| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 1,437.36% |
| CAGR﹪ | 8.86% |
| Sharpe | 0.58 |
| Prob. Sharpe Ratio | 99.65% |
| Smart Sharpe | 0.54 |
| Sortino | 0.82 |
| Smart Sortino | 0.77 |
| Sortino/√2 | 0.58 |
| Smart Sortino/√2 | 0.54 |
| Omega | 1.11 |
| Max Drawdown | -58.09% |
| Longest DD Days | 2246 |
| Volatility (ann.) | 28.73% |
| Calmar | 0.15 |
| Skew | -0.28 |
| Kurtosis | 5.41 |
| Expected Daily | 0.05% |
| Expected Monthly | 1.03% |
| Expected Yearly | 12.62% |
| Kelly Criterion | 5.24% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -2.91% |
| Expected Shortfall (cVaR) | -2.91% |
| Max Consecutive Wins | 13 |
| Max Consecutive Losses | 10 |
| Gain/Pain Ratio | 0.11 |
| Gain/Pain (1M) | 0.58 |
| Payoff Ratio | 1.01 |
| Profit Factor | 1.11 |
| Common Sense Ratio | 1.09 |
| CPC Index | 0.59 |
| Tail Ratio | 0.99 |
| Outlier Win Ratio | 4.03 |
| Outlier Loss Ratio | 4.38 |
| MTD | 4.24% |
| 3M | 3.85% |
| 6M | -8.17% |
| YTD | 1.88% |
| 1Y | -3.28% |
| 3Y (ann.) | 8.87% |
| 5Y (ann.) | 3.95% |
| 10Y (ann.) | 7.2% |
| All-time (ann.) | 8.86% |
| Best Day | 12.55% |
| Worst Day | -13.77% |
| Best Month | 29.04% |
| Worst Month | -42.27% |
| Best Year | 121.42% |
| Worst Year | -39.7% |
| Avg. Drawdown | -5.63% |
| Avg. Drawdown Days | 61 |
| Recovery Factor | 6.26 |
| Ulcer Index | 0.31 |
| Serenity Index | 0.38 |
| Avg. Up Month | 5.92% |
| Avg. Down Month | -6.29% |
| Win Days | 52.48% |
| Win Month | 62.92% |
| Win Quarter | 57.3% |
| Win Year | 73.91% |
| Year | Return | Cumulative |
|---|---|---|
| 2000 | -6.36% | -12.0% |
| 2001 | 19.49% | 15.61% |
| 2002 | 85.1% | 121.42% |
| 2003 | 6.56% | -2.56% |
| 2004 | 19.14% | 17.0% |
| 2005 | 57.59% | 71.71% |
| 2006 | 19.21% | 14.59% |
| 2007 | 24.29% | 20.53% |
| 2008 | -0.39% | -15.86% |
| 2009 | -19.01% | -20.21% |
| 2010 | 19.95% | 19.15% |
| 2011 | 15.22% | 13.62% |
| 2012 | 20.1% | 19.81% |
| 2013 | 66.0% | 86.48% |
| 2014 | 41.18% | 49.45% |
| 2015 | 6.91% | 4.98% |
| 2016 | -47.41% | -39.7% |
| 2017 | -9.93% | -10.21% |
| 2018 | 4.76% | 3.89% |
| 2019 | 12.76% | 12.82% |
| 2020 | 23.1% | 19.86% |
| 2021 | 3.3% | 2.24% |
| 2022 | 2.18% | 1.88% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-08-01 | 2013-03-26 | -58.09 | 1699 |
| 2016-01-29 | 2022-03-23 | -56.21 | 2246 |
| 2003-09-01 | 2006-01-06 | -55.66 | 859 |
| 2001-10-15 | 2002-07-18 | -43.73 | 277 |
| 2000-05-10 | 2001-06-11 | -41.60 | 398 |
| 2008-01-21 | 2008-05-14 | -23.14 | 115 |
| 2006-02-06 | 2006-12-20 | -21.47 | 318 |
| 2013-07-19 | 2013-10-14 | -18.27 | 88 |
| 2002-10-24 | 2002-11-27 | -17.33 | 35 |
| 2014-12-19 | 2015-08-18 | -17.32 | 243 |