| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,542.54% | 5,633.83% |
| CAGR﹪ | 6.31% | 9.26% |
| Sharpe | 0.55 | 0.89 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.5 | 0.81 |
| Sortino | 0.78 | 1.29 |
| Smart Sortino | 0.71 | 1.17 |
| Sortino/√2 | 0.55 | 0.91 |
| Smart Sortino/√2 | 0.5 | 0.83 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -59.87% | -38.44% |
| Longest DD Days | 2176 | 4263 |
| Volatility (ann.) | 19.61% | 15.61% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.11 | 0.24 |
| Skew | -0.11 | -0.21 |
| Kurtosis | 8.41 | 10.11 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.74% | 1.07% |
| Expected Yearly | 8.85% | 13.05% |
| Kelly Criterion | 2.26% | 8.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -1.56% |
| Expected Shortfall (cVaR) | -1.99% | -1.56% |
| Max Consecutive Wins | 12 | 13 |
| Max Consecutive Losses | 11 | 13 |
| Gain/Pain Ratio | 0.11 | 0.18 |
| Gain/Pain (1M) | 0.54 | 1.1 |
| Payoff Ratio | 0.91 | 1.04 |
| Profit Factor | 1.11 | 1.18 |
| Common Sense Ratio | 1.06 | 1.3 |
| CPC Index | 0.54 | 0.65 |
| Tail Ratio | 0.95 | 1.1 |
| Outlier Win Ratio | 3.77 | 4.68 |
| Outlier Loss Ratio | 3.7 | 4.99 |
| MTD | -2.71% | -9.63% |
| 3M | -3.68% | -13.71% |
| 6M | -0.23% | -9.17% |
| YTD | -5.97% | -13.78% |
| 1Y | 8.49% | -7.46% |
| 3Y (ann.) | 5.43% | -0.7% |
| 5Y (ann.) | 4.97% | 0.6% |
| 10Y (ann.) | 6.38% | 0.89% |
| All-time (ann.) | 6.31% | 9.26% |
| Best Day | 11.1% | 10.64% |
| Worst Day | -13.28% | -9.23% |
| Best Month | 17.69% | 15.95% |
| Worst Month | -29.82% | -16.69% |
| Best Year | 52.68% | 85.25% |
| Worst Year | -41.58% | -18.1% |
| Avg. Drawdown | -2.82% | -2.11% |
| Avg. Drawdown Days | 42 | 35 |
| Recovery Factor | 5.7 | 11.54 |
| Ulcer Index | 0.17 | 0.18 |
| Serenity Index | 0.77 | 0.75 |
| Avg. Up Month | 3.82% | 3.38% |
| Avg. Down Month | -4.47% | -2.68% |
| Win Days | 53.54% | 53.22% |
| Win Month | 61.48% | 64.91% |
| Win Quarter | 65.35% | 64.57% |
| Win Year | 72.73% | 66.67% |
| Beta | - | -0.04 |
| Alpha | - | 0.14 |
| Correlation | - | -4.97% |
| Treynor Ratio | - | -142310.17% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1990 | -12.76 | -3.08 | 0.24 | + |
| 1991 | 19.30 | -5.08 | -0.26 | - |
| 1992 | 11.26 | 14.02 | 1.25 | + |
| 1993 | 40.19 | 39.10 | 0.97 | - |
| 1994 | -13.29 | 9.05 | -0.68 | + |
| 1995 | 0.21 | 40.71 | 195.18 | + |
| 1996 | 31.05 | 55.22 | 1.78 | + |
| 1997 | 23.10 | 42.27 | 1.83 | + |
| 1998 | 23.39 | 85.25 | 3.64 | + |
| 1999 | 52.68 | 82.07 | 1.56 | + |
| 2000 | 2.31 | 2.54 | 1.10 | + |
| 2001 | -14.86 | 36.52 | -2.46 | + |
| 2002 | -23.28 | 46.78 | -2.01 | + |
| 2003 | 27.76 | -12.58 | -0.45 | - |
| 2004 | 15.97 | 36.85 | 2.31 | + |
| 2005 | 28.48 | 1.55 | 0.05 | - |
| 2006 | 26.61 | 6.50 | 0.24 | - |
| 2007 | 2.08 | 16.02 | 7.71 | + |
| 2008 | -41.58 | 32.87 | -0.79 | + |
| 2009 | 44.71 | -18.10 | -0.40 | - |
| 2010 | 12.66 | 8.37 | 0.66 | - |
| 2011 | -18.40 | -4.50 | 0.24 | + |
| 2012 | 30.57 | -0.03 | -0.00 | - |
| 2013 | 22.37 | 4.31 | 0.19 | - |
| 2014 | 8.59 | -0.72 | -0.08 | - |
| 2015 | 11.78 | 7.16 | 0.61 | - |
| 2016 | 3.24 | -14.39 | -4.44 | - |
| 2017 | 18.99 | 11.04 | 0.58 | - |
| 2018 | -14.84 | -0.75 | 0.05 | + |
| 2019 | 28.23 | 1.52 | 0.05 | - |
| 2020 | -3.54 | 9.41 | -2.66 | + |
| 2021 | 27.05 | -1.27 | -0.05 | - |
| 2022 | -5.97 | -13.78 | 2.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-03-12 | 2020-11-11 | -38.44 | 4263 |
| 2020-11-13 | 2022-03-23 | -35.58 | 496 |
| 2003-04-08 | 2004-10-05 | -27.68 | 547 |
| 2000-04-04 | 2001-06-06 | -26.51 | 429 |
| 1990-09-11 | 1992-02-21 | -21.91 | 529 |
| 2001-09-21 | 2002-06-13 | -21.86 | 266 |
| 2002-09-24 | 2003-03-12 | -19.72 | 170 |
| 1992-08-14 | 1993-06-08 | -16.44 | 299 |
| 2008-07-08 | 2008-10-24 | -15.27 | 109 |
| 1999-03-10 | 1999-06-07 | -12.88 | 90 |