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 | 96.0% | 86.0% |
| Total Return | 10.58% | 24.87% |
| CAGR﹪ | 2.82% | 6.34% |
| Sharpe | 0.4 | 1.06 |
| Prob. Sharpe Ratio | 72.18% | 94.41% |
| Smart Sharpe | 0.38 | 1.0 |
| Sortino | 0.56 | 1.62 |
| Smart Sortino | 0.52 | 1.53 |
| Sortino/√2 | 0.39 | 1.15 |
| Smart Sortino/√2 | 0.37 | 1.08 |
| Omega | 1.23 | 1.23 |
| Max Drawdown | -15.9% | -7.92% |
| Longest DD Days | 435 | 246 |
| Volatility (ann.) | 12.21% | 10.91% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.16 | 0.85 |
| Skew | -0.19 | 0.89 |
| Kurtosis | 5.66 | 11.33 |
| Expected Daily | 0.02% | 0.04% |
| Expected Monthly | 0.34% | 0.88% |
| Expected Yearly | 2.54% | 6.12% |
| Kelly Criterion | -3.33% | 8.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.25% | -1.08% |
| Expected Shortfall (cVaR) | -1.25% | -1.08% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.07 | 0.23 |
| Gain/Pain (1M) | 0.31 | 1.08 |
| Payoff Ratio | 0.79 | 0.86 |
| Profit Factor | 1.07 | 1.23 |
| Common Sense Ratio | 0.89 | 1.09 |
| CPC Index | 0.46 | 0.61 |
| Tail Ratio | 0.83 | 0.88 |
| Outlier Win Ratio | 3.55 | 4.76 |
| Outlier Loss Ratio | 3.01 | 3.43 |
| MTD | 1.97% | -3.59% |
| 3M | 8.95% | 4.22% |
| 6M | 2.78% | 5.07% |
| YTD | 6.21% | 9.53% |
| 1Y | 1.1% | 5.43% |
| 3Y (ann.) | 2.82% | 6.34% |
| 5Y (ann.) | 2.82% | 6.34% |
| 10Y (ann.) | 2.82% | 6.34% |
| All-time (ann.) | 2.82% | 6.34% |
| Best Day | 5.04% | 5.67% |
| Worst Day | -4.68% | -3.41% |
| Best Month | 6.92% | 5.15% |
| Worst Month | -4.61% | -5.75% |
| Best Year | 8.14% | 11.18% |
| Worst Year | -2.41% | -0.82% |
| Avg. Drawdown | -3.4% | -1.86% |
| Avg. Drawdown Days | 72 | 25 |
| Recovery Factor | 0.67 | 3.14 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | 0.2 | 1.1 |
| Avg. Up Month | 3.05% | 3.1% |
| Avg. Down Month | -2.83% | -2.17% |
| Win Days | 54.25% | 57.51% |
| Win Month | 55.56% | 62.96% |
| Win Quarter | 45.45% | 63.64% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.4 |
| Alpha | - | 0.1 |
| Correlation | - | 45.3% |
| Treynor Ratio | - | 65.73% |
| 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 | 6.21 | 9.53 | 1.53 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-07-28 | 2023-12-13 | -7.92 | 139 |
| 2025-02-28 | 2025-04-29 | -7.76 | 61 |
| 2024-06-26 | 2025-02-26 | -6.84 | 246 |
| 2025-05-28 | 2025-06-10 | -4.51 | 14 |
| 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 |
| 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 |