Profit %SortinoSharpeDrawdown %Trades/dayProfit factorLoss monthsLeverage max
2021-26.6-1.0-0.7-27120.667.457
202056.42.21.6-12120.743.283
201913.00.70.4-15120.676.356
201833.51.41.0-10120.681.861
201757.21.21.2-32130.703.161
2016106.52.42.1-39120.714.657
2015137.22.12.1-60120.724.164
2014116.53.83.1-21120.712.258
2013188.14.94.6-24120.712.262
201243.81.11.0-28120.673.362
2011276.94.74.2-74120.754.888
201094.11.41.4-36100.671.965

Value at risk (VaR)
         Day 95%Day 99%Week 95%Week 99%Month 95%Month 99%
2021-4.3-6.2-7.3-16.4-23.0-23.0
2020-2.6-3.2-2.2-11.9-4.2-4.2
2019-2.4-4.4-3.9-7.2-14.9-14.9
2018-2.4-6.8-4.7-9.0-4.2-4.2
2017-3.8-6.6-7.1-24.6-13.4-13.4
2016-4.5-7.8-6.4-33.7-21.5-21.5
2015-5.1-11.7-26.0-34.8-34.7-34.7
2014-2.9-7.7-3.5-4.4-2.2-2.2
2013-3.2-7.0-6.9-13.8-16.3-16.3
2012-4.6-8.8-8.5-15.8-15.8-15.8
2011-4.2-9.7-12.2-32.3-40.5-40.5
2010-6.3-13.4-14.3-18.6-16.1-16.1
Update:
Since Jan 1 2016: live trading
Until Jan 1 2016: backtesting
Profit %: compounded net profit
Sortino ratio: profit / loss volatility
Sharpe ratio: profit / volatility
Drawndown %: historical maximum drawdown
Trades/day: nb of trades by market day
Profit factor: nb of profitable trades / nb of trades
Loss months: duration of longest loss, in months
Volatility: day profit and loss standard deviation * square of 260 (days)
Loss volatility: day loss standard deviation * square of 260 (days)
Profit includes broker commission 0.2 pip by order (2 orders by trade)
Instruments: spot FOREX
With Swiss Bank
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Past performance does not necessarily predict future results - All rights reserved 2015-2023

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