model version v1+ with realized 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% | -49.9% |
| CAGR﹪ | 2.06% | -11.82% |
| Sharpe | 0.24 | -0.78 |
| Prob. Sharpe Ratio | 68.42% | 6.27% |
| Smart Sharpe | 0.24 | -0.76 |
| Sortino | 0.33 | -1.04 |
| Smart Sortino | 0.32 | -1.02 |
| Sortino/√2 | 0.23 | -0.73 |
| Smart Sortino/√2 | 0.23 | -0.72 |
| Omega | 0.85 | 0.85 |
| Max Drawdown | -15.67% | -48.62% |
| Longest DD Days | 898 | 1275 |
| Volatility (ann.) | 12.43% | 16.38% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.1 | -0.2 |
| Skew | -0.46 | 0.03 |
| Kurtosis | 1.85 | 8.11 |
| Expected Daily | 0.01% | -0.06% |
| Expected Monthly | 0.18% | -1.14% |
| Expected Yearly | 2.2% | -10.67% |
| Kelly Criterion | -0.28% | -17.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.75% |
| Expected Shortfall (cVaR) | -1.28% | -1.75% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.04 | -0.15 |
| Gain/Pain (1M) | 0.18 | -0.56 |
| Payoff Ratio | 0.83 | 0.76 |
| Profit Factor | 1.04 | 0.85 |
| Common Sense Ratio | 0.88 | 0.81 |
| CPC Index | 0.47 | 0.32 |
| Tail Ratio | 0.84 | 0.96 |
| Outlier Win Ratio | 4.06 | 4.68 |
| Outlier Loss Ratio | 4.16 | 3.17 |
| MTD | -5.28% | -1.87% |
| 3M | -7.06% | -1.37% |
| 6M | -3.86% | -5.88% |
| YTD | -5.03% | 1.36% |
| 1Y | 1.15% | -4.59% |
| 3Y (ann.) | 1.44% | -12.01% |
| 5Y (ann.) | 2.06% | -11.82% |
| 10Y (ann.) | 2.06% | -11.82% |
| All-time (ann.) | 2.06% | -11.82% |
| Best Day | 3.75% | 8.37% |
| Worst Day | -3.7% | -4.98% |
| Best Month | 6.92% | 6.48% |
| Worst Month | -8.92% | -15.26% |
| Best Year | 8.14% | 1.36% |
| Worst Year | -5.03% | -29.36% |
| Avg. Drawdown | -2.45% | -6.91% |
| Avg. Drawdown Days | 52 | 151 |
| Recovery Factor | 0.76 | 1.03 |
| Ulcer Index | 0.06 | 0.36 |
| Serenity Index | 0.17 | -0.02 |
| Avg. Up Month | 3.81% | 2.19% |
| Avg. Down Month | -3.7% | -4.7% |
| Win Days | 54.64% | 49.34% |
| Win Month | 57.45% | 44.19% |
| Win Quarter | 62.5% | 25.0% |
| Win Year | 60.0% | 20.0% |
| Beta | - | 0.71 |
| Alpha | - | -0.15 |
| Correlation | - | 53.99% |
| Treynor Ratio | - | -59.64% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 5.15 | -1.73 | -0.34 | - |
| 2022 | -4.29 | -29.36 | 6.85 | - |
| 2023 | 8.14 | -9.91 | -1.22 | - |
| 2024 | 7.88 | -10.26 | -1.30 | - |
| 2025 | -5.03 | 1.36 | -0.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-16 | 2025-03-13 | -48.62 | 1275 |
| 2021-06-28 | 2021-08-17 | -4.21 | 51 |
| 2021-08-19 | 2021-09-13 | -3.29 | 26 |
| 2021-06-01 | 2021-06-02 | -1.58 | 2 |
| 2021-06-17 | 2021-06-17 | -1.53 | 1 |
| 2021-06-21 | 2021-06-21 | -1.47 | 1 |
| 2021-06-08 | 2021-06-09 | -0.84 | 2 |
| 2021-06-04 | 2021-06-04 | -0.52 | 1 |
| 2021-06-23 | 2021-06-23 | -0.15 | 1 |