| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 818.56% | 161.09% |
| CAGR% | 15.11% | 6.28% |
| Sharpe | 1.33 | 0.43 |
| Sortino | 2.02 | 0.6 |
| Max Drawdown | -20.43% | -56.78% |
| Longest DD Days | 349 | 1996 |
| Volatility (ann.) | 11.03% | 18.13% |
| R^2 | 0.16 | 0.16 |
| Calmar | 0.74 | 0.11 |
| Skew | 0.05 | -0.13 |
| Kurtosis | 4.81 | 12.29 |
| Expected Daily % | 0.06% | 0.02% |
| Expected Monthly % | 1.17% | 0.51% |
| Expected Yearly % | 14.87% | 6.18% |
| Kelly Criterion | 11.44% | 2.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.08% | -1.85% |
| Expected Shortfall (cVaR) | -1.67% | -1.67% |
| Payoff Ratio | 1.01 | 0.87 |
| Profit Factor | 0.3 | 0.09 |
| Common Sense Ratio | 0.35 | 0.08 |
| CPC Index | 0.17 | 0.04 |
| Tail Ratio | 1.17 | 0.92 |
| Outlier Win Ratio | 6.1 | 3.85 |
| Outlier Loss Ratio | 5.7 | 3.47 |
| MTD | -1.68% | -2.47% |
| 3M | 8.15% | -2.35% |
| 6M | 14.99% | 1.25% |
| YTD | 24.42% | 15.81% |
| 1Y | 19.73% | -0.69% |
| 3Y (ann.) | 18.97% | 10.22% |
| 5Y (ann.) | 20.96% | 8.32% |
| 10Y (ann.) | 19.63% | 10.97% |
| All-time (ann.) | 15.11% | 6.28% |
| Best Day | 4.67% | 11.58% |
| Worst Day | -3.98% | -9.03% |
| Best Month | 12.27% | 10.77% |
| Worst Month | -9.29% | -16.94% |
| Best Year | 30.99% | 29.6% |
| Worst Year | -2.56% | -38.49% |
| Avg. Drawdown | -1.37% | -1.93% |
| Avg. Drawdown Days | 18 | 33 |
| Recovery Factor | 40.06 | 2.84 |
| Ulcer Index | inf | 1.02 |
| Avg. Up Month | 2.41% | 3.08% |
| Avg. Down Month | -1.5% | -3.92% |
| Win Days % | 55.45% | 54.62% |
| Win Month % | 67.21% | 64.74% |
| Win Quarter % | 75.81% | 70.31% |
| Win Year % | 93.75% | 75.0% |
| Beta | 0.24 | - |
| Alpha | 0.13 | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2004 | 8.99 | 0.80 | 0.09 | - |
| 2005 | 3.00 | 5.84 | 1.95 | + |
| 2006 | 13.62 | 10.49 | 0.77 | - |
| 2007 | 3.53 | 12.43 | 3.52 | + |
| 2008 | -38.49 | -2.56 | 0.07 | + |
| 2009 | 23.45 | 18.82 | 0.80 | - |
| 2010 | 12.78 | 15.31 | 1.20 | + |
| 2011 | -0.00 | 11.89 | -inf | + |
| 2012 | 13.41 | 30.99 | 2.31 | + |
| 2013 | 29.60 | 20.96 | 0.71 | - |
| 2014 | 11.39 | 22.96 | 2.02 | + |
| 2015 | -0.73 | 11.88 | -16.35 | + |
| 2016 | 9.54 | 30.42 | 3.19 | + |
| 2017 | 19.42 | 29.20 | 1.50 | + |
| 2018 | -6.24 | 1.53 | -0.25 | + |
| 2019 | 15.81 | 24.42 | 1.55 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-05-20 | 2009-05-04 | -20.43 | 349 |
| 2015-01-23 | 2015-10-08 | -10.61 | 258 |
| 2016-08-03 | 2017-01-05 | -9.22 | 155 |
| 2018-08-01 | 2019-03-13 | -8.10 | 224 |
| 2010-01-12 | 2010-08-16 | -7.81 | 216 |
| 2011-08-23 | 2011-10-24 | -7.78 | 62 |
| 2011-01-03 | 2011-05-12 | -7.78 | 129 |
| 2004-12-28 | 2005-08-11 | -7.24 | 226 |
| 2013-05-20 | 2013-07-18 | -7.14 | 59 |
| 2006-02-03 | 2006-12-29 | -6.96 | 329 |