| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 3,475.23% |
| CAGR﹪ | 9.79% |
| Sharpe | 0.8 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.73 |
| Sortino | 1.18 |
| Smart Sortino | 1.07 |
| Sortino/√2 | 0.83 |
| Smart Sortino/√2 | 0.76 |
| Omega | 1.16 |
| Max Drawdown | -38.54% |
| Longest DD Days | 789 |
| Volatility (ann.) | 19.58% |
| Calmar | 0.25 |
| Skew | -0.02 |
| Kurtosis | 4.21 |
| Expected Daily | 0.05% |
| Expected Monthly | 1.13% |
| Expected Yearly | 13.63% |
| Kelly Criterion | 7.21% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.97% |
| Expected Shortfall (cVaR) | -1.97% |
| Max Consecutive Wins | 11 |
| Max Consecutive Losses | 11 |
| Gain/Pain Ratio | 0.16 |
| Gain/Pain (1M) | 0.95 |
| Payoff Ratio | 1.01 |
| Profit Factor | 1.16 |
| Common Sense Ratio | 1.21 |
| CPC Index | 0.62 |
| Tail Ratio | 1.05 |
| Outlier Win Ratio | 4.2 |
| Outlier Loss Ratio | 4.05 |
| MTD | 5.02% |
| 3M | 5.3% |
| 6M | 10.24% |
| YTD | 5.28% |
| 1Y | -6.54% |
| 3Y (ann.) | 2.0% |
| 5Y (ann.) | 1.65% |
| 10Y (ann.) | 6.99% |
| All-time (ann.) | 9.79% |
| Best Day | 8.54% |
| Worst Day | -8.72% |
| Best Month | 32.89% |
| Worst Month | -21.7% |
| Best Year | 59.67% |
| Worst Year | -20.99% |
| Avg. Drawdown | -2.69% |
| Avg. Drawdown Days | 32 |
| Recovery Factor | 10.57 |
| Ulcer Index | 0.12 |
| Serenity Index | 1.9 |
| Avg. Up Month | 4.24% |
| Avg. Down Month | -3.62% |
| Win Days | 53.41% |
| Win Month | 62.26% |
| Win Quarter | 68.87% |
| Win Year | 71.43% |
| Year | Return | Cumulative |
|---|---|---|
| 1995 | -0.73% | -0.88% |
| 1996 | 47.55% | 59.37% |
| 1997 | -0.18% | -3.03% |
| 1998 | -19.17% | -20.99% |
| 1999 | 3.83% | 0.71% |
| 2000 | 4.58% | -0.42% |
| 2001 | 49.66% | 59.67% |
| 2002 | 25.4% | 27.11% |
| 2003 | 32.06% | 35.84% |
| 2004 | 1.63% | -1.05% |
| 2005 | 25.02% | 27.77% |
| 2006 | 46.26% | 56.96% |
| 2007 | 43.11% | 50.45% |
| 2008 | 24.59% | 21.91% |
| 2009 | 21.42% | 19.89% |
| 2010 | -4.05% | -5.07% |
| 2011 | 2.85% | 0.82% |
| 2012 | 12.63% | 12.67% |
| 2013 | 24.68% | 27.19% |
| 2014 | 9.6% | 9.22% |
| 2015 | 24.07% | 26.0% |
| 2016 | 7.17% | 7.02% |
| 2017 | 12.77% | 13.27% |
| 2018 | 1.44% | 0.83% |
| 2019 | -1.1% | -1.63% |
| 2020 | 19.73% | 19.82% |
| 2021 | -13.26% | -14.46% |
| 2022 | 5.75% | 5.28% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-06 | 2001-09-14 | -38.54 | 527 |
| 1998-07-31 | 2000-04-03 | -34.42 | 613 |
| 2021-02-17 | 2022-03-23 | -31.12 | 400 |
| 2009-03-19 | 2011-05-16 | -30.97 | 789 |
| 2004-03-16 | 2005-09-21 | -28.03 | 555 |
| 1997-01-13 | 1998-06-23 | -24.34 | 527 |
| 2011-06-09 | 2012-11-27 | -23.61 | 538 |
| 2008-02-22 | 2008-11-04 | -19.77 | 257 |
| 2008-01-11 | 2008-02-11 | -14.98 | 32 |
| 2002-10-10 | 2003-02-26 | -13.88 | 140 |