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 | 97.0% | 89.0% |
| Total Return | 21.47% | 36.88% |
| CAGR﹪ | 4.63% | 7.58% |
| Sharpe | 0.63 | 0.97 |
| Prob. Sharpe Ratio | 84.56% | 95.05% |
| Smart Sharpe | 0.6 | 0.94 |
| Sortino | 0.89 | 1.57 |
| Smart Sortino | 0.86 | 1.51 |
| Sortino/√2 | 0.63 | 1.11 |
| Smart Sortino/√2 | 0.61 | 1.07 |
| Omega | 1.22 | 1.22 |
| Max Drawdown | -15.9% | -9.4% |
| Longest DD Days | 435 | 310 |
| Volatility (ann.) | 12.95% | 14.36% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.29 | 0.88 |
| Skew | -0.06 | 1.57 |
| Kurtosis | 4.3 | 15.22 |
| Expected Daily | 0.03% | 0.05% |
| Expected Monthly | 0.58% | 1.07% |
| Expected Yearly | 5.29% | 8.93% |
| Kelly Criterion | -0.4% | 6.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.31% | -1.43% |
| Expected Shortfall (cVaR) | -1.31% | -1.43% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.12 | 0.22 |
| Gain/Pain (1M) | 0.51 | 1.41 |
| Payoff Ratio | 0.81 | 0.91 |
| Profit Factor | 1.12 | 1.22 |
| Common Sense Ratio | 1.01 | 1.25 |
| CPC Index | 0.5 | 0.61 |
| Tail Ratio | 0.91 | 1.02 |
| Outlier Win Ratio | 4.05 | 4.39 |
| Outlier Loss Ratio | 3.19 | 3.28 |
| MTD | 1.97% | -3.73% |
| 3M | 8.95% | 3.1% |
| 6M | 2.78% | 2.98% |
| YTD | 6.21% | 7.7% |
| 1Y | 1.1% | 2.76% |
| 3Y (ann.) | 4.17% | 5.97% |
| 5Y (ann.) | 4.63% | 7.58% |
| 10Y (ann.) | 4.63% | 7.58% |
| All-time (ann.) | 4.63% | 7.58% |
| Best Day | 5.04% | 8.46% |
| Worst Day | -4.68% | -3.67% |
| Best Month | 6.92% | 5.86% |
| Worst Month | -7.34% | -6.09% |
| Best Year | 8.48% | 22.54% |
| Worst Year | -1.36% | 0.99% |
| Avg. Drawdown | -2.86% | -2.28% |
| Avg. Drawdown Days | 51 | 28 |
| Recovery Factor | 1.35 | 3.92 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 0.47 | 1.47 |
| Avg. Up Month | 3.43% | 3.22% |
| Avg. Down Month | -2.68% | -2.45% |
| Win Days | 55.09% | 55.25% |
| Win Month | 60.61% | 66.67% |
| Win Quarter | 53.85% | 76.92% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.56 |
| Alpha | - | 0.09 |
| Correlation | - | 50.36% |
| Treynor Ratio | - | 73.01% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | 8.48 | 22.54 | 2.66 | + |
| 2023 | 8.14 | 5.65 | 0.69 | - |
| 2024 | -1.36 | 0.99 | -0.73 | + |
| 2025 | 6.21 | 7.70 | 1.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-07-28 | 2024-05-20 | -9.40 | 298 |
| 2024-06-26 | 2025-05-01 | -9.09 | 310 |
| 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 |
| 2025-05-28 | 2025-06-10 | -4.72 | 14 |
| 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 |