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% | 87.0% |
| Total Return | 14.26% | 41.38% |
| CAGR﹪ | 3.42% | 9.14% |
| Sharpe | 0.49 | 1.49 |
| Prob. Sharpe Ratio | 77.72% | 99.15% |
| Smart Sharpe | 0.48 | 1.45 |
| Sortino | 0.69 | 2.38 |
| Smart Sortino | 0.67 | 2.31 |
| Sortino/√2 | 0.49 | 1.68 |
| Smart Sortino/√2 | 0.47 | 1.63 |
| Omega | 1.34 | 1.34 |
| Max Drawdown | -15.9% | -7.92% |
| Longest DD Days | 456 | 246 |
| Volatility (ann.) | 12.0% | 11.53% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.2 | 1.33 |
| Skew | -0.2 | 0.81 |
| Kurtosis | 5.5 | 8.37 |
| Expected Daily | 0.02% | 0.07% |
| Expected Monthly | 0.42% | 1.33% |
| Expected Yearly | 3.42% | 9.91% |
| Kelly Criterion | -0.88% | 12.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.22% | -1.13% |
| Expected Shortfall (cVaR) | -1.22% | -1.13% |
| Max Consecutive Wins | 8 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.09 | 0.34 |
| Gain/Pain (1M) | 0.4 | 1.78 |
| Payoff Ratio | 0.84 | 0.96 |
| Profit Factor | 1.09 | 1.34 |
| Common Sense Ratio | 0.92 | 1.35 |
| CPC Index | 0.49 | 0.74 |
| Tail Ratio | 0.85 | 1.01 |
| Outlier Win Ratio | 3.7 | 4.42 |
| Outlier Loss Ratio | 3.16 | 3.43 |
| MTD | -1.21% | 3.21% |
| 3M | 4.26% | 13.84% |
| 6M | 9.25% | 20.06% |
| YTD | 9.89% | 26.03% |
| 1Y | 6.14% | 20.16% |
| 3Y (ann.) | 3.42% | 9.14% |
| 5Y (ann.) | 3.42% | 9.14% |
| 10Y (ann.) | 3.42% | 9.14% |
| All-time (ann.) | 3.42% | 9.14% |
| Best Day | 5.04% | 5.67% |
| Worst Day | -4.68% | -3.41% |
| Best Month | 6.92% | 8.96% |
| Worst Month | -4.61% | -5.75% |
| Best Year | 9.89% | 26.03% |
| Worst Year | -2.41% | -0.82% |
| Avg. Drawdown | -2.44% | -1.83% |
| Avg. Drawdown Days | 47 | 23 |
| Recovery Factor | 0.9 | 5.22 |
| Ulcer Index | 0.04 | 0.03 |
| Serenity Index | 0.3 | 2.01 |
| Avg. Up Month | 3.01% | 3.55% |
| Avg. Down Month | -2.83% | -2.17% |
| Win Days | 53.87% | 57.33% |
| Win Month | 56.67% | 66.67% |
| Win Quarter | 50.0% | 66.67% |
| Win Year | 50.0% | 75.0% |
| Beta | - | 0.41 |
| Alpha | - | 0.15 |
| Correlation | - | 42.61% |
| Treynor Ratio | - | 119.35% |
| 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 | 9.89 | 26.03 | 2.63 | + |
| 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 | 2025-07-11 | -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 |
| 2024-05-01 | 2024-05-20 | -2.41 | 20 |