model version v2+ with default 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% | 79.0% |
| Total Return | 8.62% | 7.0% |
| CAGR﹪ | 1.87% | 1.53% |
| Sharpe | 0.22 | 0.14 |
| Prob. Sharpe Ratio | 64.99% | 60.09% |
| Smart Sharpe | 0.21 | 0.14 |
| Sortino | 0.29 | 0.2 |
| Smart Sortino | 0.29 | 0.2 |
| Sortino/√2 | 0.21 | 0.14 |
| Smart Sortino/√2 | 0.2 | 0.14 |
| Omega | 1.03 | 1.03 |
| Max Drawdown | -15.27% | -29.24% |
| Longest DD Days | 615 | 791 |
| Volatility (ann.) | 12.49% | 15.34% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.09 | 0.03 |
| Skew | -0.42 | 0.4 |
| Kurtosis | 1.86 | 11.59 |
| Expected Daily | 0.01% | 0.0% |
| Expected Monthly | 0.15% | 0.1% |
| Expected Yearly | 1.98% | 1.7% |
| Kelly Criterion | -3.86% | -3.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.58% |
| Expected Shortfall (cVaR) | -1.28% | -1.58% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.04 | 0.03 |
| Gain/Pain (1M) | 0.14 | 0.14 |
| Payoff Ratio | 0.78 | 0.8 |
| Profit Factor | 1.04 | 1.03 |
| Common Sense Ratio | 0.87 | 1.01 |
| CPC Index | 0.44 | 0.45 |
| Tail Ratio | 0.83 | 0.98 |
| Outlier Win Ratio | 3.94 | 4.74 |
| Outlier Loss Ratio | 3.74 | 3.21 |
| MTD | -5.28% | -1.39% |
| 3M | -7.06% | 1.28% |
| 6M | -3.86% | -2.73% |
| YTD | -5.03% | 3.5% |
| 1Y | 1.15% | 4.36% |
| 3Y (ann.) | 1.44% | 1.14% |
| 5Y (ann.) | 1.87% | 1.53% |
| 10Y (ann.) | 1.87% | 1.53% |
| All-time (ann.) | 1.87% | 1.53% |
| Best Day | 3.75% | 8.46% |
| Worst Day | -3.7% | -4.87% |
| Best Month | 6.92% | 5.86% |
| Worst Month | -8.92% | -13.52% |
| Best Year | 8.14% | 5.65% |
| Worst Year | -5.03% | -3.14% |
| Avg. Drawdown | -2.69% | -8.83% |
| Avg. Drawdown Days | 42 | 184 |
| Recovery Factor | 0.56 | 0.24 |
| Ulcer Index | 0.06 | 0.1 |
| Serenity Index | 0.12 | 0.04 |
| Avg. Up Month | 3.64% | 2.97% |
| Avg. Down Month | -3.6% | -4.3% |
| Win Days | 54.62% | 53.9% |
| Win Month | 55.26% | 61.76% |
| Win Quarter | 53.85% | 69.23% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.68 |
| Alpha | - | 0.0 |
| Correlation | - | 55.34% |
| Treynor Ratio | - | 4.87% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.37 | -3.14 | 1.32 | - |
| 2023 | 8.14 | 5.65 | 0.69 | - |
| 2024 | 7.88 | 0.99 | 0.13 | - |
| 2025 | -5.03 | 3.50 | -0.70 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-21 | 2024-06-19 | -29.24 | 791 |
| 2022-02-14 | 2022-03-02 | -7.30 | 17 |
| 2024-06-26 | 2025-03-13 | -7.28 | 261 |
| 2022-03-04 | 2022-03-17 | -3.91 | 14 |
| 2022-04-06 | 2022-04-18 | -3.35 | 13 |
| 2022-03-25 | 2022-03-31 | -1.90 | 7 |