Live model simulation on LAST PRICES (4pm) 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% | 20.7% |
| CAGR﹪ | 2.11% | 19.92% |
| Sharpe | 0.27 | 2.88 |
| Prob. Sharpe Ratio | 59.17% | 99.11% |
| Smart Sharpe | 0.26 | 2.76 |
| Sortino | 0.36 | 4.3 |
| Smart Sortino | 0.35 | 4.11 |
| Sortino/√2 | 0.26 | 3.04 |
| Smart Sortino/√2 | 0.25 | 2.91 |
| Omega | 1.59 | 1.59 |
| Max Drawdown | -8.73% | -4.72% |
| Longest DD Days | 229 | 29 |
| Volatility (ann.) | 10.84% | 9.62% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | 0.23 | 0.23 |
| Calmar | 0.2 | 4.59 |
| Skew | -0.47 | -0.57 |
| Kurtosis | 0.43 | 0.5 |
| Expected Daily | 0.01% | 0.11% |
| Expected Monthly | 0.19% | 2.28% |
| Expected Yearly | 2.19% | 20.7% |
| Kelly Criterion | -7.89% | 23.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.11% | -0.89% |
| Expected Shortfall (cVaR) | -1.11% | -0.89% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 4 | 4 |
| Gain/Pain Ratio | 0.05 | 0.59 |
| Gain/Pain (1M) | 0.19 | 80.2 |
| Payoff Ratio | 0.73 | 0.96 |
| Profit Factor | 1.05 | 1.59 |
| Common Sense Ratio | 0.82 | 1.46 |
| CPC Index | 0.41 | 0.95 |
| Tail Ratio | 0.78 | 0.92 |
| Outlier Win Ratio | 2.84 | 2.89 |
| Outlier Loss Ratio | 2.65 | 3.01 |
| MTD | -3.25% | 0.39% |
| 3M | -3.24% | 5.07% |
| 6M | 1.91% | 14.32% |
| YTD | 2.19% | 20.7% |
| 1Y | 2.19% | 20.7% |
| 3Y (ann.) | 2.11% | 19.92% |
| 5Y (ann.) | 2.11% | 19.92% |
| 10Y (ann.) | 2.11% | 19.92% |
| All-time (ann.) | 2.11% | 19.92% |
| Best Day | 1.63% | 1.57% |
| Worst Day | -2.28% | -1.9% |
| Best Month | 7.4% | 7.04% |
| Worst Month | -3.24% | -0.28% |
| Best Year | 2.19% | 20.7% |
| Worst Year | 2.19% | 20.7% |
| Avg. Drawdown | -1.91% | -0.97% |
| Avg. Drawdown Days | 47 | 7 |
| Recovery Factor | 0.25 | 4.38 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 0.05 | 4.4 |
| Avg. Up Month | 3.44% | 4.54% |
| Avg. Down Month | -2.98% | -0.26% |
| Win Days | 54.64% | 62.3% |
| Win Month | 44.44% | 88.89% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.69 |
| Alpha | - | 0.26 |
| Correlation | - | 77.64% |
| Treynor Ratio | - | 32.73% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.19 | 20.70 | 9.47 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-08 | 2023-04-03 | -4.72 | 27 |
| 2023-02-06 | 2023-03-03 | -2.45 | 26 |
| 2023-05-16 | 2023-06-02 | -2.06 | 18 |
| 2023-06-21 | 2023-06-30 | -1.92 | 10 |
| 2023-07-06 | 2023-07-12 | -1.76 | 7 |
| 2023-08-02 | 2023-08-30 | -1.66 | 29 |
| 2023-05-02 | 2023-05-05 | -1.00 | 4 |
| 2023-07-28 | 2023-07-31 | -0.94 | 4 |
| 2023-09-13 | 2023-09-14 | -0.85 | 2 |
| 2023-09-18 | 2023-09-22 | -0.76 | 5 |