| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 97.0% |
| Cumulative Return | 16,340.08% |
| CAGR﹪ | 12.07% |
| Sharpe | 1.38 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.11 |
| Sortino | 2.01 |
| Smart Sortino | 1.62 |
| Sortino/√2 | 1.42 |
| Smart Sortino/√2 | 1.15 |
| Omega | 1.31 |
| Max Drawdown | -43.38% |
| Longest DD Days | 4588 |
| Volatility (ann.) | 12.88% |
| Calmar | 0.28 |
| Skew | -0.39 |
| Kurtosis | 12.86 |
| Expected Daily | 0.07% |
| Expected Monthly | 1.38% |
| Expected Yearly | 17.29% |
| Kelly Criterion | 13.37% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.26% |
| Expected Shortfall (cVaR) | -1.26% |
| Max Consecutive Wins | 24 |
| Max Consecutive Losses | 12 |
| Gain/Pain Ratio | 0.31 |
| Gain/Pain (1M) | 1.67 |
| Payoff Ratio | 0.99 |
| Profit Factor | 1.31 |
| Common Sense Ratio | 1.41 |
| CPC Index | 0.74 |
| Tail Ratio | 1.08 |
| Outlier Win Ratio | 4.54 |
| Outlier Loss Ratio | 4.14 |
| MTD | 4.36% |
| 3M | 1.79% |
| 6M | 4.85% |
| YTD | -5.18% |
| 1Y | -7.86% |
| 3Y (ann.) | -5.83% |
| 5Y (ann.) | -3.98% |
| 10Y (ann.) | -1.14% |
| All-time (ann.) | 12.07% |
| Best Day | 8.67% |
| Worst Day | -9.04% |
| Best Month | 24.44% |
| Worst Month | -17.52% |
| Best Year | 131.15% |
| Worst Year | -22.51% |
| Avg. Drawdown | -1.52% |
| Avg. Drawdown Days | 27 |
| Recovery Factor | 12.34 |
| Ulcer Index | 0.14 |
| Serenity Index | 1.26 |
| Avg. Up Month | 3.66% |
| Avg. Down Month | -2.61% |
| Win Days | 56.88% |
| Win Month | 65.65% |
| Win Quarter | 69.42% |
| Win Year | 68.75% |
| Year | Return | Cumulative |
|---|---|---|
| 1990 | -11.61% | -11.6% |
| 1991 | 50.28% | 64.63% |
| 1992 | 52.4% | 67.87% |
| 1993 | 36.33% | 43.33% |
| 1994 | 42.13% | 52.13% |
| 1995 | 41.06% | 49.91% |
| 1996 | -2.81% | -2.79% |
| 1997 | 84.84% | 131.15% |
| 1998 | 48.93% | 59.69% |
| 1999 | 55.26% | 72.65% |
| 2000 | 5.21% | 2.34% |
| 2001 | 19.73% | 19.99% |
| 2002 | 23.37% | 25.22% |
| 2003 | 5.93% | 5.02% |
| 2004 | 10.41% | 10.22% |
| 2005 | 30.43% | 35.3% |
| 2006 | 23.1% | 24.88% |
| 2007 | 17.6% | 18.29% |
| 2008 | 33.13% | 37.57% |
| 2009 | -23.43% | -22.51% |
| 2010 | 4.11% | 3.78% |
| 2011 | 9.24% | 8.85% |
| 2012 | 5.42% | 5.17% |
| 2013 | 6.94% | 6.6% |
| 2014 | -3.97% | -4.18% |
| 2015 | -4.13% | -4.27% |
| 2016 | -4.41% | -4.96% |
| 2017 | 7.5% | 7.49% |
| 2018 | -7.27% | -7.33% |
| 2019 | -12.17% | -11.67% |
| 2020 | -3.29% | -4.87% |
| 2021 | -4.88% | -5.18% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-03-02 | 2021-09-22 | -43.38 | 4588 |
| 2000-03-06 | 2001-07-03 | -24.48 | 485 |
| 1998-01-22 | 1998-04-13 | -22.82 | 82 |
| 2003-05-09 | 2005-01-07 | -21.42 | 610 |
| 2001-10-09 | 2002-07-04 | -18.48 | 269 |
| 1990-11-20 | 1991-05-24 | -17.39 | 186 |
| 2007-10-05 | 2008-07-31 | -14.48 | 301 |
| 2008-12-15 | 2009-02-20 | -13.75 | 68 |
| 1995-01-20 | 1995-03-31 | -10.13 | 71 |
| 1999-03-12 | 1999-05-20 | -9.56 | 70 |