| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 53.0% |
| Cumulative Return | 27,863.49% |
| CAGR﹪ | 28.84% |
| Sharpe | 1.19 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.15 |
| Sortino | 2.13 |
| Smart Sortino | 2.06 |
| Sortino/√2 | 1.51 |
| Smart Sortino/√2 | 1.46 |
| Omega | 1.39 |
| Max Drawdown | -28.7% |
| Longest DD Days | 602 |
| Volatility (ann.) | 23.65% |
| Calmar | 1.0 |
| Skew | 3.36 |
| Kurtosis | 55.8 |
| Expected Daily | 0.1% |
| Expected Monthly | 2.12% |
| Expected Yearly | 26.46% |
| Kelly Criterion | 14.92% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.34% |
| Expected Shortfall (cVaR) | -2.34% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.39 |
| Gain/Pain (1M) | 2.11 |
| Payoff Ratio | 1.22 |
| Profit Factor | 1.39 |
| Common Sense Ratio | 1.76 |
| CPC Index | 0.9 |
| Tail Ratio | 1.26 |
| Outlier Win Ratio | 10.35 |
| Outlier Loss Ratio | 3.13 |
| MTD | 0.0% |
| 3M | -15.06% |
| 6M | -14.87% |
| YTD | 0.0% |
| 1Y | -3.6% |
| 3Y (ann.) | 17.44% |
| 5Y (ann.) | 8.86% |
| 10Y (ann.) | 17.11% |
| All-time (ann.) | 28.84% |
| Best Day | 32.9% |
| Worst Day | -8.81% |
| Best Month | 65.21% |
| Worst Month | -17.34% |
| Best Year | 121.64% |
| Worst Year | -11.47% |
| Avg. Drawdown | -3.64% |
| Avg. Drawdown Days | 28 |
| Recovery Factor | 970.94 |
| Ulcer Index | 0.07 |
| Serenity Index | 469.41 |
| Avg. Up Month | 6.4% |
| Avg. Down Month | -4.48% |
| Win Days | 53.23% |
| Win Month | 68.87% |
| Win Quarter | 79.76% |
| Win Year | 78.26% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -5.57% | -5.56% |
| 2001 | 32.14% | 34.66% |
| 2002 | 26.46% | 29.33% |
| 2003 | 37.0% | 41.82% |
| 2004 | 18.38% | 18.89% |
| 2005 | 42.03% | 49.27% |
| 2006 | 28.14% | 29.21% |
| 2007 | 28.31% | 29.86% |
| 2008 | 39.46% | 46.98% |
| 2009 | 83.4% | 119.6% |
| 2010 | 48.83% | 58.23% |
| 2011 | 32.76% | 34.56% |
| 2012 | 19.92% | 19.89% |
| 2013 | 19.61% | 20.51% |
| 2014 | -4.17% | -4.6% |
| 2015 | 15.06% | 9.81% |
| 2016 | 85.47% | 121.64% |
| 2017 | 15.83% | 15.03% |
| 2018 | 0.36% | -0.93% |
| 2019 | 20.21% | 15.98% |
| 2020 | 52.68% | 54.83% |
| 2021 | -10.62% | -11.47% |
| 2022 | -1.93% | -3.6% |
| 2023 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-04-24 | 2020-03-18 | -28.70 | 329 |
| 2014-06-23 | 2015-06-02 | -26.74 | 344 |
| 2022-11-07 | 2023-01-06 | -21.71 | 60 |
| 2015-11-04 | 2016-03-17 | -21.37 | 134 |
| 2018-10-04 | 2019-04-02 | -20.34 | 180 |
| 2011-07-25 | 2011-12-21 | -17.00 | 149 |
| 2017-04-12 | 2017-10-26 | -16.28 | 197 |
| 2010-05-04 | 2010-09-30 | -15.66 | 149 |
| 2021-03-12 | 2022-11-04 | -15.48 | 602 |
| 2001-02-09 | 2001-07-23 | -15.37 | 164 |
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