| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 1,731.03% |
| CAGR﹪ | 7.71% |
| Sharpe | 0.71 |
| Prob. Sharpe Ratio | 99.99% |
| Smart Sharpe | 0.66 |
| Sortino | 1.01 |
| Smart Sortino | 0.95 |
| Sortino/√2 | 0.72 |
| Smart Sortino/√2 | 0.67 |
| Omega | 1.14 |
| Max Drawdown | -43.49% |
| Longest DD Days | 2279 |
| Volatility (ann.) | 17.34% |
| Calmar | 0.18 |
| Skew | -0.16 |
| Kurtosis | 5.64 |
| Expected Daily | 0.04% |
| Expected Monthly | 0.9% |
| Expected Yearly | 10.94% |
| Kelly Criterion | 6.47% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.75% |
| Expected Shortfall (cVaR) | -1.75% |
| Max Consecutive Wins | 12 |
| Max Consecutive Losses | 11 |
| Gain/Pain Ratio | 0.14 |
| Gain/Pain (1M) | 0.82 |
| Payoff Ratio | 1.02 |
| Profit Factor | 1.14 |
| Common Sense Ratio | 1.14 |
| CPC Index | 0.61 |
| Tail Ratio | 1.0 |
| Outlier Win Ratio | 4.28 |
| Outlier Loss Ratio | 4.42 |
| MTD | -0.81% |
| 3M | -10.65% |
| 6M | -15.89% |
| YTD | -10.48% |
| 1Y | -14.29% |
| 3Y (ann.) | -1.1% |
| 5Y (ann.) | -0.51% |
| 10Y (ann.) | 2.59% |
| All-time (ann.) | 7.71% |
| Best Day | 7.99% |
| Worst Day | -9.18% |
| Best Month | 19.57% |
| Worst Month | -18.97% |
| Best Year | 89.44% |
| Worst Year | -25.14% |
| Avg. Drawdown | -3.17% |
| Avg. Drawdown Days | 43 |
| Recovery Factor | 7.62 |
| Ulcer Index | 0.16 |
| Serenity Index | 0.77 |
| Avg. Up Month | 3.56% |
| Avg. Down Month | -3.43% |
| Win Days | 52.85% |
| Win Month | 63.5% |
| Win Quarter | 66.36% |
| Win Year | 71.43% |
| Year | Return | Cumulative |
|---|---|---|
| 1994 | 8.93% | 8.73% |
| 1995 | 20.69% | 22.45% |
| 1996 | 6.93% | 6.38% |
| 1997 | 11.95% | 11.48% |
| 1998 | 65.3% | 89.44% |
| 1999 | 28.45% | 31.0% |
| 2000 | -7.77% | -10.59% |
| 2001 | 56.75% | 67.15% |
| 2002 | 50.4% | 60.89% |
| 2003 | -1.98% | -4.54% |
| 2004 | 7.37% | 6.53% |
| 2005 | 15.25% | 15.05% |
| 2006 | 18.66% | 19.84% |
| 2007 | 16.58% | 17.0% |
| 2008 | 5.63% | 2.27% |
| 2009 | -25.1% | -25.14% |
| 2010 | -3.41% | -3.97% |
| 2011 | 17.35% | 17.52% |
| 2012 | 9.93% | 9.51% |
| 2013 | 13.29% | 13.85% |
| 2014 | 1.28% | 0.99% |
| 2015 | 18.72% | 20.13% |
| 2016 | -6.74% | -7.42% |
| 2017 | 9.22% | 9.43% |
| 2018 | -4.39% | -4.81% |
| 2019 | 14.89% | 15.08% |
| 2020 | -5.87% | -8.77% |
| 2021 | -10.7% | -10.48% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-03-03 | 2015-05-29 | -43.49 | 2279 |
| 2003-04-07 | 2006-11-29 | -35.54 | 1333 |
| 2000-07-14 | 2001-07-06 | -34.96 | 358 |
| 2001-10-17 | 2002-05-23 | -27.38 | 219 |
| 2020-05-29 | 2021-04-06 | -25.21 | 313 |
| 2020-02-12 | 2020-05-08 | -22.48 | 87 |
| 1996-04-23 | 1997-01-20 | -16.42 | 273 |
| 2002-10-21 | 2003-01-22 | -15.85 | 94 |
| 2016-10-05 | 2019-08-02 | -15.70 | 1032 |
| 1997-04-23 | 1997-09-24 | -15.28 | 155 |