| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 77.0% |
| Cumulative Return | 21,774.02% |
| CAGR﹪ | 28.63% |
| Sharpe | 1.11 |
| Smart Sharpe | 1.08 |
| Sortino | 1.67 |
| Smart Sortino | 1.63 |
| Sortino/√2 | 1.18 |
| Smart Sortino/√2 | 1.15 |
| Omega | 1.27 |
| Max Drawdown | -39.48% |
| Longest DD Days | 798 |
| Volatility (ann.) | 25.86% |
| Calmar | 0.73 |
| Skew | 0.32 |
| Kurtosis | 13.09 |
| Expected Daily % | 0.1% |
| Expected Monthly % | 2.11% |
| Expected Yearly % | 26.4% |
| Kelly Criterion | 11.49% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.57% |
| Expected Shortfall (cVaR) | -2.57% |
| Gain/Pain Ratio | 0.27 |
| Gain/Pain (1M) | 1.56 |
| Payoff Ratio | 1.07 |
| Profit Factor | 1.27 |
| Common Sense Ratio | 1.46 |
| CPC Index | 0.74 |
| Tail Ratio | 1.15 |
| Outlier Win Ratio | 5.67 |
| Outlier Loss Ratio | 3.79 |
| MTD | 0.0% |
| 3M | -11.1% |
| 6M | 8.0% |
| YTD | -20.01% |
| 1Y | 8.0% |
| 3Y (ann.) | 22.47% |
| 5Y (ann.) | 19.39% |
| 10Y (ann.) | 23.44% |
| All-time (ann.) | 28.63% |
| Best Day | 18.42% |
| Worst Day | -14.67% |
| Best Month | 24.15% |
| Worst Month | -25.76% |
| Best Year | 100.45% |
| Worst Year | -20.01% |
| Avg. Drawdown | -3.57% |
| Avg. Drawdown Days | 26 |
| Recovery Factor | 551.55 |
| Ulcer Index | 0.11 |
| Serenity Index | 151.76 |
| Avg. Up Month | 6.31% |
| Avg. Down Month | -5.31% |
| Win Days % | 54.31% |
| Win Month % | 68.1% |
| Win Quarter % | 74.39% |
| Win Year % | 78.26% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 13.97% | 14.5% |
| 2001 | 64.57% | 85.21% |
| 2002 | 27.61% | 27.56% |
| 2003 | 31.44% | 33.01% |
| 2004 | 13.55% | 12.07% |
| 2005 | 0.56% | -1.61% |
| 2006 | 38.45% | 43.71% |
| 2007 | 34.85% | 36.54% |
| 2008 | 40.72% | 36.98% |
| 2009 | 28.12% | 27.09% |
| 2010 | 66.98% | 87.31% |
| 2011 | -4.45% | -7.66% |
| 2012 | 24.09% | 22.6% |
| 2013 | 72.2% | 100.45% |
| 2014 | -2.45% | -5.5% |
| 2015 | 22.49% | 20.81% |
| 2016 | 21.07% | 20.06% |
| 2017 | 46.49% | 57.05% |
| 2018 | -5.71% | -10.07% |
| 2019 | 52.17% | 62.37% |
| 2020 | 14.27% | 11.84% |
| 2021 | 31.08% | 35.01% |
| 2022 | -21.76% | -20.01% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-09-19 | 2016-11-25 | -39.48 | 798 |
| 2018-09-21 | 2019-11-27 | -37.42 | 432 |
| 2008-11-14 | 2008-11-28 | -34.56 | 14 |
| 2011-06-01 | 2012-04-26 | -31.40 | 330 |
| 2009-03-12 | 2010-02-02 | -23.99 | 327 |
| 2005-10-21 | 2006-09-13 | -21.66 | 327 |
| 2021-12-30 | 2022-03-09 | -21.05 | 69 |
| 2020-03-05 | 2020-08-06 | -19.69 | 154 |
| 2002-08-06 | 2003-01-06 | -17.69 | 153 |
| 2004-10-19 | 2005-09-20 | -17.65 | 336 |
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