| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 3,320.08% | 484.41% |
| CAGR﹪ | 15.33% | 7.39% |
| Sharpe | 1.14 | 0.47 |
| Smart Sharpe | 1.12 | 0.46 |
| Sortino | 1.63 | 0.67 |
| Smart Sortino | 1.6 | 0.66 |
| Sortino/√2 | 1.15 | 0.47 |
| Smart Sortino/√2 | 1.13 | 0.46 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -26.12% | -55.19% |
| Longest DD Days | 1156 | 2404 |
| Volatility (ann.) | 13.7% | 19.8% |
| R^2 | 0.18 | 0.18 |
| Calmar | 0.59 | 0.13 |
| Skew | -0.37 | 0.06 |
| Kurtosis | 5.63 | 10.8 |
| Expected Daily % | 0.06% | 0.03% |
| Expected Monthly % | 1.19% | 0.59% |
| Expected Yearly % | 15.18% | 7.32% |
| Kelly Criterion | 7.94% | 1.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.36% | -2.01% |
| Expected Shortfall (cVaR) | -1.36% | -2.01% |
| Gain/Pain Ratio | 0.23 | 0.09 |
| Gain/Pain (1M) | 1.44 | 0.54 |
| Payoff Ratio | 0.92 | 0.86 |
| Profit Factor | 1.23 | 1.09 |
| Common Sense Ratio | 1.22 | 0.99 |
| CPC Index | 0.63 | 0.51 |
| Tail Ratio | 0.99 | 0.9 |
| Outlier Win Ratio | 4.8 | 3.57 |
| Outlier Loss Ratio | 5.01 | 3.48 |
| MTD | -0.1% | -7.14% |
| 3M | -0.49% | -3.44% |
| 6M | -0.98% | -18.37% |
| YTD | -3.47% | -21.92% |
| 1Y | -6.93% | -14.3% |
| 3Y (ann.) | 20.45% | 9.82% |
| 5Y (ann.) | 11.46% | 9.58% |
| 10Y (ann.) | 9.27% | 11.72% |
| All-time (ann.) | 15.33% | 7.39% |
| Best Day | 6.8% | 14.52% |
| Worst Day | -6.89% | -10.94% |
| Best Month | 16.1% | 12.7% |
| Worst Month | -8.87% | -16.52% |
| Best Year | 73.51% | 32.31% |
| Worst Year | -8.0% | -36.8% |
| Avg. Drawdown | -2.29% | -2.07% |
| Avg. Drawdown Days | 30 | 30 |
| Recovery Factor | 127.11 | 8.78 |
| Ulcer Index | 0.09 | 0.17 |
| Serenity Index | 19.2 | 1.17 |
| Avg. Up Month | 3.74% | 3.4% |
| Avg. Down Month | -3.3% | -4.5% |
| Win Days % | 55.81% | 54.36% |
| Win Month % | 65.44% | 62.75% |
| Win Quarter % | 61.0% | 70.0% |
| Win Year % | 80.0% | 76.0% |
| Beta | 0.29 | - |
| Alpha | 0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1998 | 28.03 | 21.77 | 0.78 | - |
| 1999 | 20.39 | 73.51 | 3.61 | + |
| 2000 | -9.74 | 2.19 | -0.22 | + |
| 2001 | -11.76 | 1.32 | -0.11 | + |
| 2002 | -21.58 | 11.49 | -0.53 | + |
| 2003 | 28.18 | 40.62 | 1.44 | + |
| 2004 | 10.70 | 14.65 | 1.37 | + |
| 2005 | 4.83 | 9.76 | 2.02 | + |
| 2006 | 15.85 | 23.98 | 1.51 | + |
| 2007 | 5.15 | 23.84 | 4.63 | + |
| 2008 | -36.80 | -8.00 | 0.22 | + |
| 2009 | 26.35 | 61.68 | 2.34 | + |
| 2010 | 15.06 | 28.55 | 1.90 | + |
| 2011 | 1.89 | 1.27 | 0.67 | - |
| 2012 | 15.99 | 12.32 | 0.77 | - |
| 2013 | 32.31 | 13.96 | 0.43 | - |
| 2014 | 13.46 | 14.55 | 1.08 | + |
| 2015 | 1.23 | -4.86 | -3.94 | - |
| 2016 | 12.00 | -0.17 | -0.01 | - |
| 2017 | 21.71 | 15.29 | 0.70 | - |
| 2018 | -4.57 | -5.69 | 1.25 | - |
| 2019 | 31.22 | 10.17 | 0.33 | - |
| 2020 | 18.33 | 49.16 | 2.68 | + |
| 2021 | 28.73 | 10.97 | 0.38 | - |
| 2022 | -21.92 | -3.47 | 0.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-03-13 | 2003-05-13 | -26.12 | 1156 |
| 2015-03-23 | 2017-11-22 | -21.25 | 975 |
| 2007-11-01 | 2009-05-06 | -19.21 | 552 |
| 2011-05-03 | 2012-02-02 | -16.02 | 275 |
| 2021-09-07 | 2022-10-03 | -15.98 | 391 |
| 2010-04-30 | 2010-09-13 | -13.47 | 136 |
| 2007-07-24 | 2007-10-12 | -13.35 | 80 |
| 2006-05-11 | 2006-10-25 | -13.18 | 167 |
| 2004-04-02 | 2004-11-11 | -13.18 | 223 |
| 2018-01-29 | 2020-05-08 | -12.67 | 830 |