| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 5,633.83% |
| CAGR﹪ | 9.26% |
| Sharpe | 0.89 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.81 |
| Sortino | 1.29 |
| Smart Sortino | 1.17 |
| Sortino/√2 | 0.91 |
| Smart Sortino/√2 | 0.83 |
| Omega | 1.18 |
| Max Drawdown | -38.44% |
| Longest DD Days | 4263 |
| Volatility (ann.) | 15.61% |
| Calmar | 0.24 |
| Skew | -0.21 |
| Kurtosis | 10.11 |
| Expected Daily | 0.05% |
| Expected Monthly | 1.07% |
| Expected Yearly | 13.05% |
| Kelly Criterion | 8.3% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.56% |
| Expected Shortfall (cVaR) | -1.56% |
| Max Consecutive Wins | 13 |
| Max Consecutive Losses | 13 |
| Gain/Pain Ratio | 0.18 |
| Gain/Pain (1M) | 1.1 |
| Payoff Ratio | 1.04 |
| Profit Factor | 1.18 |
| Common Sense Ratio | 1.3 |
| CPC Index | 0.66 |
| Tail Ratio | 1.1 |
| Outlier Win Ratio | 4.27 |
| Outlier Loss Ratio | 4.44 |
| MTD | -9.63% |
| 3M | -13.71% |
| 6M | -9.17% |
| YTD | -13.78% |
| 1Y | -7.46% |
| 3Y (ann.) | -0.7% |
| 5Y (ann.) | 0.6% |
| 10Y (ann.) | 0.89% |
| All-time (ann.) | 9.26% |
| Best Day | 10.64% |
| Worst Day | -9.23% |
| Best Month | 15.95% |
| Worst Month | -16.69% |
| Best Year | 85.25% |
| Worst Year | -18.1% |
| Avg. Drawdown | -2.11% |
| Avg. Drawdown Days | 35 |
| Recovery Factor | 11.54 |
| Ulcer Index | 0.18 |
| Serenity Index | 0.75 |
| Avg. Up Month | 3.47% |
| Avg. Down Month | -3.09% |
| Win Days | 53.22% |
| Win Month | 64.91% |
| Win Quarter | 64.57% |
| Win Year | 66.67% |
| Year | Return | Cumulative |
|---|---|---|
| 1990 | -2.1% | -3.08% |
| 1991 | -4.03% | -5.08% |
| 1992 | 13.84% | 14.02% |
| 1993 | 33.57% | 39.1% |
| 1994 | 9.79% | 9.05% |
| 1995 | 34.54% | 40.71% |
| 1996 | 44.46% | 55.22% |
| 1997 | 35.83% | 42.27% |
| 1998 | 62.78% | 85.25% |
| 1999 | 61.31% | 82.07% |
| 2000 | 8.37% | 2.54% |
| 2001 | 33.98% | 36.52% |
| 2002 | 41.93% | 46.78% |
| 2003 | -10.99% | -12.58% |
| 2004 | 31.88% | 36.85% |
| 2005 | 1.87% | 1.55% |
| 2006 | 6.7% | 6.5% |
| 2007 | 15.27% | 16.02% |
| 2008 | 30.24% | 32.87% |
| 2009 | -17.86% | -18.1% |
| 2010 | 8.53% | 8.37% |
| 2011 | -3.6% | -4.5% |
| 2012 | 1.19% | -0.03% |
| 2013 | 4.51% | 4.31% |
| 2014 | -0.27% | -0.72% |
| 2015 | 7.21% | 7.16% |
| 2016 | -15.08% | -14.39% |
| 2017 | 10.72% | 11.04% |
| 2018 | -0.45% | -0.75% |
| 2019 | 1.92% | 1.52% |
| 2020 | 12.42% | 9.41% |
| 2021 | -0.51% | -1.27% |
| 2022 | -14.19% | -13.78% |
| 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 |