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% | 90.0% |
| Total Return | 25.15% | 51.8% |
| CAGR﹪ | 4.95% | 9.41% |
| Sharpe | 0.68 | 1.24 |
| Prob. Sharpe Ratio | 87.69% | 98.63% |
| Smart Sharpe | 0.67 | 1.21 |
| Sortino | 0.97 | 2.02 |
| Smart Sortino | 0.95 | 1.97 |
| Sortino/√2 | 0.69 | 1.43 |
| Smart Sortino/√2 | 0.67 | 1.39 |
| Omega | 1.28 | 1.28 |
| Max Drawdown | -15.9% | -9.4% |
| Longest DD Days | 456 | 310 |
| Volatility (ann.) | 12.72% | 14.48% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.32 | 1.18 |
| Skew | -0.06 | 1.41 |
| Kurtosis | 4.28 | 13.33 |
| Expected Daily | 0.03% | 0.07% |
| Expected Monthly | 0.63% | 1.39% |
| Expected Yearly | 6.19% | 12.52% |
| Kelly Criterion | 1.21% | 9.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.28% | -1.43% |
| Expected Shortfall (cVaR) | -1.28% | -1.43% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.13 | 0.28 |
| Gain/Pain (1M) | 0.58 | 1.94 |
| Payoff Ratio | 0.85 | 0.97 |
| Profit Factor | 1.13 | 1.28 |
| Common Sense Ratio | 1.03 | 1.42 |
| CPC Index | 0.52 | 0.69 |
| Tail Ratio | 0.91 | 1.11 |
| Outlier Win Ratio | 3.97 | 4.06 |
| Outlier Loss Ratio | 3.27 | 3.23 |
| MTD | -1.21% | 3.04% |
| 3M | 4.26% | 12.2% |
| 6M | 9.25% | 17.28% |
| YTD | 9.89% | 22.61% |
| 1Y | 6.14% | 16.38% |
| 3Y (ann.) | 4.78% | 7.48% |
| 5Y (ann.) | 4.95% | 9.41% |
| 10Y (ann.) | 4.95% | 9.41% |
| All-time (ann.) | 4.95% | 9.41% |
| Best Day | 5.04% | 8.46% |
| Worst Day | -4.68% | -3.67% |
| Best Month | 6.92% | 8.42% |
| Worst Month | -7.34% | -6.09% |
| Best Year | 9.89% | 22.61% |
| Worst Year | -1.36% | 0.99% |
| Avg. Drawdown | -2.33% | -2.21% |
| Avg. Drawdown Days | 39 | 26 |
| Recovery Factor | 1.58 | 5.51 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.58 | 2.16 |
| Avg. Up Month | 3.36% | 3.51% |
| Avg. Down Month | -2.68% | -2.45% |
| Win Days | 54.7% | 55.47% |
| Win Month | 61.11% | 69.44% |
| Win Quarter | 57.14% | 78.57% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.55 |
| Alpha | - | 0.13 |
| Correlation | - | 48.53% |
| Treynor Ratio | - | 113.89% |
| 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 | 9.89 | 22.61 | 2.29 | + |
| 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 |
| 2025-05-28 | 2025-07-11 | -5.39 | 45 |
| 2022-12-05 | 2023-01-16 | -4.73 | 43 |
| 2023-01-31 | 2023-04-19 | -4.62 | 79 |
| 2025-07-24 | 2025-08-07 | -4.58 | 15 |
| 2023-05-16 | 2023-07-13 | -3.51 | 59 |