| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 54.0% |
| Cumulative Return | 44,091.61% |
| CAGR﹪ | 31.52% |
| Sharpe | 1.17 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.13 |
| Sortino | 1.89 |
| Smart Sortino | 1.81 |
| Sortino/√2 | 1.34 |
| Smart Sortino/√2 | 1.28 |
| Omega | 1.35 |
| Max Drawdown | -41.4% |
| Longest DD Days | 1772 |
| Volatility (ann.) | 25.69% |
| Calmar | 0.76 |
| Skew | 1.8 |
| Kurtosis | 35.76 |
| Expected Daily | 0.11% |
| Expected Monthly | 2.3% |
| Expected Yearly | 28.89% |
| Kelly Criterion | 14.0% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.54% |
| Expected Shortfall (cVaR) | -2.54% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.35 |
| Gain/Pain (1M) | 2.04 |
| Payoff Ratio | 1.13 |
| Profit Factor | 1.35 |
| Common Sense Ratio | 1.64 |
| CPC Index | 0.83 |
| Tail Ratio | 1.22 |
| Outlier Win Ratio | 8.43 |
| Outlier Loss Ratio | 3.26 |
| MTD | 0.0% |
| 3M | -1.26% |
| 6M | -16.73% |
| YTD | 0.0% |
| 1Y | -16.65% |
| 3Y (ann.) | 12.95% |
| 5Y (ann.) | 7.41% |
| 10Y (ann.) | 8.17% |
| All-time (ann.) | 31.52% |
| Best Day | 32.64% |
| Worst Day | -10.9% |
| Best Month | 30.52% |
| Worst Month | -19.62% |
| Best Year | 148.42% |
| Worst Year | -18.13% |
| Avg. Drawdown | -4.29% |
| Avg. Drawdown Days | 33 |
| Recovery Factor | 1064.99 |
| Ulcer Index | 0.12 |
| Serenity Index | 248.02 |
| Avg. Up Month | 8.75% |
| Avg. Down Month | -4.75% |
| Win Days | 54.34% |
| Win Month | 62.11% |
| Win Quarter | 72.37% |
| Win Year | 69.57% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -2.1% | -2.23% |
| 2001 | -1.78% | -3.44% |
| 2002 | 28.05% | 30.3% |
| 2003 | 83.41% | 120.85% |
| 2004 | 51.92% | 60.63% |
| 2005 | 21.59% | 20.6% |
| 2006 | 96.91% | 148.42% |
| 2007 | 66.25% | 84.88% |
| 2008 | 30.55% | 19.24% |
| 2009 | 48.68% | 58.42% |
| 2010 | 77.94% | 106.23% |
| 2011 | 65.99% | 83.5% |
| 2012 | 18.1% | 16.58% |
| 2013 | -10.55% | -10.28% |
| 2014 | 13.4% | 13.64% |
| 2015 | 3.2% | 2.89% |
| 2016 | -2.35% | -2.56% |
| 2017 | 35.42% | 40.56% |
| 2018 | -15.51% | -15.5% |
| 2019 | 17.55% | 18.48% |
| 2020 | 72.29% | 92.58% |
| 2021 | 0.22% | -3.27% |
| 2022 | -16.12% | -18.13% |
| 2023 | 0.0% | 0.0% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-16 | 2009-05-21 | -41.40 | 309 |
| 2022-03-09 | 2023-01-06 | -39.74 | 303 |
| 2018-01-25 | 2020-01-27 | -30.55 | 732 |
| 2021-01-06 | 2022-02-17 | -29.64 | 407 |
| 2012-03-12 | 2017-01-17 | -27.53 | 1772 |
| 2008-04-17 | 2008-07-01 | -22.31 | 75 |
| 2020-11-09 | 2021-01-04 | -20.13 | 56 |
| 2001-04-11 | 2002-09-24 | -19.95 | 531 |
| 2010-01-12 | 2010-04-07 | -17.15 | 85 |
| 2011-01-03 | 2011-03-01 | -17.13 | 57 |
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