model version v2+ 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% | 78.0% |
| Total Return | 8.62% | 24.97% |
| CAGR﹪ | 1.87% | 5.11% |
| Sharpe | 0.22 | 0.51 |
| Prob. Sharpe Ratio | 64.99% | 81.96% |
| Smart Sharpe | 0.21 | 0.5 |
| Sortino | 0.29 | 0.74 |
| Smart Sortino | 0.29 | 0.72 |
| Sortino/√2 | 0.21 | 0.52 |
| Smart Sortino/√2 | 0.2 | 0.51 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -15.27% | -28.2% |
| Longest DD Days | 615 | 364 |
| Volatility (ann.) | 12.49% | 15.36% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.09 | 0.17 |
| Skew | -0.42 | 0.43 |
| Kurtosis | 1.86 | 11.56 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.15% | 0.58% |
| Expected Yearly | 1.98% | 6.2% |
| Kelly Criterion | -5.36% | 2.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.56% |
| Expected Shortfall (cVaR) | -1.28% | -1.56% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.04 | 0.12 |
| Gain/Pain (1M) | 0.14 | 0.58 |
| Payoff Ratio | 0.76 | 0.81 |
| Profit Factor | 1.04 | 1.12 |
| Common Sense Ratio | 0.87 | 1.17 |
| CPC Index | 0.43 | 0.51 |
| Tail Ratio | 0.83 | 1.05 |
| Outlier Win Ratio | 3.98 | 4.73 |
| Outlier Loss Ratio | 3.73 | 3.12 |
| 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.) | 1.87% | 5.11% |
| 10Y (ann.) | 1.87% | 5.11% |
| All-time (ann.) | 1.87% | 5.11% |
| Best Day | 3.75% | 8.5% |
| Worst Day | -3.7% | -4.83% |
| Best Month | 6.92% | 6.62% |
| Worst Month | -8.92% | -12.89% |
| Best Year | 8.14% | 11.18% |
| Worst Year | -5.03% | 4.26% |
| Avg. Drawdown | -2.69% | -2.86% |
| Avg. Drawdown Days | 42 | 35 |
| Recovery Factor | 0.56 | 0.89 |
| Ulcer Index | 0.06 | 0.08 |
| Serenity Index | 0.12 | 0.22 |
| Avg. Up Month | 3.44% | 3.35% |
| Avg. Down Month | -3.86% | -4.24% |
| Win Days | 54.62% | 56.25% |
| Win Month | 55.26% | 67.65% |
| Win Quarter | 53.85% | 69.23% |
| Win Year | 50.0% | 100.0% |
| Beta | - | 0.68 |
| Alpha | - | 0.06 |
| Correlation | - | 55.26% |
| Treynor Ratio | - | 34.76% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.37 | 4.54 | -1.92 | + |
| 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 |
|---|---|---|---|
| 2022-04-21 | 2023-04-19 | -28.20 | 364 |
| 2023-07-28 | 2023-12-13 | -7.92 | 139 |
| 2022-02-14 | 2022-03-02 | -7.10 | 17 |
| 2024-06-26 | 2025-02-26 | -6.84 | 246 |
| 2022-03-04 | 2022-03-17 | -3.72 | 14 |
| 2023-05-16 | 2023-07-04 | -3.33 | 50 |
| 2022-04-06 | 2022-04-18 | -3.22 | 13 |
| 2025-02-28 | 2025-03-13 | -2.94 | 14 |
| 2024-05-01 | 2024-05-20 | -2.41 | 20 |
| 2023-07-06 | 2023-07-13 | -2.04 | 8 |