Forward model simulation on CLOSE PRICES (4:10pm) with 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% | 39.67% |
| CAGR﹪ | 2.11% | 38.07% |
| Sharpe | 0.27 | 4.58 |
| Prob. Sharpe Ratio | 59.17% | 99.99% |
| Smart Sharpe | 0.26 | 4.35 |
| Sortino | 0.36 | 7.75 |
| Smart Sortino | 0.35 | 7.36 |
| Sortino/√2 | 0.26 | 5.48 |
| Smart Sortino/√2 | 0.24 | 5.21 |
| Omega | 2.11 | 2.11 |
| Max Drawdown | -8.73% | -4.44% |
| Longest DD Days | 229 | 53 |
| Volatility (ann.) | 10.84% | 11.62% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | 0.39 | 0.39 |
| Calmar | 0.2 | 10.34 |
| Skew | -0.47 | -0.28 |
| Kurtosis | 0.43 | 0.6 |
| Expected Daily | 0.01% | 0.21% |
| Expected Monthly | 0.19% | 4.35% |
| Expected Yearly | 2.19% | 39.67% |
| Kelly Criterion | -10.68% | 35.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.11% | -0.99% |
| Expected Shortfall (cVaR) | -1.11% | -0.99% |
| Max Consecutive Wins | 8 | 10 |
| Max Consecutive Losses | 4 | 6 |
| Gain/Pain Ratio | 0.05 | 1.11 |
| Gain/Pain (1M) | 0.19 | 27.82 |
| Payoff Ratio | 0.69 | 1.12 |
| Profit Factor | 1.05 | 2.11 |
| Common Sense Ratio | 0.82 | 2.6 |
| CPC Index | 0.4 | 1.56 |
| Tail Ratio | 0.78 | 1.23 |
| Outlier Win Ratio | 3.54 | 2.83 |
| Outlier Loss Ratio | 2.86 | 2.87 |
| MTD | -3.25% | 0.59% |
| 3M | -3.24% | 11.25% |
| 6M | 1.91% | 32.21% |
| YTD | 2.19% | 39.67% |
| 1Y | 2.19% | 39.67% |
| 3Y (ann.) | 2.11% | 38.07% |
| 5Y (ann.) | 2.11% | 38.07% |
| 10Y (ann.) | 2.11% | 38.07% |
| All-time (ann.) | 2.11% | 38.07% |
| Best Day | 1.63% | 2.08% |
| Worst Day | -2.28% | -2.24% |
| Best Month | 7.4% | 8.23% |
| Worst Month | -3.24% | -1.47% |
| Best Year | 2.19% | 39.67% |
| Worst Year | 2.19% | 39.67% |
| Avg. Drawdown | -1.91% | -1.1% |
| Avg. Drawdown Days | 47 | 7 |
| Recovery Factor | 0.25 | 8.93 |
| Ulcer Index | 0.04 | 0.01 |
| Serenity Index | 0.05 | 9.42 |
| Avg. Up Month | 3.44% | 7.77% |
| Avg. Down Month | -2.93% | -1.43% |
| Win Days | 54.64% | 66.12% |
| Win Month | 44.44% | 88.89% |
| Win Quarter | 66.67% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.8 |
| Alpha | - | 0.51 |
| Correlation | - | 74.69% |
| Treynor Ratio | - | 59.79% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 2.19 | 39.67 | 18.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-02-06 | 2023-03-30 | -4.44 | 53 |
| 2023-07-06 | 2023-07-12 | -2.39 | 7 |
| 2023-08-15 | 2023-08-30 | -2.21 | 16 |
| 2023-06-22 | 2023-06-27 | -2.18 | 6 |
| 2023-09-05 | 2023-09-14 | -1.91 | 10 |
| 2023-08-02 | 2023-08-11 | -1.40 | 10 |
| 2023-09-18 | 2023-09-22 | -1.26 | 5 |
| 2023-06-06 | 2023-06-13 | -1.26 | 8 |
| 2023-05-22 | 2023-05-31 | -0.99 | 10 |
| 2023-05-16 | 2023-05-18 | -0.77 | 3 |