.68% | 197.47% |
| 2015 | 142.2% | 253.62% |
| 2016 | 74.99% | 96.5% |
| 2017 | 82.09% | 118.8% |
| 2018 | 46.27% | 46.01% |
| 2019 | 72.52% | 92.41% |
| 2020 | 226.43% | 354.21% |
| 2021 | 48.79% | 52.88% |
| 2022 | 55.31% | 55.81% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-04-29 | 2021-07-19 | -62.50 | 446 |
| 2020-04-21 | 2020-04-27 | -29.71 | 6 |
| 2020-03-31 | 2020-04-09 | -27.83 | 9 |
| 2008-12-26 | 2009-01-09 | -26.42 | 14 |
| 2010-01-07 | 2010-02-19 | -26.34 | 43 |
| 2011-11-09 | 2012-01-19 | -26.05 | 71 |
| 2019-09-17 | 2019-12-24 | -24.75 | 98 |
| 2021-11-22 | 2022-03-14 | -24.01 | 112 |
| 2018-10-01 | 2018-12-18 | -23.68 | 78 |
| 2008-01-03 | 2008-04-16 | -23.58 | 104 |
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