| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 83.0% |
| Cumulative Return | 15,274.41% |
| CAGR﹪ | 25.42% |
| Sharpe | 1.06 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.98 |
| Sortino | 1.67 |
| Smart Sortino | 1.55 |
| Sortino/√2 | 1.18 |
| Smart Sortino/√2 | 1.09 |
| Omega | 1.27 |
| Max Drawdown | -33.36% |
| Longest DD Days | 699 |
| Volatility (ann.) | 24.13% |
| Calmar | 0.76 |
| Skew | 1.59 |
| Kurtosis | 33.31 |
| Expected Daily | 0.09% |
| Expected Monthly | 1.9% |
| Expected Yearly | 23.34% |
| Kelly Criterion | 11.65% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.4% |
| Expected Shortfall (cVaR) | -2.4% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.27 |
| Gain/Pain (1M) | 1.78 |
| Payoff Ratio | 1.07 |
| Profit Factor | 1.27 |
| Common Sense Ratio | 1.49 |
| CPC Index | 0.74 |
| Tail Ratio | 1.17 |
| Outlier Win Ratio | 6.31 |
| Outlier Loss Ratio | 4.4 |
| MTD | 0.0% |
| 3M | -7.33% |
| 6M | 1.91% |
| YTD | 0.0% |
| 1Y | -26.83% |
| 3Y (ann.) | 12.88% |
| 5Y (ann.) | 14.4% |
| 10Y (ann.) | 20.57% |
| All-time (ann.) | 25.42% |
| Best Day | 29.28% |
| Worst Day | -11.59% |
| Best Month | 32.4% |
| Worst Month | -15.85% |
| Best Year | 104.44% |
| Worst Year | -29.0% |
| Avg. Drawdown | -2.63% |
| Avg. Drawdown Days | 21 |
| Recovery Factor | 457.9 |
| Ulcer Index | 0.1 |
| Serenity Index | 129.27 |
| Avg. Up Month | 5.09% |
| Avg. Down Month | -3.74% |
| Win Days | 54.43% |
| Win Month | 66.41% |
| Win Quarter | 76.4% |
| Win Year | 86.96% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 8.65% | 8.18% |
| 2001 | 30.46% | 29.29% |
| 2002 | 42.66% | 44.62% |
| 2003 | 24.06% | 26.12% |
| 2004 | 15.33% | 15.47% |
| 2005 | 11.27% | 11.07% |
| 2006 | 28.51% | 31.72% |
| 2007 | 27.61% | 29.43% |
| 2008 | 41.67% | 34.49% |
| 2009 | 76.92% | 104.44% |
| 2010 | -7.92% | -10.08% |
| 2011 | 6.55% | 2.52% |
| 2012 | 46.92% | 56.03% |
| 2013 | 46.41% | 57.18% |
| 2014 | 41.37% | 49.34% |
| 2015 | 18.59% | 18.36% |
| 2016 | 22.8% | 24.15% |
| 2017 | 8.51% | 8.27% |
| 2018 | -8.24% | -10.54% |
| 2019 | 34.51% | 38.2% |
| 2020 | 47.67% | 53.2% |
| 2021 | 34.08% | 38.81% |
| 2022 | -30.97% | -29.0% |
| 2023 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-04-16 | 2012-03-15 | -33.36 | 699 |
| 2022-01-04 | 2023-01-06 | -32.93 | 367 |
| 2018-10-04 | 2019-06-20 | -23.74 | 259 |
| 2007-10-10 | 2008-09-17 | -22.26 | 343 |
| 2002-10-10 | 2003-06-11 | -20.60 | 244 |
| 2001-03-23 | 2001-07-06 | -17.31 | 105 |
| 2008-11-05 | 2009-02-10 | -17.23 | 97 |
| 2001-10-19 | 2002-07-16 | -16.82 | 270 |
| 2020-09-03 | 2020-12-04 | -16.32 | 92 |
| 2001-01-03 | 2001-02-21 | -16.31 | 49 |
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