| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 77.0% |
| Cumulative Return | 1,278,716.59% |
| CAGR﹪ | 53.01% |
| Sharpe | 1.69 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.63 |
| Sortino | 3.03 |
| Smart Sortino | 2.91 |
| Sortino/√2 | 2.14 |
| Smart Sortino/√2 | 2.06 |
| Omega | 1.48 |
| Max Drawdown | -28.65% |
| Longest DD Days | 854 |
| Volatility (ann.) | 26.73% |
| Calmar | 1.85 |
| Skew | 1.87 |
| Kurtosis | 15.69 |
| Expected Daily | 0.17% |
| Expected Monthly | 3.59% |
| Expected Yearly | 48.29% |
| Kelly Criterion | 17.56% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.59% |
| Expected Shortfall (cVaR) | -2.59% |
| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 9 |
| Gain/Pain Ratio | 0.48 |
| Gain/Pain (1M) | 3.86 |
| Payoff Ratio | 1.25 |
| Profit Factor | 1.48 |
| Common Sense Ratio | 1.98 |
| CPC Index | 1.0 |
| Tail Ratio | 1.34 |
| Outlier Win Ratio | 6.83 |
| Outlier Loss Ratio | 3.85 |
| MTD | -0.75% |
| 3M | -4.15% |
| 6M | -6.46% |
| YTD | -0.75% |
| 1Y | 8.52% |
| 3Y (ann.) | 13.41% |
| 5Y (ann.) | 16.74% |
| 10Y (ann.) | 18.22% |
| All-time (ann.) | 53.01% |
| Best Day | 17.59% |
| Worst Day | -8.39% |
| Best Month | 35.9% |
| Worst Month | -9.74% |
| Best Year | 205.3% |
| Worst Year | -6.49% |
| Avg. Drawdown | -3.54% |
| Avg. Drawdown Days | 23 |
| Recovery Factor | 44625.76 |
| Ulcer Index | 0.08 |
| Serenity Index | 18502.83 |
| Avg. Up Month | 7.32% |
| Avg. Down Month | -3.08% |
| Win Days | 54.28% |
| Win Month | 66.67% |
| Win Quarter | 78.89% |
| Win Year | 87.5% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | 2.54% | 2.36% |
| 2001 | 28.46% | 25.43% |
| 2002 | 76.22% | 105.57% |
| 2003 | 76.91% | 108.28% |
| 2004 | 64.28% | 81.37% |
| 2005 | 61.8% | 79.19% |
| 2006 | 118.71% | 205.3% |
| 2007 | 63.98% | 82.82% |
| 2008 | 81.68% | 107.51% |
| 2009 | 85.26% | 120.75% |
| 2010 | 42.12% | 49.12% |
| 2011 | 85.13% | 116.02% |
| 2012 | 53.09% | 65.99% |
| 2013 | 25.72% | 25.52% |
| 2014 | -5.27% | -6.49% |
| 2015 | -2.72% | -4.14% |
| 2016 | 43.59% | 51.26% |
| 2017 | 35.28% | 40.03% |
| 2018 | 13.0% | 12.44% |
| 2019 | 29.06% | 31.34% |
| 2020 | 25.28% | 23.18% |
| 2021 | 12.79% | 12.47% |
| 2022 | 9.63% | 8.2% |
| 2023 | -0.74% | -0.75% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-05-06 | 2016-09-06 | -28.65 | 854 |
| 2011-08-04 | 2011-09-22 | -21.84 | 49 |
| 2012-11-26 | 2013-07-19 | -16.55 | 235 |
| 2002-12-30 | 2003-05-06 | -16.13 | 127 |
| 2006-09-29 | 2006-11-01 | -15.75 | 33 |
| 2020-04-01 | 2020-07-23 | -15.48 | 113 |
| 2005-03-14 | 2005-09-08 | -15.20 | 178 |
| 2019-02-20 | 2019-06-24 | -14.81 | 124 |
| 2000-12-28 | 2001-05-17 | -14.77 | 140 |
| 2018-04-12 | 2018-12-20 | -13.64 | 252 |
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