| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,542.54% | 6,572.79% |
| CAGR﹪ | 6.31% | 9.62% |
| Sharpe | 0.55 | 0.75 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.52 | 0.71 |
| Sortino | 0.78 | 1.08 |
| Smart Sortino | 0.74 | 1.02 |
| Sortino/√2 | 0.55 | 0.76 |
| Smart Sortino/√2 | 0.52 | 0.72 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -59.87% | -51.53% |
| Longest DD Days | 2176 | 2161 |
| Volatility (ann.) | 19.61% | 20.33% |
| R^2 | 0.93 | 0.93 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.11 | 0.19 |
| Skew | -0.11 | -0.08 |
| Kurtosis | 8.41 | 10.62 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.74% | 1.11% |
| Expected Yearly | 8.85% | 13.57% |
| Kelly Criterion | 4.19% | 6.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -2.05% |
| Expected Shortfall (cVaR) | -1.99% | -2.05% |
| Max Consecutive Wins | 12 | 15 |
| Max Consecutive Losses | 11 | 11 |
| Gain/Pain Ratio | 0.11 | 0.15 |
| Gain/Pain (1M) | 0.54 | 0.83 |
| Payoff Ratio | 0.94 | 0.98 |
| Profit Factor | 1.11 | 1.15 |
| Common Sense Ratio | 1.06 | 1.14 |
| CPC Index | 0.56 | 0.61 |
| Tail Ratio | 0.95 | 0.99 |
| Outlier Win Ratio | 4.16 | 4.01 |
| Outlier Loss Ratio | 4.2 | 4.17 |
| MTD | -2.71% | -5.7% |
| 3M | -3.68% | -7.47% |
| 6M | -0.23% | -2.58% |
| YTD | -5.97% | -9.36% |
| 1Y | 8.49% | 6.37% |
| 3Y (ann.) | 5.43% | 5.28% |
| 5Y (ann.) | 4.97% | 5.25% |
| 10Y (ann.) | 6.38% | 6.08% |
| All-time (ann.) | 6.31% | 9.62% |
| Best Day | 11.1% | 13.43% |
| Worst Day | -13.28% | -14.45% |
| Best Month | 17.69% | 19.36% |
| Worst Month | -29.82% | -28.26% |
| Best Year | 52.68% | 87.62% |
| Worst Year | -41.58% | -35.22% |
| Avg. Drawdown | -2.82% | -2.47% |
| Avg. Drawdown Days | 42 | 30 |
| Recovery Factor | 5.7 | 9.43 |
| Ulcer Index | 0.17 | 0.13 |
| Serenity Index | 0.77 | 2.0 |
| Avg. Up Month | 4.33% | 4.76% |
| Avg. Down Month | -4.81% | -4.52% |
| Win Days | 53.54% | 53.77% |
| Win Month | 61.48% | 63.85% |
| Win Quarter | 65.35% | 70.87% |
| Win Year | 72.73% | 69.7% |
| Beta | - | 1.0 |
| Alpha | - | 0.05 |
| Correlation | - | 96.37% |
| Treynor Ratio | - | 6579.51% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1990 | -12.76 | -14.19 | 1.11 | - |
| 1991 | 19.30 | 23.64 | 1.22 | + |
| 1992 | 11.26 | 22.34 | 1.98 | + |
| 1993 | 40.19 | 53.70 | 1.34 | + |
| 1994 | -13.29 | -10.44 | 0.79 | + |
| 1995 | 0.21 | 9.43 | 45.22 | + |
| 1996 | 31.05 | 53.76 | 1.73 | + |
| 1997 | 23.10 | 41.19 | 1.78 | + |
| 1998 | 23.39 | 49.26 | 2.11 | + |
| 1999 | 52.68 | 87.62 | 1.66 | + |
| 2000 | 2.31 | 2.15 | 0.93 | - |
| 2001 | -14.86 | -1.79 | 0.12 | + |
| 2002 | -23.28 | -8.72 | 0.37 | + |
| 2003 | 27.76 | 29.35 | 1.06 | + |
| 2004 | 15.97 | 25.43 | 1.59 | + |
| 2005 | 28.48 | 27.41 | 0.96 | - |
| 2006 | 26.61 | 29.19 | 1.10 | + |
| 2007 | 2.08 | 5.05 | 2.43 | + |
| 2008 | -41.58 | -35.22 | 0.85 | + |
| 2009 | 44.71 | 36.40 | 0.81 | - |
| 2010 | 12.66 | 12.86 | 1.02 | + |
| 2011 | -18.40 | -21.36 | 1.16 | - |
| 2012 | 30.57 | 27.35 | 0.89 | - |
| 2013 | 22.37 | 22.17 | 0.99 | - |
| 2014 | 8.59 | 7.10 | 0.83 | - |
| 2015 | 11.78 | 13.58 | 1.15 | + |
| 2016 | 3.24 | -3.00 | -0.93 | - |
| 2017 | 18.99 | 21.21 | 1.12 | + |
| 2018 | -14.84 | -14.60 | 0.98 | + |
| 2019 | 28.23 | 31.06 | 1.10 | + |
| 2020 | -3.54 | -1.27 | 0.36 | + |
| 2021 | 27.05 | 25.04 | 0.93 | - |
| 2022 | -5.97 | -9.36 | 1.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-06-08 | 2013-05-07 | -51.53 | 2161 |
| 2020-02-26 | 2021-03-16 | -46.18 | 385 |
| 2000-09-11 | 2003-12-04 | -40.31 | 1180 |
| 1998-07-27 | 1999-01-11 | -34.19 | 169 |
| 2022-01-12 | 2022-03-23 | -24.46 | 71 |
| 2015-05-05 | 2017-04-27 | -21.86 | 724 |
| 1990-09-06 | 1991-03-11 | -21.36 | 187 |
| 1992-05-18 | 1993-02-25 | -21.36 | 284 |
| 2018-05-29 | 2019-07-08 | -19.62 | 406 |
| 1994-01-06 | 1996-01-08 | -18.25 | 733 |