| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 97.0% |
| Cumulative Return | 134.56% | 16,340.08% |
| CAGR﹪ | 1.92% | 12.07% |
| Sharpe | 0.24 | 1.38 |
| Prob. Sharpe Ratio | 90.68% | 100.0% |
| Smart Sharpe | 0.19 | 1.11 |
| Sortino | 0.34 | 2.01 |
| Smart Sortino | 0.27 | 1.62 |
| Sortino/√2 | 0.24 | 1.42 |
| Smart Sortino/√2 | 0.19 | 1.15 |
| Omega | 1.31 | 1.31 |
| Max Drawdown | -62.63% | -43.38% |
| Longest DD Days | 5336 | 4588 |
| Volatility (ann.) | 20.37% | 12.88% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.03 | 0.28 |
| Skew | -0.1 | -0.39 |
| Kurtosis | 7.38 | 12.86 |
| Expected Daily | 0.01% | 0.07% |
| Expected Monthly | 0.23% | 1.38% |
| Expected Yearly | 2.7% | 17.29% |
| Kelly Criterion | -1.62% | 16.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.09% | -1.26% |
| Expected Shortfall (cVaR) | -2.09% | -1.26% |
| Max Consecutive Wins | 15 | 24 |
| Max Consecutive Losses | 10 | 12 |
| Gain/Pain Ratio | 0.04 | 0.31 |
| Gain/Pain (1M) | 0.19 | 1.67 |
| Payoff Ratio | 0.91 | 1.06 |
| Profit Factor | 1.04 | 1.31 |
| Common Sense Ratio | 1.02 | 1.41 |
| CPC Index | 0.49 | 0.79 |
| Tail Ratio | 0.98 | 1.08 |
| Outlier Win Ratio | 3.26 | 5.46 |
| Outlier Loss Ratio | 3.16 | 5.31 |
| MTD | 7.11% | 4.36% |
| 3M | 5.57% | 1.79% |
| 6M | 6.26% | 4.85% |
| YTD | 20.84% | -5.18% |
| 1Y | 26.58% | -7.86% |
| 3Y (ann.) | 6.3% | -5.83% |
| 5Y (ann.) | 7.52% | -3.98% |
| 10Y (ann.) | 9.46% | -1.14% |
| All-time (ann.) | 1.92% | 12.07% |
| Best Day | 14.36% | 8.67% |
| Worst Day | -11.55% | -9.04% |
| Best Month | 22.61% | 24.44% |
| Worst Month | -37.7% | -17.52% |
| Best Year | 50.61% | 131.15% |
| Worst Year | -40.14% | -22.51% |
| Avg. Drawdown | -4.13% | -1.52% |
| Avg. Drawdown Days | 148 | 27 |
| Recovery Factor | 2.36 | 12.34 |
| Ulcer Index | 0.3 | 0.14 |
| Serenity Index | 0.12 | 1.26 |
| Avg. Up Month | 4.57% | 3.15% |
| Avg. Down Month | -5.23% | -2.2% |
| Win Days | 51.49% | 56.88% |
| Win Month | 54.67% | 65.65% |
| Win Quarter | 56.56% | 69.42% |
| Win Year | 53.12% | 68.75% |
| Beta | - | 0.08 |
| Alpha | - | 0.17 |
| Correlation | - | 12.18% |
| Treynor Ratio | - | 212142.3% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1990 | -8.23 | -11.60 | 1.41 | - |
| 1991 | -4.20 | 64.63 | -15.40 | + |
| 1992 | -17.55 | 67.87 | -3.87 | + |
| 1993 | 3.86 | 43.33 | 11.21 | + |
| 1994 | 13.99 | 52.13 | 3.73 | + |
| 1995 | -0.58 | 49.91 | -85.95 | + |
| 1996 | -5.32 | -2.79 | 0.52 | + |
| 1997 | -37.33 | 131.15 | -3.51 | + |
| 1998 | 9.68 | 59.69 | 6.16 | + |
| 1999 | 24.95 | 72.65 | 2.91 | + |
| 2000 | -3.18 | 2.34 | -0.74 | + |
| 2001 | -13.89 | 19.99 | -1.44 | + |
| 2002 | -13.11 | 25.22 | -1.92 | + |
| 2003 | 33.28 | 5.02 | 0.15 | - |
| 2004 | 18.72 | 10.22 | 0.55 | - |
| 2005 | 48.02 | 35.30 | 0.74 | - |
| 2006 | -7.82 | 24.88 | -3.18 | + |
| 2007 | -13.09 | 18.29 | -1.40 | + |
| 2008 | -40.14 | 37.57 | -0.94 | + |
| 2009 | 22.45 | -22.51 | -1.00 | - |
| 2010 | 2.86 | 3.78 | 1.32 | + |
| 2011 | -11.11 | 8.85 | -0.80 | + |
| 2012 | 14.42 | 5.17 | 0.36 | - |
| 2013 | 50.61 | 6.60 | 0.13 | - |
| 2014 | 18.97 | -4.18 | -0.22 | - |
| 2015 | 13.16 | -4.27 | -0.32 | - |
| 2016 | 8.24 | -4.96 | -0.60 | - |
| 2017 | 22.20 | 7.49 | 0.34 | - |
| 2018 | -17.10 | -7.33 | 0.43 | + |
| 2019 | 21.15 | -11.67 | -0.55 | - |
| 2020 | -0.36 | -4.87 | 13.61 | - |
| 2021 | 20.84 | -5.18 | -0.25 | - |
| 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 |