model version v2+ 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% | 79.0% |
| Total Return | 8.62% | -41.29% |
| CAGR﹪ | 1.87% | -11.23% |
| Sharpe | 0.22 | -0.85 |
| Prob. Sharpe Ratio | 64.99% | 6.79% |
| Smart Sharpe | 0.21 | -0.83 |
| Sortino | 0.29 | -1.14 |
| Smart Sortino | 0.29 | -1.12 |
| Sortino/√2 | 0.21 | -0.81 |
| Smart Sortino/√2 | 0.2 | -0.79 |
| Omega | 0.83 | 0.83 |
| Max Drawdown | -15.27% | -38.22% |
| Longest DD Days | 615 | 1073 |
| Volatility (ann.) | 12.49% | 15.29% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.09 | -0.25 |
| Skew | -0.42 | 0.32 |
| Kurtosis | 1.86 | 11.62 |
| Expected Daily | 0.01% | -0.06% |
| Expected Monthly | 0.15% | -1.17% |
| Expected Yearly | 1.98% | -10.78% |
| Kelly Criterion | -0.1% | -18.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.64% |
| Expected Shortfall (cVaR) | -1.28% | -1.64% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.04 | -0.17 |
| Gain/Pain (1M) | 0.14 | -0.58 |
| Payoff Ratio | 0.83 | 0.77 |
| Profit Factor | 1.04 | 0.83 |
| Common Sense Ratio | 0.87 | 0.73 |
| CPC Index | 0.47 | 0.31 |
| Tail Ratio | 0.83 | 0.87 |
| Outlier Win Ratio | 3.86 | 4.88 |
| Outlier Loss Ratio | 3.78 | 3.27 |
| MTD | -5.28% | -1.85% |
| 3M | -7.06% | -1.25% |
| 6M | -3.86% | -5.74% |
| YTD | -5.03% | 1.46% |
| 1Y | 1.15% | -4.18% |
| 3Y (ann.) | 1.44% | -11.26% |
| 5Y (ann.) | 1.87% | -11.23% |
| 10Y (ann.) | 1.87% | -11.23% |
| All-time (ann.) | 1.87% | -11.23% |
| Best Day | 3.75% | 8.37% |
| Worst Day | -3.7% | -4.97% |
| Best Month | 6.92% | 3.81% |
| Worst Month | -8.92% | -15.19% |
| Best Year | 8.14% | 1.46% |
| Worst Year | -5.03% | -23.79% |
| Avg. Drawdown | -2.69% | -16.03% |
| Avg. Drawdown Days | 42 | 372 |
| Recovery Factor | 0.56 | 1.08 |
| Ulcer Index | 0.06 | 0.29 |
| Serenity Index | 0.12 | -0.03 |
| Avg. Up Month | 4.51% | 2.23% |
| Avg. Down Month | -3.81% | -4.56% |
| Win Days | 54.62% | 48.81% |
| Win Month | 55.26% | 41.18% |
| Win Quarter | 53.85% | 23.08% |
| Win Year | 50.0% | 25.0% |
| Beta | - | 0.68 |
| Alpha | - | -0.15 |
| Correlation | - | 55.49% |
| Treynor Ratio | - | -53.35% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.37 | -23.79 | 10.03 | - |
| 2023 | 8.14 | -9.20 | -1.13 | - |
| 2024 | 7.88 | -9.75 | -1.24 | - |
| 2025 | -5.03 | 1.46 | -0.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-06 | 2025-03-13 | -38.22 | 1073 |
| 2022-02-14 | 2022-03-21 | -7.83 | 36 |
| 2022-03-25 | 2022-03-31 | -2.03 | 7 |