| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 214,075.88% |
| CAGR﹪ | 19.89% |
| Sharpe | 1.04 |
| Smart Sharpe | 1.01 |
| Sortino | 1.51 |
| Smart Sortino | 1.47 |
| Sortino/√2 | 1.07 |
| Smart Sortino/√2 | 1.04 |
| Omega | 1.21 |
| Max Drawdown | -49.81% |
| Longest DD Days | 1376 |
| Volatility (ann.) | 19.18% |
| Calmar | 0.4 |
| Skew | -0.48 |
| Kurtosis | 13.17 |
| Expected Daily % | 0.07% |
| Expected Monthly % | 1.52% |
| Expected Yearly % | 19.53% |
| Kelly Criterion | 9.3% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.91% |
| Expected Shortfall (cVaR) | -1.91% |
| Gain/Pain Ratio | 0.21 |
| Gain/Pain (1M) | 1.5 |
| Payoff Ratio | 1.01 |
| Profit Factor | 1.21 |
| Common Sense Ratio | 1.25 |
| CPC Index | 0.66 |
| Tail Ratio | 1.04 |
| Outlier Win Ratio | 3.68 |
| Outlier Loss Ratio | 3.67 |
| MTD | 2.72% |
| 3M | 2.36% |
| 6M | 8.65% |
| YTD | 1.76% |
| 1Y | 8.71% |
| 3Y (ann.) | 16.63% |
| 5Y (ann.) | 18.15% |
| 10Y (ann.) | 17.84% |
| All-time (ann.) | 19.89% |
| Best Day | 10.42% |
| Worst Day | -19.9% |
| Best Month | 23.53% |
| Worst Month | -26.22% |
| Best Year | 106.07% |
| Worst Year | -28.99% |
| Avg. Drawdown | -2.5% |
| Avg. Drawdown Days | 24 |
| Recovery Factor | 4298.25 |
| Ulcer Index | 0.11 |
| Serenity Index | 1031.75 |
| Avg. Up Month | 4.17% |
| Avg. Down Month | -3.44% |
| Win Days % | 54.44% |
| Win Month % | 66.73% |
| Win Quarter % | 74.71% |
| Win Year % | 88.37% |
| Year | Return | Cumulative |
|---|---|---|
| 1980 | 22.47% | 23.75% |
| 1981 | 0.26% | -0.63% |
| 1982 | 62.72% | 82.79% |
| 1983 | 32.26% | 36.06% |
| 1984 | -8.5% | -9.1% |
| 1985 | 41.9% | 50.83% |
| 1986 | 25.06% | 26.05% |
| 1987 | 28.76% | 24.79% |
| 1988 | 4.54% | 3.06% |
| 1989 | 34.95% | 40.04% |
| 1990 | 26.99% | 27.56% |
| 1991 | 74.79% | 106.07% |
| 1992 | 10.91% | 10.12% |
| 1993 | 14.6% | 14.6% |
| 1994 | 8.61% | 7.9% |
| 1995 | 37.83% | 44.73% |
| 1996 | 24.14% | 25.65% |
| 1997 | 33.99% | 37.57% |
| 1998 | 46.09% | 52.88% |
| 1999 | 29.98% | 31.59% |
| 2000 | 16.6% | 13.99% |
| 2001 | -14.22% | -14.92% |
| 2002 | -21.17% | -20.53% |
| 2003 | 34.79% | 38.61% |
| 2004 | 18.92% | 19.93% |
| 2005 | 12.44% | 12.27% |
| 2006 | 16.01% | 16.48% |
| 2007 | 19.32% | 19.87% |
| 2008 | -28.73% | -28.99% |
| 2009 | 17.47% | 14.81% |
| 2010 | 20.62% | 20.53% |
| 2011 | 12.7% | 11.37% |
| 2012 | 20.36% | 21.69% |
| 2013 | 30.82% | 35.04% |
| 2014 | 17.69% | 18.43% |
| 2015 | 9.74% | 8.66% |
| 2016 | 12.13% | 12.03% |
| 2017 | 29.13% | 33.32% |
| 2018 | 6.9% | 5.21% |
| 2019 | 19.79% | 21.03% |
| 2020 | 22.56% | 18.34% |
| 2021 | 17.06% | 17.33% |
| 2022 | 2.01% | 1.76% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-26 | 2011-02-01 | -49.81 | 1133 |
| 1987-10-06 | 1989-09-21 | -38.27 | 716 |
| 2000-12-29 | 2004-10-05 | -37.20 | 1376 |
| 2020-02-20 | 2020-08-25 | -28.90 | 187 |
| 1990-07-17 | 1991-01-25 | -26.02 | 192 |
| 1986-07-03 | 1987-01-12 | -22.51 | 193 |
| 1983-07-27 | 1985-02-13 | -22.29 | 567 |
| 1998-07-20 | 1998-11-23 | -20.36 | 126 |
| 1981-06-16 | 1982-07-12 | -19.69 | 391 |
| 2000-03-24 | 2000-10-24 | -15.72 | 214 |
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