| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 41.0% |
| Cumulative Return | 11,060.36% |
| CAGR﹪ | 23.62% |
| Sharpe | 1.14 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.11 |
| Sortino | 1.95 |
| Smart Sortino | 1.9 |
| Sortino/√2 | 1.38 |
| Smart Sortino/√2 | 1.34 |
| Omega | 1.41 |
| Max Drawdown | -30.0% |
| Longest DD Days | 555 |
| Volatility (ann.) | 20.45% |
| Calmar | 0.79 |
| Skew | 1.53 |
| Kurtosis | 16.42 |
| Expected Daily | 0.08% |
| Expected Monthly | 1.77% |
| Expected Yearly | 21.71% |
| Kelly Criterion | 15.45% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.03% |
| Expected Shortfall (cVaR) | -2.03% |
| Max Consecutive Wins | 10 |
| Max Consecutive Losses | 7 |
| Gain/Pain Ratio | 0.41 |
| Gain/Pain (1M) | 2.18 |
| Payoff Ratio | 1.22 |
| Profit Factor | 1.41 |
| Common Sense Ratio | 1.84 |
| CPC Index | 0.92 |
| Tail Ratio | 1.31 |
| Outlier Win Ratio | 13.03 |
| Outlier Loss Ratio | 2.96 |
| MTD | -8.92% |
| 3M | -16.63% |
| 6M | -10.45% |
| YTD | -8.92% |
| 1Y | 44.88% |
| 3Y (ann.) | 6.94% |
| 5Y (ann.) | 7.68% |
| 10Y (ann.) | 15.28% |
| All-time (ann.) | 23.62% |
| Best Day | 12.68% |
| Worst Day | -10.96% |
| Best Month | 36.76% |
| Worst Month | -13.59% |
| Best Year | 82.05% |
| Worst Year | -17.65% |
| Avg. Drawdown | -3.58% |
| Avg. Drawdown Days | 33 |
| Recovery Factor | 368.72 |
| Ulcer Index | 0.07 |
| Serenity Index | 162.06 |
| Avg. Up Month | 5.98% |
| Avg. Down Month | -3.45% |
| Win Days | 53.5% |
| Win Month | 64.47% |
| Win Quarter | 65.91% |
| Win Year | 83.33% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -12.1% | -11.83% |
| 2001 | 18.81% | 16.83% |
| 2002 | 20.87% | 22.43% |
| 2003 | 18.69% | 18.05% |
| 2004 | 13.4% | 12.75% |
| 2005 | 24.17% | 24.66% |
| 2006 | 17.86% | 18.59% |
| 2007 | 48.5% | 59.75% |
| 2008 | 58.38% | 73.42% |
| 2009 | 58.97% | 73.29% |
| 2010 | 2.75% | 2.47% |
| 2011 | 63.5% | 82.05% |
| 2012 | 21.07% | 21.07% |
| 2013 | 14.39% | 14.91% |
| 2014 | 27.23% | 30.13% |
| 2015 | 27.63% | 28.85% |
| 2016 | 38.19% | 42.35% |
| 2017 | 6.22% | 5.08% |
| 2018 | 8.22% | 7.99% |
| 2019 | 21.47% | 22.15% |
| 2020 | -11.59% | -12.51% |
| 2021 | -17.06% | -17.65% |
| 2022 | 56.9% | 66.25% |
| 2023 | -9.03% | -8.92% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-17 | 2023-01-06 | -30.00 | 142 |
| 2021-08-02 | 2022-03-01 | -29.53 | 211 |
| 2020-01-21 | 2021-07-29 | -25.83 | 555 |
| 2017-04-12 | 2018-02-20 | -18.37 | 314 |
| 2001-10-01 | 2001-12-26 | -18.22 | 86 |
| 2003-04-22 | 2003-10-01 | -17.66 | 162 |
| 2000-10-23 | 2001-09-28 | -17.50 | 340 |
| 2016-03-23 | 2016-08-01 | -14.33 | 131 |
| 2012-01-05 | 2012-07-16 | -14.20 | 193 |
| 2008-01-03 | 2008-03-26 | -13.71 | 83 |
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