model version v4+ with no 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% | 87.0% |
| Total Return | 14.46% | 48.95% |
| CAGR﹪ | 3.28% | 10.0% |
| Sharpe | 0.48 | 1.56 |
| Prob. Sharpe Ratio | 77.6% | 99.49% |
| Smart Sharpe | 0.47 | 1.54 |
| Sortino | 0.66 | 2.49 |
| Smart Sortino | 0.65 | 2.45 |
| Sortino/√2 | 0.47 | 1.76 |
| Smart Sortino/√2 | 0.46 | 1.73 |
| Omega | 1.35 | 1.35 |
| Max Drawdown | -15.9% | -8.57% |
| Longest DD Days | 456 | 246 |
| Volatility (ann.) | 11.86% | 12.25% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.19 | 1.39 |
| Skew | -0.19 | 0.76 |
| Kurtosis | 5.42 | 7.35 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.42% | 1.52% |
| Expected Yearly | 3.47% | 11.52% |
| Kelly Criterion | -1.92% | 13.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.21% | -1.19% |
| Expected Shortfall (cVaR) | -1.21% | -1.19% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.09 | 0.35 |
| Gain/Pain (1M) | 0.41 | 2.09 |
| Payoff Ratio | 0.84 | 0.96 |
| Profit Factor | 1.09 | 1.35 |
| Common Sense Ratio | 0.94 | 1.37 |
| CPC Index | 0.49 | 0.75 |
| Tail Ratio | 0.86 | 1.01 |
| Outlier Win Ratio | 3.69 | 4.13 |
| Outlier Loss Ratio | 3.3 | 3.33 |
| MTD | 0.45% | -0.16% |
| 3M | 1.69% | 19.22% |
| 6M | 10.72% | 31.31% |
| YTD | 10.09% | 33.6% |
| 1Y | 6.34% | 27.73% |
| 3Y (ann.) | 3.28% | 10.0% |
| 5Y (ann.) | 3.28% | 10.0% |
| 10Y (ann.) | 3.28% | 10.0% |
| All-time (ann.) | 3.28% | 10.0% |
| Best Day | 5.04% | 5.67% |
| Worst Day | -4.68% | -3.41% |
| Best Month | 6.92% | 10.94% |
| Worst Month | -4.61% | -5.75% |
| Best Year | 10.09% | 33.6% |
| Worst Year | -2.41% | -0.82% |
| Avg. Drawdown | -2.38% | -1.92% |
| Avg. Drawdown Days | 45 | 21 |
| Recovery Factor | 0.91 | 5.71 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.31 | 2.43 |
| Avg. Up Month | 3.01% | 3.55% |
| Avg. Down Month | -2.83% | -2.17% |
| Win Days | 53.46% | 57.65% |
| Win Month | 58.06% | 64.52% |
| Win Quarter | 53.85% | 61.54% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.42 |
| Alpha | - | 0.17 |
| Correlation | - | 40.69% |
| Treynor Ratio | - | 142.78% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.41 | -0.82 | 0.34 | + |
| 2023 | 8.14 | 11.18 | 1.37 | + |
| 2024 | -1.36 | 4.99 | -3.66 | + |
| 2025 | 10.09 | 33.60 | 3.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-10-09 | 2025-10-31 | -8.57 | 23 |
| 2023-07-28 | 2023-12-13 | -7.92 | 139 |
| 2025-02-28 | 2025-04-29 | -7.77 | 61 |
| 2024-06-26 | 2025-02-26 | -6.84 | 246 |
| 2025-05-28 | 2025-07-11 | -4.90 | 45 |
| 2025-07-24 | 2025-08-07 | -4.42 | 15 |
| 2023-01-31 | 2023-04-04 | -4.13 | 64 |
| 2023-05-16 | 2023-07-04 | -3.33 | 50 |
| 2022-12-15 | 2023-01-11 | -2.86 | 28 |
| 2025-08-22 | 2025-09-04 | -2.52 | 14 |