| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 129,371,410,050.08% |
| CAGR﹪ | 156.94% |
| Sharpe | 2.66 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 2.63 |
| Sortino | 4.72 |
| Smart Sortino | 4.66 |
| Sortino/√2 | 3.34 |
| Smart Sortino/√2 | 3.29 |
| Omega | 1.66 |
| Max Drawdown | -35.51% |
| Longest DD Days | 280 |
| Volatility (ann.) | 41.02% |
| Calmar | 4.42 |
| Skew | 1.13 |
| Kurtosis | 11.17 |
| Expected Daily | 0.4% |
| Expected Monthly | 8.14% |
| Expected Yearly | 139.7% |
| Kelly Criterion | 22.59% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -3.82% |
| Expected Shortfall (cVaR) | -3.82% |
| Max Consecutive Wins | 14 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.66 |
| Gain/Pain (1M) | 9.41 |
| Payoff Ratio | 1.25 |
| Profit Factor | 1.66 |
| Common Sense Ratio | 2.38 |
| CPC Index | 1.18 |
| Tail Ratio | 1.44 |
| Outlier Win Ratio | 4.25 |
| Outlier Loss Ratio | 3.84 |
| MTD | -6.11% |
| 3M | -0.2% |
| 6M | 25.44% |
| YTD | -6.11% |
| 1Y | 109.14% |
| 3Y (ann.) | 181.5% |
| 5Y (ann.) | 117.8% |
| 10Y (ann.) | 110.87% |
| All-time (ann.) | 156.94% |
| Best Day | 33.55% |
| Worst Day | -17.53% |
| Best Month | 48.4% |
| Worst Month | -13.8% |
| Best Year | 527.77% |
| Worst Year | -6.11% |
| Avg. Drawdown | -3.77% |
| Avg. Drawdown Days | 12 |
| Recovery Factor | 3643366300.49 |
| Ulcer Index | 0.07 |
| Serenity Index | 4077777106.79 |
| Avg. Up Month | 12.58% |
| Avg. Down Month | -4.32% |
| Win Days | 56.94% |
| Win Month | 76.87% |
| Win Quarter | 88.89% |
| Win Year | 95.83% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 51.9% | 64.08% |
| 2001 | 118.27% | 190.46% |
| 2002 | 96.21% | 135.36% |
| 2003 | 192.1% | 527.77% |
| 2004 | 90.89% | 126.08% |
| 2005 | 59.31% | 72.44% |
| 2006 | 121.61% | 216.02% |
| 2007 | 97.15% | 147.83% |
| 2008 | 162.52% | 300.96% |
| 2009 | 192.45% | 484.81% |
| 2010 | 100.28% | 147.78% |
| 2011 | 63.18% | 77.21% |
| 2012 | 123.58% | 227.37% |
| 2013 | 70.66% | 94.16% |
| 2014 | 68.02% | 89.99% |
| 2015 | 63.83% | 78.6% |
| 2016 | 89.39% | 133.69% |
| 2017 | 86.4% | 131.56% |
| 2018 | 30.72% | 29.48% |
| 2019 | 57.38% | 70.76% |
| 2020 | 168.21% | 377.12% |
| 2021 | 93.51% | 140.18% |
| 2022 | 82.15% | 110.49% |
| 2023 | -5.75% | -6.11% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-17 | 2008-09-23 | -35.51 | 68 |
| 2002-10-08 | 2003-01-03 | -25.36 | 87 |
| 2008-11-05 | 2008-12-02 | -24.19 | 27 |
| 2018-03-15 | 2018-12-20 | -22.90 | 280 |
| 2004-04-08 | 2004-06-28 | -22.77 | 81 |
| 2001-01-03 | 2001-04-20 | -21.44 | 107 |
| 2019-01-04 | 2019-06-04 | -20.86 | 151 |
| 2010-04-16 | 2010-07-08 | -19.65 | 83 |
| 2022-03-09 | 2022-04-27 | -19.29 | 49 |
| 2015-10-08 | 2016-02-17 | -19.09 | 132 |
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