| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 490.89% | 2,557.31% |
| CAGR﹪ | 4.75% | 8.94% |
| Sharpe | 0.41 | 0.62 |
| Prob. Sharpe Ratio | 98.06% | 99.92% |
| Smart Sharpe | 0.38 | 0.58 |
| Sortino | 0.58 | 0.9 |
| Smart Sortino | 0.55 | 0.84 |
| Sortino/√2 | 0.41 | 0.64 |
| Smart Sortino/√2 | 0.39 | 0.6 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -72.14% | -71.55% |
| Longest DD Days | 2689 | 2338 |
| Volatility (ann.) | 24.03% | 25.93% |
| R^2 | 0.92 | 0.92 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.07 | 0.13 |
| Skew | 0.15 | 0.18 |
| Kurtosis | 12.48 | 12.27 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.56% | 1.04% |
| Expected Yearly | 6.55% | 12.43% |
| Kelly Criterion | 3.13% | 5.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.45% | -2.62% |
| Expected Shortfall (cVaR) | -2.45% | -2.62% |
| Max Consecutive Wins | 14 | 13 |
| Max Consecutive Losses | 10 | 12 |
| Gain/Pain Ratio | 0.08 | 0.12 |
| Gain/Pain (1M) | 0.34 | 0.58 |
| Payoff Ratio | 0.95 | 0.99 |
| Profit Factor | 1.08 | 1.12 |
| Common Sense Ratio | 1.06 | 1.13 |
| CPC Index | 0.54 | 0.59 |
| Tail Ratio | 0.98 | 1.0 |
| Outlier Win Ratio | 4.37 | 3.97 |
| Outlier Loss Ratio | 4.23 | 3.98 |
| MTD | -5.6% | -3.23% |
| 3M | -1.9% | 0.94% |
| 6M | -7.63% | -4.23% |
| YTD | -1.61% | 1.25% |
| 1Y | -16.31% | -18.86% |
| 3Y (ann.) | -4.18% | -4.09% |
| 5Y (ann.) | 1.15% | 1.54% |
| 10Y (ann.) | 2.57% | 5.47% |
| All-time (ann.) | 4.75% | 8.94% |
| Best Day | 17.19% | 18.41% |
| Worst Day | -14.17% | -14.57% |
| Best Month | 32.57% | 24.48% |
| Worst Month | -41.06% | -42.28% |
| Best Year | 78.31% | 100.74% |
| Worst Year | -43.02% | -37.95% |
| Avg. Drawdown | -4.16% | -3.69% |
| Avg. Drawdown Days | 69 | 40 |
| Recovery Factor | 3.5 | 5.8 |
| Ulcer Index | 0.23 | 0.22 |
| Serenity Index | 0.39 | 0.77 |
| Avg. Up Month | 5.88% | 6.57% |
| Avg. Down Month | -5.86% | -5.81% |
| Win Days | 52.76% | 52.95% |
| Win Month | 55.35% | 60.06% |
| Win Quarter | 57.55% | 66.04% |
| Win Year | 53.57% | 67.86% |
| Beta | - | 1.04 |
| Alpha | - | 0.06 |
| Correlation | - | 96.01% |
| Treynor Ratio | - | 2469.16% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1995 | -3.94 | -4.21 | 1.07 | - |
| 1996 | 45.44 | 74.56 | 1.64 | + |
| 1997 | -35.94 | -35.49 | 0.99 | + |
| 1998 | -15.69 | -18.97 | 1.21 | - |
| 1999 | 40.12 | 38.94 | 0.97 | - |
| 2000 | 4.74 | 2.56 | 0.54 | - |
| 2001 | -12.61 | -1.96 | 0.16 | + |
| 2002 | -11.54 | -8.36 | 0.73 | + |
| 2003 | 44.90 | 60.08 | 1.34 | + |
| 2004 | 22.43 | 27.46 | 1.22 | + |
| 2005 | 12.63 | 26.21 | 2.07 | + |
| 2006 | 38.42 | 62.98 | 1.64 | + |
| 2007 | 58.55 | 90.13 | 1.54 | + |
| 2008 | -43.02 | -37.95 | 0.88 | + |
| 2009 | 78.31 | 100.74 | 1.29 | + |
| 2010 | 12.84 | 14.43 | 1.12 | + |
| 2011 | -19.21 | -17.14 | 0.89 | + |
| 2012 | 25.29 | 29.55 | 1.17 | + |
| 2013 | 4.90 | 18.23 | 3.72 | + |
| 2014 | 5.96 | 12.79 | 2.15 | + |
| 2015 | -2.03 | 8.64 | -4.25 | + |
| 2016 | -0.71 | 1.73 | -2.45 | + |
| 2017 | 31.29 | 37.11 | 1.19 | + |
| 2018 | -3.15 | -1.37 | 0.44 | + |
| 2019 | 8.94 | 7.85 | 0.88 | - |
| 2020 | -4.77 | 0.15 | -0.03 | + |
| 2021 | -3.36 | -10.75 | 3.19 | - |
| 2022 | -1.61 | 1.25 | -0.77 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1997-08-14 | 2004-01-07 | -71.55 | 2338 |
| 2007-12-13 | 2009-07-22 | -61.25 | 588 |
| 2010-11-15 | 2013-01-07 | -40.22 | 785 |
| 2021-02-24 | 2022-03-23 | -33.33 | 393 |
| 2019-04-11 | 2021-01-26 | -31.70 | 657 |
| 2015-05-11 | 2017-03-06 | -27.74 | 666 |
| 2004-03-15 | 2004-11-26 | -27.46 | 257 |
| 2010-04-16 | 2010-08-05 | -17.75 | 112 |
| 1997-01-27 | 1997-05-29 | -17.16 | 123 |
| 2006-05-15 | 2006-08-21 | -16.06 | 99 |