| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 88.0% |
| Cumulative Return | 1,034,083.78% |
| CAGR﹪ | 51.56% |
| Sharpe | 1.72 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.59 |
| Sortino | 2.88 |
| Smart Sortino | 2.67 |
| Sortino/√2 | 2.04 |
| Smart Sortino/√2 | 1.89 |
| Omega | 1.46 |
| Max Drawdown | -26.08% |
| Longest DD Days | 400 |
| Volatility (ann.) | 26.26% |
| Calmar | 1.98 |
| Skew | 1.77 |
| Kurtosis | 28.35 |
| Expected Daily | 0.17% |
| Expected Monthly | 3.51% |
| Expected Yearly | 46.99% |
| Kelly Criterion | 17.43% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.54% |
| Expected Shortfall (cVaR) | -2.54% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.46 |
| Gain/Pain (1M) | 3.72 |
| Payoff Ratio | 1.18 |
| Profit Factor | 1.46 |
| Common Sense Ratio | 1.88 |
| CPC Index | 0.96 |
| Tail Ratio | 1.29 |
| Outlier Win Ratio | 5.85 |
| Outlier Loss Ratio | 4.58 |
| MTD | -3.18% |
| 3M | -5.68% |
| 6M | 13.69% |
| YTD | -3.18% |
| 1Y | 67.84% |
| 3Y (ann.) | 97.22% |
| 5Y (ann.) | 65.06% |
| 10Y (ann.) | 58.45% |
| All-time (ann.) | 51.56% |
| Best Day | 29.28% |
| Worst Day | -11.59% |
| Best Month | 44.49% |
| Worst Month | -16.26% |
| Best Year | 208.93% |
| Worst Year | -3.18% |
| Avg. Drawdown | -2.57% |
| Avg. Drawdown Days | 15 |
| Recovery Factor | 39652.4 |
| Ulcer Index | 0.06 |
| Serenity Index | 27384.37 |
| Avg. Up Month | 6.55% |
| Avg. Down Month | -4.12% |
| Win Days | 55.23% |
| Win Month | 74.24% |
| Win Quarter | 83.33% |
| Win Year | 95.83% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 12.99% | 13.1% |
| 2001 | 58.31% | 72.92% |
| 2002 | 16.43% | 14.04% |
| 2003 | 50.44% | 60.78% |
| 2004 | 6.09% | 4.63% |
| 2005 | 23.51% | 25.24% |
| 2006 | 32.35% | 36.09% |
| 2007 | 43.34% | 48.95% |
| 2008 | 86.86% | 112.51% |
| 2009 | 67.64% | 88.33% |
| 2010 | 16.87% | 13.52% |
| 2011 | 24.14% | 21.29% |
| 2012 | 63.71% | 83.95% |
| 2013 | 65.4% | 89.53% |
| 2014 | 39.42% | 45.28% |
| 2015 | 35.37% | 38.13% |
| 2016 | 48.39% | 58.86% |
| 2017 | 29.36% | 33.26% |
| 2018 | 31.85% | 33.38% |
| 2019 | 23.55% | 24.16% |
| 2020 | 121.03% | 208.93% |
| 2021 | 46.2% | 54.0% |
| 2022 | 60.13% | 74.41% |
| 2023 | -3.07% | -3.18% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-07-28 | 2011-11-28 | -26.08 | 123 |
| 2002-02-20 | 2002-09-19 | -20.15 | 211 |
| 2018-10-04 | 2019-05-03 | -18.43 | 211 |
| 2010-01-20 | 2010-04-01 | -18.40 | 71 |
| 2010-04-26 | 2011-05-31 | -17.64 | 400 |
| 2002-10-10 | 2003-03-10 | -16.44 | 151 |
| 2022-10-13 | 2023-01-06 | -16.39 | 85 |
| 2008-03-12 | 2008-09-15 | -16.39 | 187 |
| 2020-09-03 | 2020-12-17 | -15.81 | 105 |
| 2007-07-11 | 2007-09-18 | -15.56 | 69 |
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