| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 296.41% | 8,601.65% |
| CAGR﹪ | 3.66% | 12.38% |
| Sharpe | 0.38 | 1.09 |
| Prob. Sharpe Ratio | 97.52% | 100.0% |
| Smart Sharpe | 0.32 | 0.92 |
| Sortino | 0.53 | 1.52 |
| Smart Sortino | 0.45 | 1.27 |
| Sortino/√2 | 0.38 | 1.07 |
| Smart Sortino/√2 | 0.32 | 0.9 |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -57.42% | -47.11% |
| Longest DD Days | 2042 | 1590 |
| Volatility (ann.) | 17.66% | 16.69% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.06 | 0.26 |
| Skew | -0.28 | -0.94 |
| Kurtosis | 7.36 | 12.39 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.43% | 1.41% |
| Expected Yearly | 5.23% | 17.99% |
| Kelly Criterion | -1.39% | 10.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -1.66% |
| Expected Shortfall (cVaR) | -1.8% | -1.66% |
| Max Consecutive Wins | 13 | 12 |
| Max Consecutive Losses | 11 | 10 |
| Gain/Pain Ratio | 0.07 | 0.24 |
| Gain/Pain (1M) | 0.35 | 1.2 |
| Payoff Ratio | 0.82 | 0.96 |
| Profit Factor | 1.07 | 1.24 |
| Common Sense Ratio | 1.02 | 1.28 |
| CPC Index | 0.48 | 0.66 |
| Tail Ratio | 0.95 | 1.03 |
| Outlier Win Ratio | 4.12 | 4.41 |
| Outlier Loss Ratio | 4.1 | 4.68 |
| MTD | -1.57% | 0.94% |
| 3M | 1.06% | 2.16% |
| 6M | 5.75% | 6.69% |
| YTD | 14.23% | -1.33% |
| 1Y | 30.88% | -19.18% |
| 3Y (ann.) | 4.24% | 0.89% |
| 5Y (ann.) | 3.58% | 0.89% |
| 10Y (ann.) | 4.15% | 5.98% |
| All-time (ann.) | 3.66% | 12.38% |
| Best Day | 9.0% | 9.28% |
| Worst Day | -10.59% | -12.33% |
| Best Month | 16.8% | 18.49% |
| Worst Month | -33.13% | -24.31% |
| Best Year | 57.17% | 137.75% |
| Worst Year | -43.44% | -38.48% |
| Avg. Drawdown | -2.75% | -2.2% |
| Avg. Drawdown Days | 51 | 27 |
| Recovery Factor | 3.12 | 10.27 |
| Ulcer Index | 0.17 | 0.15 |
| Serenity Index | 0.37 | 1.25 |
| Avg. Up Month | 2.97% | 3.55% |
| Avg. Down Month | -4.94% | -3.44% |
| Win Days | 54.2% | 56.11% |
| Win Month | 63.84% | 66.98% |
| Win Quarter | 66.04% | 71.7% |
| Win Year | 70.37% | 77.78% |
| Beta | - | -0.09 |
| Alpha | - | 0.19 |
| Correlation | - | -9.41% |
| Treynor Ratio | - | -96743.01% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1995 | 16.93 | 24.40 | 1.44 | + |
| 1996 | 9.01 | 21.83 | 2.42 | + |
| 1997 | 9.48 | 25.45 | 2.68 | + |
| 1998 | 2.87 | 70.52 | 24.59 | + |
| 1999 | 19.94 | 20.24 | 1.01 | + |
| 2000 | 4.72 | 9.04 | 1.92 | + |
| 2001 | -16.07 | 98.41 | -6.13 | + |
| 2002 | -26.96 | 137.75 | -5.11 | + |
| 2003 | 25.32 | -1.30 | -0.05 | - |
| 2004 | 16.11 | 4.51 | 0.28 | - |
| 2005 | 20.53 | 14.33 | 0.70 | - |
| 2006 | 21.36 | 18.05 | 0.85 | - |
| 2007 | -3.79 | 15.37 | -4.05 | + |
| 2008 | -43.44 | 51.77 | -1.19 | + |
| 2009 | 57.17 | -38.48 | -0.67 | - |
| 2010 | 22.18 | 18.79 | 0.85 | - |
| 2011 | -14.57 | 17.97 | -1.23 | + |
| 2012 | 21.09 | 12.02 | 0.57 | - |
| 2013 | 15.37 | 32.04 | 2.08 | + |
| 2014 | 1.58 | 7.97 | 5.05 | + |
| 2015 | -0.29 | 29.61 | -102.67 | + |
| 2016 | 5.79 | -10.92 | -1.89 | - |
| 2017 | 12.18 | 13.46 | 1.11 | + |
| 2018 | -13.25 | -0.51 | 0.04 | + |
| 2019 | 23.68 | 11.42 | 0.48 | - |
| 2020 | -8.30 | -9.77 | 1.18 | - |
| 2021 | 14.23 | -1.33 | -0.09 | - |
| 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 |