| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 68.0% |
| Cumulative Return | 26,246.00% |
| CAGR﹪ | 28.49% |
| Sharpe | 1.26 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.2 |
| Sortino | 2.01 |
| Smart Sortino | 1.92 |
| Sortino/√2 | 1.42 |
| Smart Sortino/√2 | 1.36 |
| Omega | 1.35 |
| Max Drawdown | -40.69% |
| Longest DD Days | 395 |
| Volatility (ann.) | 21.78% |
| Calmar | 0.7 |
| Skew | 0.67 |
| Kurtosis | 9.64 |
| Expected Daily | 0.1% |
| Expected Monthly | 2.1% |
| Expected Yearly | 26.14% |
| Kelly Criterion | 14.26% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.15% |
| Expected Shortfall (cVaR) | -2.15% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.35 |
| Gain/Pain (1M) | 2.29 |
| Payoff Ratio | 1.11 |
| Profit Factor | 1.35 |
| Common Sense Ratio | 1.66 |
| CPC Index | 0.82 |
| Tail Ratio | 1.23 |
| Outlier Win Ratio | 7.83 |
| Outlier Loss Ratio | 3.77 |
| MTD | 2.5% |
| 3M | 0.63% |
| 6M | -3.65% |
| YTD | 2.5% |
| 1Y | -33.11% |
| 3Y (ann.) | 10.64% |
| 5Y (ann.) | 17.18% |
| 10Y (ann.) | 17.62% |
| All-time (ann.) | 28.49% |
| Best Day | 12.0% |
| Worst Day | -9.27% |
| Best Month | 19.95% |
| Worst Month | -16.23% |
| Best Year | 83.45% |
| Worst Year | -34.74% |
| Avg. Drawdown | -2.65% |
| Avg. Drawdown Days | 18 |
| Recovery Factor | 644.98 |
| Ulcer Index | 0.08 |
| Serenity Index | 325.03 |
| Avg. Up Month | 4.6% |
| Avg. Down Month | -3.81% |
| Win Days | 54.86% |
| Win Month | 72.52% |
| Win Quarter | 78.89% |
| Win Year | 95.83% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 21.22% | 22.33% |
| 2001 | 28.91% | 29.57% |
| 2002 | 26.99% | 24.9% |
| 2003 | 63.46% | 83.45% |
| 2004 | 17.05% | 17.03% |
| 2005 | 8.38% | 7.85% |
| 2006 | 34.42% | 40.09% |
| 2007 | 30.8% | 33.18% |
| 2008 | 43.41% | 48.64% |
| 2009 | 53.44% | 62.91% |
| 2010 | 40.07% | 44.41% |
| 2011 | 29.04% | 29.22% |
| 2012 | 24.69% | 25.47% |
| 2013 | 37.49% | 43.07% |
| 2014 | 14.1% | 13.91% |
| 2015 | 7.77% | 6.05% |
| 2016 | 24.98% | 26.96% |
| 2017 | 11.97% | 12.4% |
| 2018 | 12.29% | 9.95% |
| 2019 | 35.36% | 40.28% |
| 2020 | 42.48% | 49.1% |
| 2021 | 37.19% | 43.23% |
| 2022 | -38.13% | -34.74% |
| 2023 | 2.56% | 2.5% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-13 | 2023-01-06 | -40.69 | 358 |
| 2001-08-27 | 2002-09-26 | -24.09 | 395 |
| 2008-06-02 | 2008-11-26 | -19.34 | 177 |
| 2009-03-17 | 2009-07-15 | -18.84 | 120 |
| 2018-10-04 | 2019-02-19 | -18.16 | 138 |
| 2010-05-04 | 2010-07-07 | -16.48 | 64 |
| 2014-09-19 | 2015-01-08 | -15.18 | 111 |
| 2015-08-11 | 2016-01-04 | -14.78 | 146 |
| 2018-03-12 | 2018-07-10 | -14.72 | 120 |
| 2007-11-01 | 2008-01-23 | -14.64 | 83 |
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