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% | 87.0% |
| Total Return | 10.58% | 13.2% |
| CAGR﹪ | 2.82% | 3.49% |
| Sharpe | 0.4 | 0.56 |
| Prob. Sharpe Ratio | 72.18% | 79.87% |
| Smart Sharpe | 0.38 | 0.53 |
| Sortino | 0.56 | 0.84 |
| Smart Sortino | 0.52 | 0.79 |
| Sortino/√2 | 0.39 | 0.59 |
| Smart Sortino/√2 | 0.37 | 0.56 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -15.9% | -9.4% |
| Longest DD Days | 435 | 310 |
| Volatility (ann.) | 12.21% | 10.88% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.16 | 0.36 |
| Skew | -0.19 | 0.87 |
| Kurtosis | 5.66 | 11.31 |
| Expected Daily | 0.02% | 0.02% |
| Expected Monthly | 0.34% | 0.45% |
| Expected Yearly | 2.54% | 3.24% |
| Kelly Criterion | -2.58% | 1.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.1% |
| Expected Shortfall (cVaR) | -1.25% | -1.1% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.07 | 0.12 |
| Gain/Pain (1M) | 0.31 | 0.48 |
| Payoff Ratio | 0.81 | 0.84 |
| Profit Factor | 1.07 | 1.12 |
| Common Sense Ratio | 0.89 | 0.93 |
| CPC Index | 0.47 | 0.51 |
| Tail Ratio | 0.83 | 0.83 |
| Outlier Win Ratio | 3.52 | 4.76 |
| Outlier Loss Ratio | 3.03 | 3.55 |
| 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.) | 2.82% | 3.49% |
| 5Y (ann.) | 2.82% | 3.49% |
| 10Y (ann.) | 2.82% | 3.49% |
| All-time (ann.) | 2.82% | 3.49% |
| Best Day | 5.04% | 5.63% |
| Worst Day | -4.68% | -3.42% |
| Best Month | 6.92% | 4.76% |
| Worst Month | -4.61% | -6.09% |
| Best Year | 8.14% | 7.7% |
| Worst Year | -2.41% | -1.15% |
| Avg. Drawdown | -3.4% | -2.15% |
| Avg. Drawdown Days | 72 | 43 |
| Recovery Factor | 0.67 | 1.4 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 0.2 | 0.37 |
| Avg. Up Month | 3.26% | 2.85% |
| Avg. Down Month | -2.65% | -2.32% |
| Win Days | 54.25% | 54.87% |
| Win Month | 55.56% | 55.56% |
| Win Quarter | 45.45% | 63.64% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.4 |
| Alpha | - | 0.04 |
| Correlation | - | 45.3% |
| Treynor Ratio | - | 31.38% |
| 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 | 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 |
| 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 |
| 2022-12-15 | 2023-01-12 | -2.93 | 29 |
| 2025-05-09 | 2025-05-12 | -1.46 | 4 |
| 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 |