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 | 97.0% | 88.0% |
| Total Return | 14.46% | 34.71% |
| CAGR﹪ | 3.28% | 7.38% |
| Sharpe | 0.48 | 1.11 |
| Prob. Sharpe Ratio | 77.6% | 96.5% |
| Smart Sharpe | 0.47 | 1.09 |
| Sortino | 0.66 | 1.72 |
| Smart Sortino | 0.66 | 1.7 |
| Sortino/√2 | 0.47 | 1.22 |
| Smart Sortino/√2 | 0.46 | 1.2 |
| Omega | 1.24 | 1.24 |
| Max Drawdown | -15.9% | -9.4% |
| Longest DD Days | 456 | 310 |
| Volatility (ann.) | 11.86% | 12.23% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.19 | 0.87 |
| Skew | -0.19 | 0.74 |
| Kurtosis | 5.42 | 7.34 |
| Expected Daily | 0.02% | 0.05% |
| Expected Monthly | 0.42% | 1.06% |
| Expected Yearly | 3.47% | 8.05% |
| Kelly Criterion | -1.27% | 7.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.21% |
| Expected Shortfall (cVaR) | -1.21% | -1.21% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.09 | 0.24 |
| Gain/Pain (1M) | 0.41 | 1.22 |
| Payoff Ratio | 0.85 | 0.94 |
| Profit Factor | 1.09 | 1.24 |
| Common Sense Ratio | 0.94 | 1.17 |
| CPC Index | 0.49 | 0.64 |
| Tail Ratio | 0.86 | 0.95 |
| Outlier Win Ratio | 3.65 | 4.1 |
| Outlier Loss Ratio | 3.32 | 3.42 |
| MTD | 0.45% | -0.71% |
| 3M | 1.69% | 17.52% |
| 6M | 10.72% | 28.17% |
| YTD | 10.09% | 29.21% |
| 1Y | 6.34% | 22.98% |
| 3Y (ann.) | 3.28% | 7.38% |
| 5Y (ann.) | 3.28% | 7.38% |
| 10Y (ann.) | 3.28% | 7.38% |
| All-time (ann.) | 3.28% | 7.38% |
| Best Day | 5.04% | 5.63% |
| Worst Day | -4.68% | -3.42% |
| Best Month | 6.92% | 10.36% |
| Worst Month | -4.61% | -6.09% |
| Best Year | 10.09% | 29.21% |
| Worst Year | -2.41% | -1.15% |
| Avg. Drawdown | -2.38% | -2.18% |
| Avg. Drawdown Days | 45 | 32 |
| Recovery Factor | 0.91 | 3.69 |
| Ulcer Index | 0.04 | 0.04 |
| Serenity Index | 0.31 | 1.13 |
| Avg. Up Month | 3.19% | 3.29% |
| Avg. Down Month | -2.65% | -2.32% |
| Win Days | 53.46% | 55.28% |
| Win Month | 58.06% | 58.06% |
| Win Quarter | 53.85% | 61.54% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.11 |
| Correlation | - | 40.67% |
| Treynor Ratio | - | 92.56% |
| 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 | 10.09 | 29.21 | 2.90 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-07-28 | 2024-05-20 | -9.40 | 298 |
| 2024-06-26 | 2025-05-01 | -9.10 | 310 |
| 2025-10-09 | 2025-10-31 | -8.91 | 23 |
| 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 |