model version v3+ 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 | 98.0% | 77.0% |
| Total Return | 19.47% | 32.68% |
| CAGR﹪ | 4.61% | 7.43% |
| Sharpe | 0.58 | 0.91 |
| Prob. Sharpe Ratio | 83.22% | 94.4% |
| Smart Sharpe | 0.55 | 0.86 |
| Sortino | 0.8 | 1.45 |
| Smart Sortino | 0.76 | 1.37 |
| Sortino/√2 | 0.57 | 1.02 |
| Smart Sortino/√2 | 0.54 | 0.97 |
| Omega | 1.22 | 1.22 |
| Max Drawdown | -10.39% | -9.4% |
| Longest DD Days | 324 | 298 |
| Volatility (ann.) | 11.97% | 12.76% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.44 | 0.85 |
| Skew | -0.27 | 1.7 |
| Kurtosis | 1.85 | 19.94 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.51% | 0.92% |
| Expected Yearly | 4.7% | 7.86% |
| Kelly Criterion | -0.27% | 6.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.28% |
| Expected Shortfall (cVaR) | -1.21% | -1.28% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.1 | 0.22 |
| Gain/Pain (1M) | 0.45 | 1.54 |
| Payoff Ratio | 0.83 | 0.9 |
| Profit Factor | 1.1 | 1.22 |
| Common Sense Ratio | 0.94 | 1.22 |
| CPC Index | 0.5 | 0.61 |
| Tail Ratio | 0.86 | 1.0 |
| Outlier Win Ratio | 3.76 | 5.15 |
| Outlier Loss Ratio | 3.24 | 3.22 |
| 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.) | 4.61% | 7.43% |
| 5Y (ann.) | 4.61% | 7.43% |
| 10Y (ann.) | 4.61% | 7.43% |
| All-time (ann.) | 4.61% | 7.43% |
| Best Day | 3.75% | 8.46% |
| Worst Day | -3.7% | -3.67% |
| Best Month | 6.92% | 5.86% |
| Worst Month | -7.34% | -6.09% |
| Best Year | 8.48% | 22.54% |
| Worst Year | -5.03% | 0.99% |
| Avg. Drawdown | -2.34% | -2.23% |
| Avg. Drawdown Days | 27 | 29 |
| Recovery Factor | 1.87 | 3.47 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.57 | 1.41 |
| Avg. Up Month | 3.31% | 3.05% |
| Avg. Down Month | -3.03% | -2.48% |
| Win Days | 54.64% | 55.68% |
| Win Month | 61.76% | 66.67% |
| Win Quarter | 58.33% | 75.0% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.56 |
| Alpha | - | 0.08 |
| Correlation | - | 52.74% |
| Treynor Ratio | - | 63.18% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 8.48 | 22.54 | 2.66 | + |
| 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 |
|---|---|---|---|
| 2023-07-28 | 2024-05-20 | -9.40 | 298 |
| 2024-06-26 | 2025-03-13 | -7.28 | 261 |
| 2022-06-29 | 2022-07-28 | -6.95 | 30 |
| 2022-08-22 | 2022-09-12 | -6.07 | 22 |
| 2022-09-14 | 2022-10-03 | -5.79 | 20 |
| 2022-12-05 | 2023-01-16 | -4.73 | 43 |
| 2023-01-31 | 2023-04-19 | -4.62 | 79 |
| 2023-05-16 | 2023-07-13 | -3.51 | 59 |
| 2022-10-28 | 2022-11-01 | -3.39 | 5 |
| 2022-11-18 | 2022-11-30 | -2.69 | 13 |