| Metric | Adj Close | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 1,394.83% | 162,392,308,362.66% |
| CAGR﹪ | 8.76% | 93.19% |
| Sharpe | 0.55 | 2.08 |
| Prob. Sharpe Ratio | 99.9% | 100.0% |
| Smart Sharpe | 0.52 | 1.99 |
| Sortino | 0.77 | 3.46 |
| Smart Sortino | 0.74 | 3.31 |
| Sortino/√2 | 0.55 | 2.45 |
| Smart Sortino/√2 | 0.52 | 2.34 |
| Omega | 1.53 | 1.53 |
| Max Drawdown | -56.78% | -31.73% |
| Max DD Date | 2009-03-09 | 2000-12-21 |
| Max DD Period Start | 2007-10-10 | 2000-11-16 |
| Max DD Period End | 2013-03-27 | 2001-04-26 |
| Longest DD Days | 2620 | 371 |
| Volatility (ann.) | 18.57% | 34.48% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | 0.13 | 0.13 |
| Calmar | 0.15 | 2.94 |
| Skew | -0.15 | 0.74 |
| Kurtosis | 10.54 | 9.54 |
| Expected Daily | 0.03% | 0.26% |
| Expected Monthly | 0.7% | 5.63% |
| Expected Yearly | 8.54% | 90.16% |
| Kelly Criterion | 2.53% | 17.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.88% | -3.29% |
| Expected Shortfall (cVaR) | -4.59% | -4.59% |
| Max Consecutive Wins | 12 | 21 |
| Max Consecutive Losses | 9 | 8 |
| Gain/Pain Ratio | 0.11 | 0.53 |
| Gain/Pain (1M) | 0.66 | 6.8 |
| Payoff Ratio | 0.89 | 1.15 |
| Profit Factor | 1.11 | 1.53 |
| Common Sense Ratio | 1.04 | 2.05 |
| CPC Index | 0.53 | 0.98 |
| Tail Ratio | 0.94 | 1.34 |
| Outlier Win Ratio | 6.83 | 3.6 |
| Outlier Loss Ratio | 5.55 | 3.5 |
| MTD | 0.69% | -1.58% |
| 3M | 3.53% | 15.17% |
| 6M | 11.71% | 26.84% |
| YTD | 17.25% | 34.2% |
| 1Y | 16.75% | 33.7% |
| 3Y (ann.) | 20.41% | 72.47% |
| 5Y (ann.) | 13.45% | 61.57% |
| 10Y (ann.) | 12.85% | 72.06% |
| All-time (ann.) | 8.76% | 93.19% |
| Best Day | 11.58% | 19.5% |
| Worst Day | -11.98% | -15.94% |
| Best Month | 12.68% | 49.87% |
| Worst Month | -16.94% | -23.15% |
| Best Year | 34.11% | 672.41% |
| Worst Year | -38.49% | 7.9% |
| Avg. Drawdown | -2.06% | -2.98% |
| Avg. Drawdown Days | 31 | 10 |
| Recovery Factor | 5.74 | 72.89 |
| Ulcer Index | 0.17 | 0.06 |
| Serenity Index | 0.77 | 25.9 |
| Avg. Up Month | 3.35% | 8.94% |
| Avg. Down Month | -5.0% | -5.38% |
| Win Days | 54.03% | 55.99% |
| Win Month | 64.6% | 79.53% |
| Win Quarter | 70.54% | 88.37% |
| Win Year | 72.73% | 100.0% |
| Beta | - | 0.96 |
| Alpha | - | 0.62 |
| Correlation | - | 51.52% |
| Treynor Ratio | - | 169767639892.47% |
| Year | Adj Close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 1.12 | 33.21 | 29.63 | + |
| 1994 | -1.54 | 131.48 | -85.42 | + |
| 1995 | 34.11 | 244.85 | 7.18 | + |
| 1996 | 20.26 | 275.73 | 13.61 | + |
| 1997 | 31.01 | 135.30 | 4.36 | + |
| 1998 | 26.67 | 166.89 | 6.26 | + |
| 1999 | 19.53 | 672.41 | 34.44 | + |
| 2000 | -10.14 | 601.36 | -59.31 | + |
| 2001 | -13.04 | 71.71 | -5.50 | + |
| 2002 | -23.37 | 36.31 | -1.55 | + |
| 2003 | 26.38 | 133.53 | 5.06 | + |
| 2004 | 8.99 | 24.49 | 2.72 | + |
| 2005 | 3.00 | 64.41 | 21.46 | + |
| 2006 | 13.62 | 55.91 | 4.11 | + |
| 2007 | 3.53 | 66.50 | 18.84 | + |
| 2008 | -38.49 | 7.90 | -0.21 | + |
| 2009 | 23.45 | 49.01 | 2.09 | + |
| 2010 | 12.78 | 31.85 | 2.49 | + |
| 2011 | -0.00 | 15.55 | -4885.09 | + |
| 2012 | 13.41 | 49.74 | 3.71 | + |
| 2013 | 29.60 | 77.16 | 2.61 | + |
| 2014 | 11.39 | 91.68 | 8.05 | + |
| 2015 | -0.73 | 46.70 | -64.28 | + |
| 2016 | 9.54 | 49.58 | 5.20 | + |
| 2017 | 19.42 | 78.99 | 4.07 | + |
| 2018 | -6.24 | 26.42 | -4.24 | + |
| 2019 | 28.88 | 65.85 | 2.28 | + |
| 2020 | 16.26 | 228.29 | 14.04 | + |
| 2021 | 26.89 | 93.05 | 3.46 | + |
| 2022 | -19.44 | 32.30 | -1.66 | + |
| 2023 | 24.23 | 64.84 | 2.68 | + |
| 2024 | 23.31 | 116.21 | 4.99 | + |
| 2025 | 17.25 | 34.20 | 1.98 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-11-16 | 2001-04-26 | -31.73 | 162 |
| 2001-08-01 | 2002-06-27 | -28.89 | 331 |
| 1998-08-26 | 1998-12-01 | -28.77 | 98 |
| 1994-03-18 | 1994-08-15 | -24.39 | 151 |
| 2008-08-29 | 2009-09-03 | -22.27 | 371 |
| 2007-10-16 | 2008-04-30 | -21.98 | 198 |
| 1995-12-12 | 1995-12-20 | -21.96 | 9 |
| 2011-05-11 | 2011-12-30 | -21.41 | 234 |
| 2015-07-23 | 2015-09-18 | -21.41 | 58 |
| 1996-07-02 | 1996-08-01 | -21.23 | 31 |