| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | 134.56% | 1,493.73% |
| CAGR﹪ | 1.92% | 6.38% |
| Sharpe | 0.24 | 0.54 |
| Prob. Sharpe Ratio | 90.68% | 99.83% |
| Smart Sharpe | 0.23 | 0.51 |
| Sortino | 0.34 | 0.77 |
| Smart Sortino | 0.32 | 0.72 |
| Sortino/√2 | 0.24 | 0.54 |
| Smart Sortino/√2 | 0.23 | 0.51 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -62.63% | -58.65% |
| Longest DD Days | 5336 | 2597 |
| Volatility (ann.) | 20.37% | 21.44% |
| R^2 | 0.94 | 0.94 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.03 | 0.11 |
| Skew | -0.1 | -0.03 |
| Kurtosis | 7.38 | 8.85 |
| Expected Daily | 0.01% | 0.04% |
| Expected Monthly | 0.23% | 0.75% |
| Expected Yearly | 2.7% | 9.04% |
| Kelly Criterion | 1.05% | 5.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.09% | -2.18% |
| Expected Shortfall (cVaR) | -2.09% | -2.18% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 10 | 10 |
| Gain/Pain Ratio | 0.04 | 0.1 |
| Gain/Pain (1M) | 0.19 | 0.51 |
| Payoff Ratio | 0.96 | 1.01 |
| Profit Factor | 1.04 | 1.1 |
| Common Sense Ratio | 1.02 | 1.12 |
| CPC Index | 0.52 | 0.59 |
| Tail Ratio | 0.98 | 1.01 |
| Outlier Win Ratio | 3.94 | 3.8 |
| Outlier Loss Ratio | 3.98 | 3.85 |
| MTD | 7.11% | 9.09% |
| 3M | 5.57% | 6.99% |
| 6M | 6.26% | 9.44% |
| YTD | 20.84% | 20.34% |
| 1Y | 26.58% | 25.2% |
| 3Y (ann.) | 6.3% | 4.8% |
| 5Y (ann.) | 7.52% | 6.45% |
| 10Y (ann.) | 9.46% | 9.39% |
| All-time (ann.) | 1.92% | 6.38% |
| Best Day | 14.36% | 15.84% |
| Worst Day | -11.55% | -12.26% |
| Best Month | 22.61% | 21.73% |
| Worst Month | -37.7% | -38.46% |
| Best Year | 50.61% | 65.46% |
| Worst Year | -40.14% | -33.65% |
| Avg. Drawdown | -4.13% | -3.26% |
| Avg. Drawdown Days | 148 | 47 |
| Recovery Factor | 2.36 | 5.9 |
| Ulcer Index | 0.3 | 0.19 |
| Serenity Index | 0.12 | 0.7 |
| Avg. Up Month | 4.69% | 5.26% |
| Avg. Down Month | -5.08% | -4.66% |
| Win Days | 51.49% | 52.45% |
| Win Month | 54.67% | 58.17% |
| Win Quarter | 56.56% | 65.29% |
| Win Year | 53.12% | 62.5% |
| Beta | - | 1.02 |
| Alpha | - | 0.06 |
| Correlation | - | 97.17% |
| Treynor Ratio | - | 1460.08% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1990 | -8.23 | -10.20 | 1.24 | - |
| 1991 | -4.20 | 15.25 | -3.63 | + |
| 1992 | -17.55 | 1.10 | -0.06 | + |
| 1993 | 3.86 | 18.67 | 4.83 | + |
| 1994 | 13.99 | 31.61 | 2.26 | + |
| 1995 | -0.58 | 15.25 | -26.25 | + |
| 1996 | -5.32 | -0.54 | 0.10 | + |
| 1997 | -37.33 | -18.25 | 0.49 | + |
| 1998 | 9.68 | 28.74 | 2.97 | + |
| 1999 | 24.95 | 55.15 | 2.21 | + |
| 2000 | -3.18 | -1.54 | 0.49 | + |
| 2001 | -13.89 | -7.49 | 0.54 | + |
| 2002 | -13.11 | -5.42 | 0.41 | + |
| 2003 | 33.28 | 34.18 | 1.03 | + |
| 2004 | 18.72 | 22.57 | 1.21 | + |
| 2005 | 48.02 | 65.46 | 1.36 | + |
| 2006 | -7.82 | -2.63 | 0.34 | + |
| 2007 | -13.09 | -8.23 | 0.63 | + |
| 2008 | -40.14 | -33.65 | 0.84 | + |
| 2009 | 22.45 | 11.22 | 0.50 | - |
| 2010 | 2.86 | 4.27 | 1.49 | + |
| 2011 | -11.11 | -8.88 | 0.80 | + |
| 2012 | 14.42 | 17.07 | 1.18 | + |
| 2013 | 50.61 | 55.78 | 1.10 | + |
| 2014 | 18.97 | 16.73 | 0.88 | - |
| 2015 | 13.16 | 11.69 | 0.89 | - |
| 2016 | 8.24 | 6.32 | 0.77 | - |
| 2017 | 22.20 | 24.52 | 1.10 | + |
| 2018 | -17.10 | -18.31 | 1.07 | - |
| 2019 | 21.15 | 17.02 | 0.80 | - |
| 2020 | -0.36 | -2.00 | 5.59 | - |
| 2021 | 20.84 | 20.34 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2006-04-14 | 2013-05-23 | -58.65 | 2597 |
| 2018-01-30 | 2021-03-19 | -41.37 | 1145 |
| 1991-10-31 | 1993-04-01 | -33.28 | 519 |
| 2000-07-11 | 2003-10-07 | -30.51 | 1184 |
| 1997-08-04 | 1999-03-10 | -29.49 | 584 |
| 2015-07-01 | 2017-01-10 | -27.23 | 560 |
| 1994-08-25 | 1995-09-19 | -24.88 | 391 |
| 1993-09-10 | 1994-02-03 | -21.91 | 147 |
| 1990-11-06 | 1991-02-21 | -19.18 | 108 |
| 2013-05-27 | 2013-09-25 | -17.53 | 122 |