| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 72.0% |
| Cumulative Return | 2,964.41% | 824.54% |
| CAGR﹪ | 10.78% | 6.88% |
| Sharpe | 0.64 | 0.43 |
| Prob. Sharpe Ratio | 99.99% | 99.35% |
| Smart Sharpe | 0.61 | 0.41 |
| Sortino | 0.92 | 0.6 |
| Smart Sortino | 0.86 | 0.56 |
| Sortino/√2 | 0.65 | 0.42 |
| Smart Sortino/√2 | 0.61 | 0.4 |
| Omega | 1.13 | 1.1 |
| Max Drawdown | -55.19% | -70.03% |
| Max DD Date | 2009-03-09 | 2009-03-02 |
| Max DD Period Start | 2007-10-10 | 1998-07-21 |
| Max DD Period End | 2012-08-15 | 2019-02-04 |
| Longest DD Days | 2404 | 7504 |
| Volatility (ann.) | 18.56% | 19.95% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.2 | 0.1 |
| Skew | -0.01 | -0.59 |
| Kurtosis | 11.84 | 12.18 |
| Ulcer Performance Index | 205.02 | 23.26 |
| Risk-Adjusted Return | 10.78% | 9.55% |
| Risk-Return Ratio | 0.04 | 0.03 |
| Avg. Return | 0.04% | 0.05% |
| Avg. Win | 0.74% | 0.94% |
| Avg. Loss | -0.79% | -1.03% |
| Win/Loss Ratio | 0.93 | 0.91 |
| Profit Ratio | 0.77 | 0.25 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.85% | 0.55% |
| Expected Yearly | 10.59% | 6.76% |
| Kelly Criterion | 5.61% | 5.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.88% | -2.03% |
| Expected Shortfall (cVaR) | -2.86% | -3.44% |
| Max Consecutive Wins | 14 | 12 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.13 | 0.1 |
| Gain/Pain (1M) | 0.83 | 0.56 |
| Payoff Ratio | 0.93 | 0.91 |
| Profit Factor | 1.13 | 1.1 |
| Common Sense Ratio | 1.06 | 1.08 |
| CPC Index | 0.57 | 0.55 |
| Tail Ratio | 0.94 | 0.98 |
| Outlier Win Ratio | 4.26 | 6.52 |
| Outlier Loss Ratio | 3.95 | 4.07 |
| MTD | -1.05% | -1.05% |
| 3M | 4.57% | 11.73% |
| 6M | 7.78% | 22.29% |
| YTD | 8.94% | 24.83% |
| 1Y | 17.8% | 33.74% |
| 3Y (ann.) | 20.83% | 30.18% |
| 5Y (ann.) | 12.34% | 11.44% |
| 10Y (ann.) | 14.89% | 18.21% |
| All-time (ann.) | 10.78% | 6.88% |
| Best Day | 14.52% | 11.62% |
| Worst Day | -10.94% | -14.27% |
| Best Month | 12.7% | 16.32% |
| Worst Month | -16.52% | -27.12% |
| Best Year | 38.05% | 57.85% |
| Worst Year | -36.79% | -28.84% |
| Avg. Drawdown | -1.88% | -2.53% |
| Avg. Drawdown Days | 25 | 68 |
| Recovery Factor | 7.25 | 4.13 |
| Ulcer Index | 0.14 | 0.35 |
| Serenity Index | 0.87 | 0.16 |
| Avg. Up Month | 3.34% | 4.06% |
| Avg. Down Month | -3.63% | -4.84% |
| Win Days | 54.48% | 54.7% |
| Win Month | 65.17% | 63.08% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 70.59% |
| Beta | - | 0.81 |
| Alpha | - | -0.01 |
| Correlation | - | 75.61% |
| Treynor Ratio | - | 1014.63% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.18 | 1.17 | + |
| 1994 | 0.40 | 12.49 | 31.45 | + |
| 1995 | 38.05 | 35.11 | 0.92 | - |
| 1996 | 22.50 | 10.89 | 0.48 | - |
| 1997 | 33.48 | 33.73 | 1.01 | + |
| 1998 | 28.69 | -5.58 | -0.19 | - |
| 1999 | 20.39 | 2.68 | 0.13 | - |
| 2000 | -9.74 | -20.12 | 2.07 | - |
| 2001 | -11.76 | -14.67 | 1.25 | - |
| 2002 | -21.58 | -25.37 | 1.18 | - |
| 2003 | 28.18 | 15.27 | 0.54 | - |
| 2004 | 10.70 | 14.00 | 1.31 | + |
| 2005 | 4.83 | 8.81 | 1.82 | + |
| 2006 | 15.85 | 10.95 | 0.69 | - |
| 2007 | 5.15 | 3.60 | 0.70 | - |
| 2008 | -36.79 | -25.00 | 0.68 | + |
| 2009 | 26.35 | -11.72 | -0.44 | - |
| 2010 | 15.06 | -1.82 | -0.12 | - |
| 2011 | 1.89 | -5.48 | -2.89 | - |
| 2012 | 15.99 | 5.46 | 0.34 | - |
| 2013 | 32.31 | 30.92 | 0.96 | - |
| 2014 | 13.46 | 11.08 | 0.82 | - |
| 2015 | 1.23 | -4.17 | -3.38 | - |
| 2016 | 12.00 | 1.47 | 0.12 | - |
| 2017 | 21.71 | 21.01 | 0.97 | - |
| 2018 | -4.57 | 15.05 | -3.29 | + |
| 2019 | 31.22 | 13.06 | 0.42 | - |
| 2020 | 18.33 | 57.85 | 3.16 | + |
| 2021 | 28.73 | 20.71 | 0.72 | - |
| 2022 | -18.18 | -28.84 | 1.59 | - |
| 2023 | 26.18 | 22.68 | 0.87 | - |
| 2024 | 24.89 | 18.77 | 0.75 | - |
| 2025 | 17.72 | 29.16 | 1.65 | + |
| 2026 | 8.94 | 24.83 | 2.78 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-07-21 | 2019-02-04 | -70.03 | 7504 |
| 2022-01-04 | 2024-05-14 | -32.07 | 862 |
| 2019-05-01 | 2020-05-07 | -20.07 | 373 |
| 2025-01-24 | 2025-05-09 | -14.67 | 106 |
| 1997-08-07 | 1998-01-30 | -14.41 | 177 |
| 2024-07-17 | 2024-08-16 | -14.09 | 31 |
| 1996-02-13 | 1997-01-06 | -12.35 | 329 |
| 2020-09-03 | 2020-11-06 | -9.44 | 65 |
| 1997-02-19 | 1997-05-01 | -9.07 | 72 |
| 2021-05-10 | 2021-07-01 | -7.82 | 53 |