MODEL VERSION 3 WITHOUT TRANSACTION COSTS.
Focused on streamlining data processes, enhancing system reliability, and improving transparency. Launched on 10/2/2022.
Note: Version 1 & 2 experienced significant losses in unfavorable market conditions prior to the improved modeling and risk management implemented in version 3 onwards. While not representative of the running system's performance, they are included for transparency.
Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 100.0% |
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Total Return | 1,945.79% | 149.74% |
CAGR﹪ | 16.2% | 4.66% |
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Sharpe | 4.61 | 0.45 |
Prob. Sharpe Ratio | 100.0% | 97.87% |
Smart Sharpe | 4.04 | 0.39 |
Sortino | 8.06 | 0.61 |
Smart Sortino | 7.05 | 0.53 |
Sortino/√2 | 5.7 | 0.43 |
Smart Sortino/√2 | 4.99 | 0.37 |
Omega | 2.47 | 2.47 |
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Max Drawdown | -45.18% | -56.88% |
Longest DD Days | 246 | 3700 |
Volatility (ann.) | 20.91% | 16.62% |
R^2 | 0.22 | 0.22 |
Information Ratio | 0.28 | 0.28 |
Calmar | 3.48 | 0.11 |
Skew | 1.28 | -0.85 |
Kurtosis | 31.67 | 8.96 |
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Expected Daily | 0.37% | 0.02% |
Expected Monthly | 8.16% | 0.5% |
Expected Yearly | 146.98% | 5.97% |
Kelly Criterion | 40.48% | -11.46% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.78% | -1.69% |
Expected Shortfall (cVaR) | -1.78% | -1.69% |
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Max Consecutive Wins | 26 | 12 |
Max Consecutive Losses | 10 | 12 |
Gain/Pain Ratio | 1.47 | 0.09 |
Gain/Pain (1M) | 19.0 | 0.48 |
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Payoff Ratio | 1.07 | 0.69 |
Profit Factor | 2.47 | 1.09 |
Common Sense Ratio | 3.44 | 0.98 |
CPC Index | 1.83 | 0.41 |
Tail Ratio | 1.4 | 0.91 |
Outlier Win Ratio | 3.55 | 4.81 |
Outlier Loss Ratio | 3.63 | 4.06 |
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MTD | 2.89% | 1.08% |
3M | 27.43% | 8.29% |
6M | 55.65% | 9.57% |
YTD | 12.62% | 7.07% |
1Y | 76.99% | 9.79% |
3Y (ann.) | 55.19% | 6.67% |
5Y (ann.) | 39.93% | 6.32% |
10Y (ann.) | 26.32% | 5.59% |
All-time (ann.) | 16.2% | 4.66% |
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Best Day | 21.13% | 6.55% |
Worst Day | -10.38% | -10.74% |
Best Month | 56.43% | 10.0% |
Worst Month | -15.12% | -24.9% |
Best Year | 361.64% | 31.04% |
Worst Year | 13.3% | -45.36% |
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Avg. Drawdown | -1.5% | -2.14% |
Avg. Drawdown Days | 6 | 45 |
Recovery Factor | 389828457.23 | 4.18 |
Ulcer Index | 0.06 | 0.22 |
Serenity Index | 356032956.43 | 0.29 |
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Avg. Up Month | 10.95% | 2.99% |
Avg. Down Month | -5.67% | -7.33% |
Win Days | 69.2% | 54.55% |
Win Month | 91.32% | 64.05% |
Win Quarter | 95.06% | 70.37% |
Win Year | 100.0% | 66.67% |
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Beta | 0.59 | - |
Alpha | 0.92 | - |
Correlation | 46.64% | - |
Treynor Ratio | 30008168436.13% | - |
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2003 | 13.14 | 119.40 | 9.08 | + |
2004 | 24.44 | 99.74 | 4.08 | + |
2005 | 20.07 | 66.04 | 3.29 | + |
2006 | 20.79 | 101.15 | 4.87 | + |
2007 | 13.42 | 100.23 | 7.47 | + |
2008 | -54.43 | 21.16 | -0.39 | + |
2009 | 29.27 | 155.76 | 5.32 | + |
2010 | 0.32 | 115.60 | 361.30 | + |
2011 | -13.03 | 98.18 | -7.53 | + |
2012 | 17.74 | 120.67 | 6.80 | + |
2013 | 17.62 | 115.88 | 6.58 | + |
2014 | 4.83 | 122.21 | 25.31 | + |
2015 | 1.07 | 126.53 | 118.42 | + |
2016 | 10.10 | 85.70 | 8.49 | + |
2017 | 10.72 | 68.64 | 6.40 | + |
2018 | -3.52 | 90.59 | -25.71 | + |
2019 | 20.40 | 73.10 | 3.58 | + |
2020 | -3.13 | 115.46 | -36.88 | + |
2021 | 15.24 | 71.54 | 4.69 | + |
2022 | -2.39 | 65.59 | -27.49 | + |
2023 | 7.07 | 12.62 | 1.78 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2008-08-13 | 2009-04-16 | -45.18 | 246 |
2020-02-25 | 2020-04-02 | -45.04 | 37 |
2011-09-12 | 2011-10-10 | -13.88 | 28 |
2022-04-22 | 2022-08-04 | -13.23 | 104 |
2012-08-29 | 2012-10-09 | -12.99 | 41 |
2011-07-25 | 2011-09-01 | -12.29 | 38 |
2007-08-06 | 2007-09-03 | -12.06 | 28 |
2016-02-23 | 2016-03-21 | -9.70 | 27 |
2008-01-07 | 2008-02-04 | -9.52 | 28 |
2021-02-16 | 2021-04-09 | -9.34 | 52 |