Live model simulation on LAST PRICES (4pm) with auction execution engine enabled and smart exits disabled
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% | 30.84% |
| CAGR﹪ | 2.11% | 29.64% |
| Sharpe | 0.27 | 3.74 |
| Prob. Sharpe Ratio | 59.17% | 99.91% |
| Smart Sharpe | 0.25 | 3.46 |
| Sortino | 0.36 | 6.01 |
| Smart Sortino | 0.34 | 5.55 |
| Sortino/√2 | 0.26 | 4.25 |
| Smart Sortino/√2 | 0.24 | 3.93 |
| Omega | 1.82 | 1.82 |
| Max Drawdown | -8.73% | -5.55% |
| Longest DD Days | 229 | 54 |
| Volatility (ann.) | 10.84% | 11.05% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | 0.32 | 0.32 |
| Calmar | 0.2 | 6.14 |
| Skew | -0.47 | -0.34 |
| Kurtosis | 0.43 | 0.17 |
| Expected Daily | 0.01% | 0.16% |
| Expected Monthly | 0.19% | 3.38% |
| Expected Yearly | 2.19% | 30.84% |
| Kelly Criterion | -5.52% | 29.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.11% | -0.98% |
| Expected Shortfall (cVaR) | -1.11% | -0.98% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.05 | 0.82 |
| Gain/Pain (1M) | 0.19 | 14.08 |
| Payoff Ratio | 0.75 | 1.07 |
| Profit Factor | 1.05 | 1.82 |
| Common Sense Ratio | 0.82 | 1.89 |
| CPC Index | 0.43 | 1.23 |
| Tail Ratio | 0.78 | 1.04 |
| Outlier Win Ratio | 3.27 | 2.76 |
| Outlier Loss Ratio | 2.8 | 2.87 |
| MTD | -3.25% | -0.23% |
| 3M | -3.24% | 9.34% |
| 6M | 1.91% | 27.46% |
| YTD | 2.19% | 30.84% |
| 1Y | 2.19% | 30.84% |
| 3Y (ann.) | 2.11% | 29.64% |
| 5Y (ann.) | 2.11% | 29.64% |
| 10Y (ann.) | 2.11% | 29.64% |
| All-time (ann.) | 2.11% | 29.64% |
| Best Day | 1.63% | 1.78% |
| Worst Day | -2.28% | -1.82% |
| Best Month | 7.4% | 6.49% |
| Worst Month | -3.24% | -1.99% |
| Best Year | 2.19% | 30.84% |
| Worst Year | 2.19% | 30.84% |
| Avg. Drawdown | -1.91% | -1.12% |
| Avg. Drawdown Days | 47 | 8 |
| Recovery Factor | 0.25 | 5.56 |
| Ulcer Index | 0.04 | 0.02 |
| Serenity Index | 0.05 | 4.19 |
| Avg. Up Month | 3.44% | 6.29% |
| Avg. Down Month | -3.09% | -1.1% |
| Win Days | 54.64% | 63.39% |
| Win Month | 44.44% | 77.78% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.77 |
| Alpha | - | 0.39 |
| Correlation | - | 75.53% |
| Treynor Ratio | - | 46.08% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.19 | 30.84 | 14.11 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-02-06 | 2023-03-31 | -5.55 | 54 |
| 2023-07-06 | 2023-07-12 | -2.73 | 7 |
| 2023-06-22 | 2023-06-28 | -2.57 | 7 |
| 2023-09-05 | 2023-09-14 | -1.73 | 10 |
| 2023-08-15 | 2023-08-29 | -1.57 | 15 |
| 2023-07-28 | 2023-08-10 | -1.50 | 14 |
| 2023-05-16 | 2023-05-31 | -1.47 | 16 |
| 2023-01-27 | 2023-02-01 | -1.29 | 6 |
| 2023-09-18 | 2023-09-22 | -1.27 | 5 |
| 2023-06-07 | 2023-06-13 | -0.98 | 7 |