| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 70.0% |
| Cumulative Return | 3,456.28% |
| CAGR﹪ | 17.43% |
| Sharpe | 0.91 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.85 |
| Sortino | 1.38 |
| Smart Sortino | 1.29 |
| Sortino/√2 | 0.97 |
| Smart Sortino/√2 | 0.91 |
| Omega | 1.24 |
| Max Drawdown | -27.72% |
| Longest DD Days | 1103 |
| Volatility (ann.) | 19.79% |
| Calmar | 0.63 |
| Skew | 0.33 |
| Kurtosis | 10.76 |
| Expected Daily | 0.06% |
| Expected Monthly | 1.34% |
| Expected Yearly | 16.04% |
| Kelly Criterion | 10.69% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.98% |
| Expected Shortfall (cVaR) | -1.98% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.24 |
| Gain/Pain (1M) | 1.42 |
| Payoff Ratio | 1.04 |
| Profit Factor | 1.24 |
| Common Sense Ratio | 1.42 |
| CPC Index | 0.71 |
| Tail Ratio | 1.14 |
| Outlier Win Ratio | 8.1 |
| Outlier Loss Ratio | 4.07 |
| MTD | 0.0% |
| 3M | -0.66% |
| 6M | -0.66% |
| YTD | 0.0% |
| 1Y | -14.01% |
| 3Y (ann.) | 9.75% |
| 5Y (ann.) | 5.74% |
| 10Y (ann.) | 12.6% |
| All-time (ann.) | 17.43% |
| Best Day | 12.22% |
| Worst Day | -8.9% |
| Best Month | 17.45% |
| Worst Month | -16.75% |
| Best Year | 64.19% |
| Worst Year | -15.65% |
| Avg. Drawdown | -2.28% |
| Avg. Drawdown Days | 23 |
| Recovery Factor | 124.7 |
| Ulcer Index | 0.1 |
| Serenity Index | 24.8 |
| Avg. Up Month | 4.01% |
| Avg. Down Month | -3.76% |
| Win Days | 54.4% |
| Win Month | 68.83% |
| Win Quarter | 77.27% |
| Win Year | 86.96% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 2.83% | 2.68% |
| 2001 | -14.51% | -15.65% |
| 2002 | 14.8% | 11.87% |
| 2003 | 46.52% | 54.82% |
| 2004 | 28.49% | 31.43% |
| 2005 | 9.08% | 8.73% |
| 2006 | 23.76% | 25.83% |
| 2007 | 23.98% | 25.09% |
| 2008 | 6.59% | 4.31% |
| 2009 | 56.29% | 64.19% |
| 2010 | 18.56% | 17.52% |
| 2011 | 4.45% | 0.71% |
| 2012 | 40.62% | 47.82% |
| 2013 | 42.1% | 50.04% |
| 2014 | 22.35% | 23.64% |
| 2015 | 10.27% | 9.01% |
| 2016 | 16.56% | 16.48% |
| 2017 | 16.81% | 17.92% |
| 2018 | -9.47% | -11.02% |
| 2019 | 3.98% | 2.88% |
| 2020 | 7.57% | 5.53% |
| 2021 | 43.64% | 52.44% |
| 2022 | -14.69% | -14.01% |
| 2023 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2001-02-13 | 2003-01-06 | -27.72 | 692 |
| 2009-03-31 | 2009-08-04 | -25.91 | 126 |
| 2018-02-01 | 2021-02-08 | -25.52 | 1103 |
| 2011-07-25 | 2012-04-26 | -21.62 | 276 |
| 2008-06-02 | 2009-01-14 | -18.83 | 226 |
| 2010-04-26 | 2010-12-03 | -18.36 | 221 |
| 2022-01-13 | 2023-01-06 | -17.76 | 358 |
| 2015-10-22 | 2016-11-09 | -14.59 | 384 |
| 2007-10-02 | 2008-03-11 | -11.51 | 161 |
| 2009-10-23 | 2009-11-09 | -9.69 | 17 |
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