| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 100.0% |
| Cumulative Return | 8,601.65% |
| CAGR﹪ | 12.38% |
| Sharpe | 1.09 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 0.92 |
| Sortino | 1.52 |
| Smart Sortino | 1.27 |
| Sortino/√2 | 1.07 |
| Smart Sortino/√2 | 0.9 |
| Omega | 1.24 |
| Max Drawdown | -47.11% |
| Longest DD Days | 1590 |
| Volatility (ann.) | 16.69% |
| Calmar | 0.26 |
| Skew | -0.94 |
| Kurtosis | 12.39 |
| Expected Daily | 0.07% |
| Expected Monthly | 1.41% |
| Expected Yearly | 17.99% |
| Kelly Criterion | 10.75% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.66% |
| Expected Shortfall (cVaR) | -1.66% |
| Max Consecutive Wins | 12 |
| Max Consecutive Losses | 10 |
| Gain/Pain Ratio | 0.24 |
| Gain/Pain (1M) | 1.2 |
| Payoff Ratio | 0.97 |
| Profit Factor | 1.24 |
| Common Sense Ratio | 1.28 |
| CPC Index | 0.67 |
| Tail Ratio | 1.03 |
| Outlier Win Ratio | 4.29 |
| Outlier Loss Ratio | 4.63 |
| MTD | 0.94% |
| 3M | 2.16% |
| 6M | 6.69% |
| YTD | -1.33% |
| 1Y | -19.18% |
| 3Y (ann.) | 0.89% |
| 5Y (ann.) | 0.89% |
| 10Y (ann.) | 5.98% |
| All-time (ann.) | 12.38% |
| Best Day | 9.28% |
| Worst Day | -12.33% |
| Best Month | 18.49% |
| Worst Month | -24.31% |
| Best Year | 137.75% |
| Worst Year | -38.48% |
| Avg. Drawdown | -2.2% |
| Avg. Drawdown Days | 27 |
| Recovery Factor | 10.27 |
| Ulcer Index | 0.15 |
| Serenity Index | 1.25 |
| Avg. Up Month | 4.25% |
| Avg. Down Month | -3.86% |
| Win Days | 56.11% |
| Win Month | 66.98% |
| Win Quarter | 71.7% |
| Win Year | 77.78% |
| Year | Return | Cumulative |
|---|---|---|
| 1995 | 22.42% | 24.4% |
| 1996 | 19.95% | 21.83% |
| 1997 | 22.96% | 25.45% |
| 1998 | 54.06% | 70.52% |
| 1999 | 19.35% | 20.24% |
| 2000 | 12.4% | 9.04% |
| 2001 | 71.36% | 98.41% |
| 2002 | 88.29% | 137.75% |
| 2003 | -0.17% | -1.3% |
| 2004 | 4.78% | 4.51% |
| 2005 | 13.6% | 14.33% |
| 2006 | 17.19% | 18.05% |
| 2007 | 14.72% | 15.37% |
| 2008 | 46.49% | 51.77% |
| 2009 | -43.63% | -38.48% |
| 2010 | 18.06% | 18.79% |
| 2011 | 17.48% | 17.97% |
| 2012 | 12.2% | 12.02% |
| 2013 | 28.24% | 32.04% |
| 2014 | 8.2% | 7.97% |
| 2015 | 26.96% | 29.61% |
| 2016 | -10.02% | -10.92% |
| 2017 | 13.04% | 13.46% |
| 2018 | -0.08% | -0.51% |
| 2019 | 11.27% | 11.42% |
| 2020 | -4.75% | -9.77% |
| 2021 | -0.49% | -1.33% |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-02-05 | 2013-06-13 | -47.11 | 1590 |
| 2000-09-21 | 2001-04-02 | -32.31 | 194 |
| 2020-10-06 | 2021-09-23 | -31.09 | 353 |
| 2020-02-28 | 2020-07-14 | -31.04 | 138 |
| 2001-10-09 | 2002-02-04 | -25.99 | 119 |
| 2008-07-14 | 2008-12-16 | -25.78 | 156 |
| 2003-04-07 | 2005-09-12 | -22.87 | 890 |
| 2000-03-21 | 2000-09-06 | -20.54 | 170 |
| 1999-02-02 | 1999-11-24 | -19.46 | 296 |
| 2016-01-18 | 2018-02-26 | -19.25 | 771 |