| Metric | benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 221.70% |
| CAGR﹪ | 10.78% | 3.56% |
| Sharpe | 0.64 | 0.27 |
| Prob. Sharpe Ratio | 99.99% | 93.75% |
| Smart Sharpe | 0.6 | 0.25 |
| Sortino | 0.92 | 0.38 |
| Smart Sortino | 0.85 | 0.35 |
| Sortino/√2 | 0.65 | 0.27 |
| Smart Sortino/√2 | 0.6 | 0.25 |
| Omega | 1.13 | 1.05 |
| Max Drawdown | -55.19% | -75.79% |
| Max DD Date | 2009-03-09 | 2016-01-20 |
| Max DD Period Start | 2007-10-10 | 1999-07-19 |
| Max DD Period End | 2012-08-15 | 2026-03-26 |
| Longest DD Days | 2404 | 9748 |
| Volatility (ann.) | 18.56% | 24.08% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.2 | 0.05 |
| Skew | -0.01 | -0.27 |
| Kurtosis | 11.84 | 13.63 |
| Ulcer Performance Index | 205.02 | 4.93 |
| Risk-Adjusted Return | 10.78% | 3.56% |
| Risk-Return Ratio | 0.04 | 0.02 |
| Avg. Return | 0.05% | 0.03% |
| Avg. Win | 0.76% | 1.05% |
| Avg. Loss | -0.82% | -1.11% |
| Win/Loss Ratio | 0.93 | 0.94 |
| Profit Ratio | 0.77 | 0.91 |
| Expected Daily | 0.04% | 0.01% |
| Expected Monthly | 0.85% | 0.29% |
| Expected Yearly | 10.59% | 3.5% |
| Kelly Criterion | 5.76% | -0.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.88% | -2.47% |
| Expected Shortfall (cVaR) | -2.86% | -4.09% |
| Max Consecutive Wins | 14 | 11 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.13 | 0.05 |
| Gain/Pain (1M) | 0.83 | 0.29 |
| Payoff Ratio | 0.93 | 0.94 |
| Profit Factor | 1.13 | 1.05 |
| Common Sense Ratio | 1.06 | 1.08 |
| CPC Index | 0.58 | 0.51 |
| Tail Ratio | 0.94 | 1.03 |
| Outlier Win Ratio | 4.26 | 4.6 |
| Outlier Loss Ratio | 3.95 | 4.62 |
| MTD | -1.05% | -1.05% |
| 3M | 4.57% | 4.57% |
| 6M | 7.78% | 22.07% |
| YTD | 8.94% | 23.38% |
| 1Y | 17.8% | 18.1% |
| 3Y (ann.) | 20.83% | 30.31% |
| 5Y (ann.) | 12.34% | 19.36% |
| 10Y (ann.) | 14.89% | 15.13% |
| All-time (ann.) | 10.78% | 3.56% |
| Best Day | 14.52% | 13.86% |
| Worst Day | -10.94% | -17.72% |
| Best Month | 12.7% | 25.34% |
| Worst Month | -16.52% | -19.75% |
| Best Year | 38.05% | 62.12% |
| Worst Year | -36.79% | -29.43% |
| Avg. Drawdown | -1.88% | -3.94% |
| Avg. Drawdown Days | 25 | 148 |
| Recovery Factor | 7.25 | 2.83 |
| Ulcer Index | 0.14 | 0.45 |
| Serenity Index | 0.87 | 0.09 |
| Avg. Up Month | 3.5% | 4.64% |
| Avg. Down Month | -3.34% | -4.56% |
| Win Days | 54.48% | 51.42% |
| Win Month | 65.17% | 51.99% |
| Win Quarter | 73.33% | 54.81% |
| Win Year | 82.35% | 52.94% |
| Beta | - | 0.43 |
| Alpha | - | 0.01 |
| Correlation | - | 33.33% |
| Treynor Ratio | - | 512.83% |
| Year | benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | -4.54 | -0.52 | - |
| 1994 | 0.40 | -14.69 | -36.98 | - |
| 1995 | 38.05 | 32.60 | 0.86 | - |
| 1996 | 22.50 | 21.44 | 0.95 | - |
| 1997 | 33.48 | 40.63 | 1.21 | + |
| 1998 | 28.69 | 31.21 | 1.09 | + |
| 1999 | 20.39 | 9.78 | 0.48 | - |
| 2000 | -9.74 | -29.43 | 3.02 | - |
| 2001 | -11.76 | -11.28 | 0.96 | + |
| 2002 | -21.58 | -10.63 | 0.49 | + |
| 2003 | 28.18 | 12.88 | 0.46 | - |
| 2004 | 10.70 | 22.73 | 2.12 | + |
| 2005 | 4.83 | 15.89 | 3.29 | + |
| 2006 | 15.85 | -1.35 | -0.09 | - |
| 2007 | 5.15 | -11.09 | -2.15 | - |
| 2008 | -36.79 | -18.87 | 0.51 | + |
| 2009 | 26.35 | -13.11 | -0.50 | - |
| 2010 | 15.06 | -13.43 | -0.89 | - |
| 2011 | 1.89 | -12.41 | -6.55 | - |
| 2012 | 15.99 | -6.57 | -0.41 | - |
| 2013 | 32.31 | 5.01 | 0.15 | - |
| 2014 | 13.46 | -11.83 | -0.88 | - |
| 2015 | 1.23 | -12.89 | -10.45 | - |
| 2016 | 12.00 | 0.41 | 0.03 | - |
| 2017 | 21.71 | 0.90 | 0.04 | - |
| 2018 | -4.57 | 14.47 | -3.17 | + |
| 2019 | 31.22 | 13.77 | 0.44 | - |
| 2020 | 18.33 | 15.41 | 0.84 | - |
| 2021 | 28.73 | 12.03 | 0.42 | - |
| 2022 | -18.18 | -8.05 | 0.44 | + |
| 2023 | 26.18 | 62.12 | 2.37 | + |
| 2024 | 24.89 | -3.35 | -0.13 | - |
| 2025 | 17.72 | 25.84 | 1.46 | + |
| 2026 | 8.94 | 23.38 | 2.62 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1999-07-19 | 2026-03-26 | -75.79 | 9748 |
| 1993-02-05 | 1995-05-22 | -24.13 | 837 |
| 1997-10-28 | 1998-03-10 | -19.97 | 134 |
| 1998-09-01 | 1999-04-09 | -16.66 | 221 |
| 1997-02-19 | 1997-04-29 | -15.54 | 70 |
| 1995-09-21 | 1996-02-09 | -14.45 | 142 |
| 1998-06-10 | 1998-06-23 | -8.29 | 14 |
| 1997-08-07 | 1997-10-24 | -8.20 | 79 |
| 1998-04-29 | 1998-06-04 | -7.02 | 37 |
| 1996-07-16 | 1996-11-07 | -6.98 | 115 |