model version v4+ 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 | 96.0% | 88.0% |
| Total Return | 14.26% | 28.11% |
| CAGR﹪ | 3.42% | 6.45% |
| Sharpe | 0.49 | 1.02 |
| Prob. Sharpe Ratio | 77.72% | 94.63% |
| Smart Sharpe | 0.48 | 0.99 |
| Sortino | 0.69 | 1.58 |
| Smart Sortino | 0.67 | 1.53 |
| Sortino/√2 | 0.49 | 1.11 |
| Smart Sortino/√2 | 0.47 | 1.08 |
| Omega | 1.22 | 1.22 |
| Max Drawdown | -15.9% | -9.4% |
| Longest DD Days | 456 | 310 |
| Volatility (ann.) | 12.0% | 11.5% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.2 | 0.74 |
| Skew | -0.2 | 0.79 |
| Kurtosis | 5.5 | 8.35 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.42% | 0.89% |
| Expected Yearly | 3.42% | 6.64% |
| Kelly Criterion | -0.27% | 6.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.22% | -1.15% |
| Expected Shortfall (cVaR) | -1.22% | -1.15% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.09 | 0.22 |
| Gain/Pain (1M) | 0.4 | 1.01 |
| Payoff Ratio | 0.85 | 0.93 |
| Profit Factor | 1.09 | 1.22 |
| Common Sense Ratio | 0.92 | 1.17 |
| CPC Index | 0.5 | 0.62 |
| Tail Ratio | 0.85 | 0.96 |
| Outlier Win Ratio | 3.67 | 4.42 |
| Outlier Loss Ratio | 3.17 | 3.51 |
| 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.) | 3.42% | 6.45% |
| 5Y (ann.) | 3.42% | 6.45% |
| 10Y (ann.) | 3.42% | 6.45% |
| All-time (ann.) | 3.42% | 6.45% |
| Best Day | 5.04% | 5.63% |
| Worst Day | -4.68% | -3.42% |
| Best Month | 6.92% | 8.42% |
| Worst Month | -4.61% | -6.09% |
| Best Year | 9.89% | 22.61% |
| Worst Year | -2.41% | -1.15% |
| Avg. Drawdown | -2.44% | -2.06% |
| Avg. Drawdown Days | 47 | 36 |
| Recovery Factor | 0.9 | 2.99 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.3 | 0.87 |
| Avg. Up Month | 3.19% | 3.29% |
| Avg. Down Month | -2.65% | -2.32% |
| Win Days | 53.87% | 54.99% |
| Win Month | 56.67% | 60.0% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.09 |
| Correlation | - | 42.6% |
| Treynor Ratio | - | 74.39% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.41 | -1.15 | 0.48 | + |
| 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 |
| 2025-05-28 | 2025-07-11 | -5.39 | 45 |
| 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 |
| 2022-12-15 | 2023-01-12 | -2.93 | 29 |
| 2025-08-22 | 2025-09-04 | -2.69 | 14 |
| 2025-08-18 | 2025-08-20 | -2.03 | 3 |
| 2025-05-09 | 2025-05-12 | -1.46 | 4 |