model version v1+ with no 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 | Benchmark | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 97.0% | 77.0% |
| Total Return | 11.86% | 25.44% |
| CAGR﹪ | 2.06% | 4.21% |
| Sharpe | 0.24 | 0.39 |
| Prob. Sharpe Ratio | 68.42% | 78.27% |
| Smart Sharpe | 0.24 | 0.39 |
| Sortino | 0.33 | 0.56 |
| Smart Sortino | 0.32 | 0.55 |
| Sortino/√2 | 0.23 | 0.39 |
| Smart Sortino/√2 | 0.23 | 0.39 |
| Omega | 1.09 | 1.09 |
| Max Drawdown | -15.67% | -33.23% |
| Longest DD Days | 898 | 904 |
| Volatility (ann.) | 12.43% | 16.43% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.1 | 0.11 |
| Skew | -0.46 | 0.11 |
| Kurtosis | 1.85 | 8.1 |
| Expected Daily | 0.01% | 0.02% |
| Expected Monthly | 0.18% | 0.46% |
| Expected Yearly | 2.2% | 5.03% |
| Kelly Criterion | -4.81% | 0.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.68% |
| Expected Shortfall (cVaR) | -1.28% | -1.68% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.04 | 0.09 |
| Gain/Pain (1M) | 0.18 | 0.45 |
| Payoff Ratio | 0.76 | 0.79 |
| Profit Factor | 1.04 | 1.09 |
| Common Sense Ratio | 0.88 | 1.12 |
| CPC Index | 0.43 | 0.48 |
| Tail Ratio | 0.84 | 1.04 |
| Outlier Win Ratio | 4.15 | 4.54 |
| Outlier Loss Ratio | 4.12 | 3.04 |
| MTD | -5.28% | -1.21% |
| 3M | -7.06% | 2.22% |
| 6M | -3.86% | -1.61% |
| YTD | -5.03% | 4.26% |
| 1Y | 1.15% | 7.54% |
| 3Y (ann.) | 1.44% | 4.71% |
| 5Y (ann.) | 2.06% | 4.21% |
| 10Y (ann.) | 2.06% | 4.21% |
| All-time (ann.) | 2.06% | 4.21% |
| Best Day | 3.75% | 8.5% |
| Worst Day | -3.7% | -4.88% |
| Best Month | 6.92% | 7.47% |
| Worst Month | -8.92% | -12.89% |
| Best Year | 8.14% | 11.18% |
| Worst Year | -5.03% | 0.28% |
| Avg. Drawdown | -2.45% | -2.83% |
| Avg. Drawdown Days | 52 | 54 |
| Recovery Factor | 0.76 | 0.77 |
| Ulcer Index | 0.06 | 0.11 |
| Serenity Index | 0.17 | 0.12 |
| Avg. Up Month | 3.11% | 3.28% |
| Avg. Down Month | -3.7% | -4.35% |
| Win Days | 54.64% | 55.84% |
| Win Month | 57.45% | 65.12% |
| Win Quarter | 62.5% | 56.25% |
| Win Year | 60.0% | 100.0% |
| Beta | - | 0.71 |
| Alpha | - | 0.04 |
| Correlation | - | 53.78% |
| Treynor Ratio | - | 31.39% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.15 | 4.74 | 0.92 | - |
| 2022 | -4.29 | 0.28 | -0.07 | + |
| 2023 | 8.14 | 11.18 | 1.37 | + |
| 2024 | 7.88 | 4.99 | 0.63 | - |
| 2025 | -5.03 | 4.26 | -0.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-16 | 2024-03-07 | -33.23 | 904 |
| 2024-06-26 | 2025-02-26 | -6.84 | 246 |
| 2021-06-28 | 2021-07-28 | -3.42 | 31 |
| 2021-09-06 | 2021-09-13 | -3.15 | 8 |
| 2025-02-28 | 2025-03-13 | -2.94 | 14 |
| 2024-05-01 | 2024-05-20 | -2.41 | 20 |
| 2021-08-19 | 2021-09-02 | -2.11 | 15 |
| 2024-04-02 | 2024-04-26 | -1.75 | 25 |
| 2021-08-16 | 2021-08-17 | -1.59 | 2 |
| 2021-06-01 | 2021-06-02 | -1.53 | 2 |