| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 445.12% | 1,731.03% |
| CAGR﹪ | 4.43% | 7.71% |
| Sharpe | 0.41 | 0.71 |
| Prob. Sharpe Ratio | 98.42% | 99.99% |
| Smart Sharpe | 0.39 | 0.66 |
| Sortino | 0.58 | 1.01 |
| Smart Sortino | 0.54 | 0.95 |
| Sortino/√2 | 0.41 | 0.72 |
| Smart Sortino/√2 | 0.38 | 0.67 |
| Omega | 1.14 | 1.14 |
| Max Drawdown | -69.11% | -43.49% |
| Longest DD Days | 2249 | 2279 |
| Volatility (ann.) | 19.92% | 17.34% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.06 | 0.18 |
| Skew | -0.18 | -0.16 |
| Kurtosis | 7.93 | 5.64 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.52% | 0.9% |
| Expected Yearly | 6.24% | 10.94% |
| Kelly Criterion | 2.44% | 6.71% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.03% | -1.75% |
| Expected Shortfall (cVaR) | -2.03% | -1.75% |
| Max Consecutive Wins | 14 | 12 |
| Max Consecutive Losses | 11 | 11 |
| Gain/Pain Ratio | 0.08 | 0.14 |
| Gain/Pain (1M) | 0.37 | 0.82 |
| Payoff Ratio | 0.88 | 1.02 |
| Profit Factor | 1.08 | 1.14 |
| Common Sense Ratio | 1.01 | 1.14 |
| CPC Index | 0.52 | 0.62 |
| Tail Ratio | 0.94 | 1.0 |
| Outlier Win Ratio | 3.85 | 4.24 |
| Outlier Loss Ratio | 3.78 | 4.65 |
| MTD | 1.03% | -0.81% |
| 3M | 7.34% | -10.65% |
| 6M | 21.23% | -15.89% |
| YTD | 9.66% | -10.48% |
| 1Y | 51.95% | -14.29% |
| 3Y (ann.) | 2.93% | -1.1% |
| 5Y (ann.) | 5.1% | -0.51% |
| 10Y (ann.) | 5.16% | 2.59% |
| All-time (ann.) | 4.43% | 7.71% |
| Best Day | 12.54% | 7.99% |
| Worst Day | -11.87% | -9.18% |
| Best Month | 19.96% | 19.57% |
| Worst Month | -37.24% | -18.97% |
| Best Year | 43.12% | 89.44% |
| Worst Year | -45.75% | -25.14% |
| Avg. Drawdown | -2.97% | -3.17% |
| Avg. Drawdown Days | 56 | 43 |
| Recovery Factor | 3.23 | 7.62 |
| Ulcer Index | 0.23 | 0.16 |
| Serenity Index | 0.27 | 0.77 |
| Avg. Up Month | 3.44% | 2.96% |
| Avg. Down Month | -5.97% | -3.6% |
| Win Days | 54.27% | 52.85% |
| Win Month | 63.19% | 63.5% |
| Win Quarter | 66.36% | 66.36% |
| Win Year | 75.0% | 71.43% |
| Beta | - | -0.04 |
| Alpha | - | 0.13 |
| Correlation | - | -4.79% |
| Treynor Ratio | - | -41547.39% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1994 | -2.61 | 8.73 | -3.35 | + |
| 1995 | 0.01 | 22.45 | 1676.92 | + |
| 1996 | 18.44 | 6.38 | 0.35 | - |
| 1997 | 43.12 | 11.48 | 0.27 | - |
| 1998 | 13.64 | 89.44 | 6.56 | + |
| 1999 | 19.67 | 31.00 | 1.58 | + |
| 2000 | -4.48 | -10.59 | 2.37 | - |
| 2001 | -26.63 | 67.15 | -2.52 | + |
| 2002 | -36.50 | 60.89 | -1.67 | + |
| 2003 | 35.70 | -4.54 | -0.13 | - |
| 2004 | 10.82 | 6.53 | 0.60 | - |
| 2005 | 32.16 | 15.05 | 0.47 | - |
| 2006 | 31.24 | 19.84 | 0.63 | - |
| 2007 | 11.16 | 17.00 | 1.52 | + |
| 2008 | -45.75 | 2.27 | -0.05 | + |
| 2009 | 35.56 | -25.14 | -0.71 | - |
| 2010 | 22.73 | -3.97 | -0.17 | - |
| 2011 | -14.81 | 17.52 | -1.18 | + |
| 2012 | 26.60 | 9.51 | 0.36 | - |
| 2013 | 20.43 | 13.85 | 0.68 | - |
| 2014 | 3.79 | 0.99 | 0.26 | - |
| 2015 | 11.09 | 20.13 | 1.81 | + |
| 2016 | 5.14 | -7.42 | -1.44 | - |
| 2017 | 21.60 | 9.43 | 0.44 | - |
| 2018 | -18.54 | -4.81 | 0.26 | + |
| 2019 | 20.61 | 15.08 | 0.73 | - |
| 2020 | 1.03 | -8.77 | -8.51 | - |
| 2021 | 9.66 | -10.48 | -1.08 | - |
| 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 |