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% | 73.0% |
| Total Return | 8.58% | 8.99% |
| CAGR﹪ | 2.56% | 2.68% |
| Sharpe | 0.33 | 0.45 |
| Prob. Sharpe Ratio | 69.39% | 75.41% |
| Smart Sharpe | 0.3 | 0.4 |
| Sortino | 0.45 | 0.63 |
| Smart Sortino | 0.4 | 0.57 |
| Sortino/√2 | 0.32 | 0.45 |
| Smart Sortino/√2 | 0.28 | 0.4 |
| Omega | 1.1 | 1.1 |
| Max Drawdown | -10.39% | -9.4% |
| Longest DD Days | 324 | 298 |
| Volatility (ann.) | 11.0% | 8.54% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.21 | 0.27 |
| Skew | -0.57 | -0.09 |
| Kurtosis | 1.44 | 4.64 |
| Expected Daily | 0.01% | 0.01% |
| Expected Monthly | 0.25% | 0.29% |
| Expected Yearly | 1.97% | 2.22% |
| Kelly Criterion | -2.2% | -0.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.13% | -0.87% |
| Expected Shortfall (cVaR) | -1.13% | -0.87% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.06 | 0.1 |
| Gain/Pain (1M) | 0.24 | 0.4 |
| Payoff Ratio | 0.83 | 0.8 |
| Profit Factor | 1.06 | 1.1 |
| Common Sense Ratio | 0.86 | 0.92 |
| CPC Index | 0.47 | 0.49 |
| Tail Ratio | 0.82 | 0.84 |
| Outlier Win Ratio | 2.95 | 5.58 |
| Outlier Loss Ratio | 2.9 | 3.38 |
| 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.) | 2.56% | 2.68% |
| 5Y (ann.) | 2.56% | 2.68% |
| 10Y (ann.) | 2.56% | 2.68% |
| All-time (ann.) | 2.56% | 2.68% |
| Best Day | 1.75% | 3.1% |
| Worst Day | -3.7% | -2.68% |
| Best Month | 6.92% | 4.24% |
| Worst Month | -5.18% | -6.09% |
| Best Year | 8.14% | 5.65% |
| Worst Year | -5.03% | -1.15% |
| Avg. Drawdown | -2.43% | -2.02% |
| Avg. Drawdown Days | 30 | 47 |
| Recovery Factor | 0.83 | 0.96 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.23 | 0.25 |
| Avg. Up Month | 3.05% | 2.54% |
| Avg. Down Month | -2.96% | -2.34% |
| Win Days | 53.78% | 55.37% |
| Win Month | 57.14% | 54.17% |
| Win Quarter | 50.0% | 60.0% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.39 |
| Alpha | - | 0.02 |
| Correlation | - | 49.99% |
| Treynor Ratio | - | 21.87% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.41 | -1.15 | 0.48 | + |
| 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 |
| 2023-01-31 | 2023-04-19 | -4.62 | 79 |
| 2023-05-16 | 2023-07-13 | -3.51 | 59 |
| 2022-12-15 | 2023-01-12 | -2.93 | 29 |
| 2023-04-26 | 2023-05-05 | -1.28 | 10 |
| 2024-05-28 | 2024-05-30 | -0.83 | 3 |
| 2024-06-11 | 2024-06-14 | -0.65 | 4 |
| 2024-05-24 | 2024-05-24 | -0.53 | 1 |
| 2024-06-04 | 2024-06-04 | -0.35 | 1 |