ManageValue
Systematic strategy tear sheet
| Metric | ^NDX | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 97.0% |
| Cumulative Return | 6,470.43% | 162,392,308,362.66% |
| CAGR﹪ | 13.88% | 93.19% |
| Sharpe | 0.61 | 2.08 |
| Prob. Sharpe Ratio | 99.98% | 100.0% |
| Smart Sharpe | 0.59 | 1.99 |
| Sortino | 0.89 | 3.46 |
| Smart Sortino | 0.85 | 3.31 |
| Sortino/√2 | 0.63 | 2.45 |
| Smart Sortino/√2 | 0.6 | 2.34 |
| Omega | 1.53 | 1.53 |
| Max Drawdown | -82.9% | -31.73% |
| Max DD Date | 2002-10-07 | 2000-12-21 |
| Max DD Period Start | 2000-03-28 | 2000-11-16 |
| Max DD Period End | 2015-11-02 | 2001-04-26 |
| Longest DD Days | 5698 | 371 |
| Volatility (ann.) | 27.1% | 34.48% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | 0.12 | 0.12 |
| Calmar | 0.17 | 2.94 |
| Skew | 0.21 | 0.74 |
| Kurtosis | 6.9 | 9.54 |
| Expected Daily | 0.05% | 0.26% |
| Expected Monthly | 1.09% | 5.63% |
| Expected Yearly | 13.52% | 90.16% |
| Kelly Criterion | 4.24% | 17.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.74% | -3.29% |
| Expected Shortfall (cVaR) | -5.05% | -5.05% |
| Max Consecutive Wins | 14 | 21 |
| Max Consecutive Losses | 10 | 8 |
| Gain/Pain Ratio | 0.12 | 0.53 |
| Gain/Pain (1M) | 0.74 | 6.8 |
| Payoff Ratio | 0.89 | 1.15 |
| Profit Factor | 1.12 | 1.53 |
| Common Sense Ratio | 1.06 | 2.05 |
| CPC Index | 0.55 | 0.98 |
| Tail Ratio | 0.95 | 1.34 |
| Outlier Win Ratio | 5.31 | 4.15 |
| Outlier Loss Ratio | 4.22 | 4.03 |
| MTD | -0.73% | -1.58% |
| 3M | 2.59% | 15.17% |
| 6M | 12.05% | 26.84% |
| YTD | 20.17% | 34.2% |
| 1Y | 19.12% | 33.7% |
| 3Y (ann.) | 29.47% | 72.47% |
| 5Y (ann.) | 14.63% | 61.57% |
| 10Y (ann.) | 18.47% | 72.06% |
| All-time (ann.) | 13.88% | 93.19% |
| Best Day | 18.77% | 19.5% |
| Worst Day | -12.19% | -15.94% |
| Best Month | 24.98% | 49.87% |
| Worst Month | -26.4% | -23.15% |
| Best Year | 101.95% | 672.41% |
| Worst Year | -41.89% | 7.9% |
| Avg. Drawdown | -3.46% | -2.98% |
| Avg. Drawdown Days | 41 | 10 |
| Recovery Factor | 6.47 | 72.89 |
| Ulcer Index | 0.4 | 0.06 |
| Serenity Index | 0.48 | 16.23 |
| Avg. Up Month | 5.6% | 9.5% |
| Avg. Down Month | -7.24% | -5.26% |
| Win Days | 54.86% | 55.99% |
| Win Month | 60.47% | 79.53% |
| Win Quarter | 70.54% | 88.37% |
| Win Year | 81.82% | 100.0% |
| Beta | - | 0.78 |
| Alpha | - | 0.59 |
| Correlation | - | 61.43% |
| Treynor Ratio | - | 207784415266.19% |
| Year | ^NDX | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 3.64 | 33.21 | 9.12 | + |
| 1994 | 1.50 | 131.48 | 87.42 | + |
| 1995 | 42.54 | 244.85 | 5.76 | + |
| 1996 | 42.54 | 275.73 | 6.48 | + |
| 1997 | 20.63 | 135.30 | 6.56 | + |
| 1998 | 85.30 | 166.89 | 1.96 | + |
| 1999 | 101.95 | 672.41 | 6.60 | + |
| 2000 | -36.84 | 601.36 | -16.32 | + |
| 2001 | -32.65 | 71.71 | -2.20 | + |
| 2002 | -37.58 | 36.31 | -0.97 | + |
| 2003 | 49.12 | 133.53 | 2.72 | + |
| 2004 | 10.44 | 24.49 | 2.35 | + |
| 2005 | 1.49 | 64.41 | 43.36 | + |
| 2006 | 6.79 | 55.91 | 8.24 | + |
| 2007 | 18.67 | 66.50 | 3.56 | + |
| 2008 | -41.89 | 7.90 | -0.19 | + |
| 2009 | 53.54 | 49.01 | 0.92 | - |
| 2010 | 19.22 | 31.85 | 1.66 | + |
| 2011 | 2.70 | 15.55 | 5.75 | + |
| 2012 | 16.82 | 49.74 | 2.96 | + |
| 2013 | 34.99 | 77.16 | 2.21 | + |
| 2014 | 17.94 | 91.68 | 5.11 | + |
| 2015 | 8.43 | 46.70 | 5.54 | + |
| 2016 | 5.89 | 49.58 | 8.42 | + |
| 2017 | 31.52 | 78.99 | 2.51 | + |
| 2018 | -1.04 | 26.42 | -25.43 | + |
| 2019 | 37.96 | 65.85 | 1.73 | + |
| 2020 | 47.58 | 228.29 | 4.80 | + |
| 2021 | 26.63 | 93.05 | 3.49 | + |
| 2022 | -32.97 | 32.30 | -0.98 | + |
| 2023 | 53.81 | 64.84 | 1.21 | + |
| 2024 | 24.88 | 116.21 | 4.67 | + |
| 2025 | 20.17 | 34.20 | 1.70 | + |
| 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 |