Metric | Strategy |
---|---|
Risk-Free Rate | 0.0% |
Time in Market | 76.0% |
Cumulative Return | 12,099,112.84% |
CAGR﹪ | 69.28% |
Sharpe | 1.39 |
Prob. Sharpe Ratio | 100.0% |
Smart Sharpe | 1.35 |
Sortino | 2.78 |
Smart Sortino | 2.7 |
Sortino/√2 | 1.97 |
Smart Sortino/√2 | 1.91 |
Omega | 1.46 |
Max Drawdown | -64.43% |
Longest DD Days | 797 |
Volatility (ann.) | 44.34% |
Calmar | 1.08 |
Skew | 8.2 |
Kurtosis | 210.02 |
Expected Daily | 0.21% |
Expected Monthly | 4.46% |
Expected Yearly | 62.85% |
Kelly Criterion | 16.68% |
Risk of Ruin | 0.0% |
Daily Value-at-Risk | -4.35% |
Expected Shortfall (cVaR) | -4.35% |
Max Consecutive Wins | 10 |
Max Consecutive Losses | 9 |
Gain/Pain Ratio | 0.46 |
Gain/Pain (1M) | 3.89 |
Payoff Ratio | 1.3 |
Profit Factor | 1.46 |
Common Sense Ratio | 2.01 |
CPC Index | 1.0 |
Tail Ratio | 1.38 |
Outlier Win Ratio | 7.17 |
Outlier Loss Ratio | 3.82 |
MTD | -8.98% |
3M | -15.23% |
6M | -9.2% |
YTD | -8.98% |
1Y | 49.26% |
3Y (ann.) | 64.16% |
5Y (ann.) | 41.37% |
10Y (ann.) | 49.46% |
All-time (ann.) | 69.28% |
Best Day | 77.29% |
Worst Day | -19.94% |
Best Month | 163.51% |
Worst Month | -41.6% |
Best Year | 879.73% |
Worst Year | -8.98% |
Avg. Drawdown | -4.49% |
Avg. Drawdown Days | 22 |
Recovery Factor | 187787.89 |
Ulcer Index | 0.15 |
Serenity Index | 83324.58 |
Avg. Up Month | 10.25% |
Avg. Down Month | -4.48% |
Win Days | 52.91% |
Win Month | 68.25% |
Win Quarter | 79.78% |
Win Year | 95.83% |
Year | Return | Cumulative |
---|---|---|
2000 | 1.03% | 0.49% |
2001 | 47.3% | 48.89% |
2002 | 35.91% | 40.73% |
2003 | 34.46% | 38.71% |
2004 | 32.22% | 37.01% |
2005 | 54.03% | 66.27% |
2006 | 50.52% | 60.12% |
2007 | 80.01% | 115.16% |
2008 | 257.1% | 879.73% |
2009 | 111.48% | 170.21% |
2010 | 19.32% | 16.7% |
2011 | 81.01% | 111.53% |
2012 | 39.89% | 44.05% |
2013 | 28.25% | 30.6% |
2014 | 89.33% | 134.31% |
2015 | 99.19% | 139.89% |
2016 | 25.43% | 24.59% |
2017 | 9.15% | 8.19% |
2018 | 37.05% | 36.92% |
2019 | 14.22% | 9.96% |
2020 | 152.31% | 130.09% |
2021 | 9.04% | 4.88% |
2022 | 67.92% | 71.38% |
2023 | -9.1% | -8.98% |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-04-29 | 2022-07-05 | -64.43 | 797 |
2020-04-22 | 2020-04-27 | -33.93 | 5 |
2022-08-17 | 2023-01-06 | -29.67 | 142 |
2008-12-26 | 2009-01-12 | -28.70 | 17 |
2020-03-31 | 2020-04-09 | -26.60 | 9 |
2015-08-25 | 2016-12-01 | -26.46 | 464 |
2009-01-16 | 2009-04-01 | -25.37 | 75 |
2008-09-17 | 2008-09-29 | -25.25 | 12 |
2018-12-26 | 2019-09-09 | -21.27 | 257 |
2019-09-17 | 2020-03-17 | -21.26 | 182 |
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