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% | 72.0% |
| Total Return | 8.58% | 19.61% |
| CAGR﹪ | 2.56% | 5.64% |
| Sharpe | 0.33 | 0.98 |
| Prob. Sharpe Ratio | 69.39% | 93.22% |
| Smart Sharpe | 0.3 | 0.87 |
| Sortino | 0.45 | 1.42 |
| Smart Sortino | 0.4 | 1.27 |
| Sortino/√2 | 0.32 | 1.01 |
| Smart Sortino/√2 | 0.28 | 0.9 |
| Omega | 1.22 | 1.22 |
| Max Drawdown | -10.39% | -7.92% |
| Longest DD Days | 324 | 246 |
| Volatility (ann.) | 11.0% | 8.56% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.21 | 0.75 |
| Skew | -0.57 | -0.04 |
| Kurtosis | 1.44 | 4.63 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.25% | 0.67% |
| Expected Yearly | 1.97% | 4.82% |
| Kelly Criterion | -3.14% | 7.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.13% | -0.85% |
| Expected Shortfall (cVaR) | -1.13% | -0.85% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.06 | 0.22 |
| Gain/Pain (1M) | 0.24 | 1.06 |
| Payoff Ratio | 0.81 | 0.83 |
| Profit Factor | 1.06 | 1.22 |
| Common Sense Ratio | 0.86 | 1.09 |
| CPC Index | 0.46 | 0.59 |
| Tail Ratio | 0.82 | 0.89 |
| Outlier Win Ratio | 2.97 | 5.49 |
| Outlier Loss Ratio | 2.88 | 3.27 |
| MTD | -5.28% | -1.21% |
| 3M | -7.06% | 2.22% |
| 6M | -3.86% | -1.61% |
| YTD | -5.03% | 4.26% |
| 1Y | 1.15% | 7.54% |
| 3Y (ann.) | 2.56% | 5.64% |
| 5Y (ann.) | 2.56% | 5.64% |
| 10Y (ann.) | 2.56% | 5.64% |
| All-time (ann.) | 2.56% | 5.64% |
| Best Day | 1.75% | 3.14% |
| Worst Day | -3.7% | -2.67% |
| Best Month | 6.92% | 4.91% |
| Worst Month | -5.18% | -5.75% |
| Best Year | 8.14% | 11.18% |
| Worst Year | -5.03% | -0.82% |
| Avg. Drawdown | -2.43% | -1.66% |
| Avg. Drawdown Days | 30 | 25 |
| Recovery Factor | 0.83 | 2.48 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.23 | 0.88 |
| Avg. Up Month | 2.82% | 2.8% |
| Avg. Down Month | -3.2% | -2.21% |
| Win Days | 53.78% | 58.16% |
| Win Month | 57.14% | 62.5% |
| Win Quarter | 50.0% | 60.0% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.39 |
| Alpha | - | 0.07 |
| Correlation | - | 49.93% |
| Treynor Ratio | - | 53.06% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.41 | -0.82 | 0.34 | + |
| 2023 | 8.14 | 11.18 | 1.37 | + |
| 2024 | 7.88 | 4.99 | 0.63 | - |
| 2025 | -5.03 | 4.26 | -0.85 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-07-28 | 2023-12-13 | -7.92 | 139 |
| 2024-06-26 | 2025-02-26 | -6.84 | 246 |
| 2023-01-31 | 2023-04-04 | -4.13 | 64 |
| 2023-05-16 | 2023-07-04 | -3.33 | 50 |
| 2025-02-28 | 2025-03-13 | -2.94 | 14 |
| 2022-12-15 | 2023-01-11 | -2.86 | 28 |
| 2024-05-01 | 2024-05-20 | -2.41 | 20 |
| 2023-07-06 | 2023-07-13 | -2.04 | 8 |
| 2024-04-02 | 2024-04-26 | -1.75 | 25 |
| 2024-01-30 | 2024-02-09 | -1.67 | 11 |