| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 65.0% |
| Cumulative Return | 48,015.28% |
| CAGR﹪ | 32.02% |
| Sharpe | 0.99 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.91 |
| Sortino | 1.61 |
| Smart Sortino | 1.47 |
| Sortino/√2 | 1.14 |
| Smart Sortino/√2 | 1.04 |
| Omega | 1.3 |
| Max Drawdown | -41.76% |
| Longest DD Days | 1286 |
| Volatility (ann.) | 33.59% |
| Calmar | 0.77 |
| Skew | 1.84 |
| Kurtosis | 28.74 |
| Expected Daily | 0.11% |
| Expected Monthly | 2.33% |
| Expected Yearly | 29.35% |
| Kelly Criterion | 12.5% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -3.35% |
| Expected Shortfall (cVaR) | -3.35% |
| Max Consecutive Wins | 8 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.3 |
| Gain/Pain (1M) | 2.11 |
| Payoff Ratio | 1.1 |
| Profit Factor | 1.3 |
| Common Sense Ratio | 1.55 |
| CPC Index | 0.78 |
| Tail Ratio | 1.19 |
| Outlier Win Ratio | 8.57 |
| Outlier Loss Ratio | 4.24 |
| MTD | 1.15% |
| 3M | 12.61% |
| 6M | 22.25% |
| YTD | 1.15% |
| 1Y | -16.04% |
| 3Y (ann.) | 9.6% |
| 5Y (ann.) | 22.67% |
| 10Y (ann.) | 27.55% |
| All-time (ann.) | 32.02% |
| Best Day | 33.46% |
| Worst Day | -15.61% |
| Best Month | 76.86% |
| Worst Month | -21.66% |
| Best Year | 240.54% |
| Worst Year | -19.72% |
| Avg. Drawdown | -3.88% |
| Avg. Drawdown Days | 27 |
| Recovery Factor | 1149.73 |
| Ulcer Index | 0.1 |
| Serenity Index | 498.68 |
| Avg. Up Month | 7.27% |
| Avg. Down Month | -5.0% |
| Win Days | 54.14% |
| Win Month | 67.11% |
| Win Quarter | 77.38% |
| Win Year | 79.17% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -11.67% | -11.84% |
| 2001 | 131.62% | 240.54% |
| 2002 | 3.51% | -7.55% |
| 2003 | 17.55% | 16.31% |
| 2004 | -5.69% | -5.71% |
| 2005 | 9.37% | 8.61% |
| 2006 | 10.62% | 10.92% |
| 2007 | 20.17% | 20.67% |
| 2008 | 126.03% | 149.65% |
| 2009 | 99.92% | 137.72% |
| 2010 | 20.99% | 20.65% |
| 2011 | -7.56% | -12.89% |
| 2012 | 39.29% | 44.77% |
| 2013 | 51.82% | 65.06% |
| 2014 | 14.95% | 14.56% |
| 2015 | 7.55% | 5.34% |
| 2016 | 43.77% | 49.95% |
| 2017 | 30.15% | 34.22% |
| 2018 | 15.28% | 12.58% |
| 2019 | 64.17% | 83.49% |
| 2020 | 61.18% | 69.65% |
| 2021 | 5.62% | 5.55% |
| 2022 | -9.42% | -19.72% |
| 2023 | 1.2% | 1.15% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-11-05 | 2009-03-02 | -41.76 | 117 |
| 2022-01-04 | 2023-01-06 | -38.25 | 367 |
| 2002-10-10 | 2006-04-18 | -31.26 | 1286 |
| 2011-05-11 | 2012-04-12 | -30.67 | 337 |
| 2008-10-21 | 2008-10-31 | -29.51 | 10 |
| 2002-07-11 | 2002-10-09 | -28.28 | 90 |
| 2010-05-04 | 2010-12-03 | -24.24 | 213 |
| 2018-09-21 | 2019-01-18 | -23.85 | 119 |
| 2007-11-01 | 2008-07-17 | -23.48 | 259 |
| 2020-03-05 | 2020-03-26 | -18.12 | 21 |
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