Forward model simulation on CLOSE PRICES (4:10pm) with smart exits enabled
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 | Benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 98.0% | 98.0% |
| Total Return | 2.19% | 34.32% |
| CAGR﹪ | 2.11% | 32.96% |
| Sharpe | 0.27 | 4.73 |
| Prob. Sharpe Ratio | 59.17% | 99.99% |
| Smart Sharpe | 0.26 | 4.54 |
| Sortino | 0.36 | 7.78 |
| Smart Sortino | 0.35 | 7.47 |
| Sortino/√2 | 0.26 | 5.5 |
| Smart Sortino/√2 | 0.25 | 5.28 |
| Omega | 2.15 | 2.15 |
| Max Drawdown | -8.73% | -3.87% |
| Longest DD Days | 229 | 31 |
| Volatility (ann.) | 10.84% | 9.73% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | 0.37 | 0.37 |
| Calmar | 0.2 | 10.03 |
| Skew | -0.47 | -0.55 |
| Kurtosis | 0.43 | 0.84 |
| Expected Daily | 0.01% | 0.18% |
| Expected Monthly | 0.19% | 3.78% |
| Expected Yearly | 2.19% | 34.32% |
| Kelly Criterion | -8.03% | 34.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.11% | -0.83% |
| Expected Shortfall (cVaR) | -1.11% | -0.83% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.05 | 1.15 |
| Gain/Pain (1M) | 0.19 | - |
| Payoff Ratio | 0.72 | 1.17 |
| Profit Factor | 1.05 | 2.15 |
| Common Sense Ratio | 0.82 | 2.68 |
| CPC Index | 0.41 | 1.62 |
| Tail Ratio | 0.78 | 1.25 |
| Outlier Win Ratio | 2.89 | 2.64 |
| Outlier Loss Ratio | 2.76 | 3.48 |
| MTD | -3.25% | 1.86% |
| 3M | -3.24% | 8.3% |
| 6M | 1.91% | 25.26% |
| YTD | 2.19% | 34.32% |
| 1Y | 2.19% | 34.32% |
| 3Y (ann.) | 2.11% | 32.96% |
| 5Y (ann.) | 2.11% | 32.96% |
| 10Y (ann.) | 2.11% | 32.96% |
| All-time (ann.) | 2.11% | 32.96% |
| Best Day | 1.63% | 1.73% |
| Worst Day | -2.28% | -2.11% |
| Best Month | 7.4% | 7.23% |
| Worst Month | -3.24% | 0.34% |
| Best Year | 2.19% | 34.32% |
| Worst Year | 2.19% | 34.32% |
| Avg. Drawdown | -1.91% | -0.83% |
| Avg. Drawdown Days | 47 | 6 |
| Recovery Factor | 0.25 | 8.87 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 0.05 | 8.36 |
| Avg. Up Month | 3.44% | 6.14% |
| Avg. Down Month | - | - |
| Win Days | 54.64% | 64.48% |
| Win Month | 44.44% | 100.0% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.67 |
| Alpha | - | 0.44 |
| Correlation | - | 75.1% |
| Treynor Ratio | - | 59.93% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.19 | 34.32 | 15.70 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-10 | 2023-03-30 | -3.87 | 21 |
| 2023-02-06 | 2023-03-03 | -2.96 | 26 |
| 2023-08-15 | 2023-09-14 | -2.79 | 31 |
| 2023-07-06 | 2023-07-12 | -2.39 | 7 |
| 2023-06-22 | 2023-06-28 | -1.78 | 7 |
| 2023-08-02 | 2023-08-09 | -1.08 | 8 |
| 2023-05-24 | 2023-05-26 | -0.89 | 3 |
| 2023-03-08 | 2023-03-08 | -0.84 | 1 |
| 2023-09-18 | 2023-09-22 | -0.78 | 5 |
| 2023-06-06 | 2023-06-13 | -0.66 | 8 |