| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 305,923,768,980.87% |
| CAGR﹪ | 170.68% |
| Sharpe | 2.88 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.85 |
| Sortino | 5.18 |
| Smart Sortino | 5.13 |
| Sortino/√2 | 3.66 |
| Smart Sortino/√2 | 3.63 |
| Omega | 1.73 |
| Max Drawdown | -36.21% |
| Longest DD Days | 151 |
| Volatility (ann.) | 40.24% |
| Calmar | 4.71 |
| Skew | 1.19 |
| Kurtosis | 12.01 |
| Expected Daily | 0.43% |
| Expected Monthly | 8.63% |
| Expected Yearly | 158.47% |
| Kelly Criterion | 24.33% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -3.71% |
| Expected Shortfall (cVaR) | -3.71% |
| Max Consecutive Wins | 14 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.73 |
| Gain/Pain (1M) | 13.43 |
| Payoff Ratio | 1.28 |
| Profit Factor | 1.73 |
| Common Sense Ratio | 2.54 |
| CPC Index | 1.28 |
| Tail Ratio | 1.46 |
| Outlier Win Ratio | 4.27 |
| Outlier Loss Ratio | 3.98 |
| MTD | 9.7% |
| 3M | 6.23% |
| 6M | 53.9% |
| YTD | 74.65% |
| 1Y | 160.9% |
| 3Y (ann.) | 245.9% |
| 5Y (ann.) | 148.9% |
| 10Y (ann.) | 130.46% |
| All-time (ann.) | 170.68% |
| Best Day | 33.28% |
| Worst Day | -17.53% |
| Best Month | 46.59% |
| Worst Month | -12.26% |
| Best Year | 536.98% |
| Worst Year | 50.06% |
| Avg. Drawdown | -3.54% |
| Avg. Drawdown Days | 11 |
| Recovery Factor | 8449021069.11 |
| Ulcer Index | 0.06 |
| Serenity Index | 12130756900.19 |
| Avg. Up Month | 12.49% |
| Avg. Down Month | -3.68% |
| Win Days | 57.53% |
| Win Month | 79.17% |
| Win Quarter | 95.45% |
| Win Year | 100.0% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 52.27% | 65.32% |
| 2001 | 130.01% | 227.4% |
| 2002 | 98.36% | 145.69% |
| 2003 | 148.74% | 316.45% |
| 2004 | 94.64% | 135.38% |
| 2005 | 69.28% | 90.83% |
| 2006 | 115.21% | 197.09% |
| 2007 | 93.43% | 139.48% |
| 2008 | 173.24% | 348.28% |
| 2009 | 200.22% | 536.98% |
| 2010 | 110.76% | 179.73% |
| 2011 | 71.87% | 94.59% |
| 2012 | 127.22% | 239.33% |
| 2013 | 77.84% | 107.83% |
| 2014 | 73.56% | 100.06% |
| 2015 | 59.81% | 71.42% |
| 2016 | 97.63% | 153.36% |
| 2017 | 90.92% | 142.07% |
| 2018 | 46.17% | 50.06% |
| 2019 | 61.65% | 77.09% |
| 2020 | 189.58% | 493.01% |
| 2021 | 106.36% | 172.38% |
| 2022 | 60.97% | 74.65% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-17 | 2008-09-30 | -36.21 | 75 |
| 2008-11-05 | 2008-11-24 | -21.81 | 19 |
| 2007-07-23 | 2007-09-11 | -21.55 | 50 |
| 2019-01-04 | 2019-06-04 | -20.75 | 151 |
| 2001-01-03 | 2001-04-12 | -20.65 | 99 |
| 2002-11-14 | 2002-12-17 | -19.81 | 33 |
| 2022-03-09 | 2022-04-27 | -19.40 | 49 |
| 2015-10-08 | 2016-02-08 | -18.93 | 123 |
| 2004-04-08 | 2004-06-02 | -18.75 | 55 |
| 2018-03-15 | 2018-08-07 | -18.25 | 145 |
0 Comentarios