model version v4+ with realized 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% | 73.0% |
| Total Return | 8.58% | -26.97% |
| CAGR﹪ | 2.56% | -9.19% |
| Sharpe | 0.33 | -1.36 |
| Prob. Sharpe Ratio | 69.39% | 1.83% |
| Smart Sharpe | 0.3 | -1.2 |
| Sortino | 0.45 | -1.74 |
| Smart Sortino | 0.4 | -1.54 |
| Sortino/√2 | 0.32 | -1.23 |
| Smart Sortino/√2 | 0.28 | -1.09 |
| Omega | 0.76 | 0.76 |
| Max Drawdown | -10.39% | -25.58% |
| Longest DD Days | 324 | 773 |
| Volatility (ann.) | 11.0% | 8.5% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | -0.32 |
| Skew | -0.57 | -0.25 |
| Kurtosis | 1.44 | 4.54 |
| Expected Daily | 0.01% | -0.05% |
| Expected Monthly | 0.25% | -0.99% |
| Expected Yearly | 1.97% | -6.95% |
| Kelly Criterion | 2.06% | -25.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.13% | -0.93% |
| Expected Shortfall (cVaR) | -1.13% | -0.93% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.06 | -0.24 |
| Gain/Pain (1M) | 0.24 | -0.65 |
| Payoff Ratio | 0.89 | 0.72 |
| Profit Factor | 1.06 | 0.76 |
| Common Sense Ratio | 0.86 | 0.51 |
| CPC Index | 0.51 | 0.26 |
| Tail Ratio | 0.82 | 0.67 |
| Outlier Win Ratio | 2.93 | 6.21 |
| Outlier Loss Ratio | 2.96 | 3.43 |
| MTD | -5.28% | -1.97% |
| 3M | -7.06% | -1.91% |
| 6M | -3.86% | -6.52% |
| YTD | -5.03% | 0.92% |
| 1Y | 1.15% | -6.41% |
| 3Y (ann.) | 2.56% | -9.19% |
| 5Y (ann.) | 2.56% | -9.19% |
| 10Y (ann.) | 2.56% | -9.19% |
| All-time (ann.) | 2.56% | -9.19% |
| Best Day | 1.75% | 2.99% |
| Worst Day | -3.7% | -2.71% |
| Best Month | 6.92% | 2.66% |
| Worst Month | -5.18% | -7.23% |
| Best Year | 8.14% | 0.92% |
| Worst Year | -5.03% | -13.08% |
| Avg. Drawdown | -2.43% | -7.26% |
| Avg. Drawdown Days | 30 | 203 |
| Recovery Factor | 0.83 | 1.05 |
| Ulcer Index | 0.04 | 0.16 |
| Serenity Index | 0.23 | -0.03 |
| Avg. Up Month | 3.77% | 1.64% |
| Avg. Down Month | -2.96% | -3.44% |
| Win Days | 53.78% | 47.66% |
| Win Month | 57.14% | 37.5% |
| Win Quarter | 50.0% | 10.0% |
| Win Year | 50.0% | 25.0% |
| Beta | - | 0.39 |
| Alpha | - | -0.13 |
| Correlation | - | 49.93% |
| Treynor Ratio | - | -62.95% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -2.41 | -2.26 | 0.94 | + |
| 2023 | 8.14 | -13.08 | -1.61 | - |
| 2024 | 7.88 | -12.55 | -1.59 | - |
| 2025 | -5.03 | 0.92 | -0.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-01-31 | 2025-03-13 | -25.58 | 773 |
| 2022-12-15 | 2023-01-13 | -3.15 | 30 |
| 2023-01-19 | 2023-01-27 | -0.26 | 9 |
| 2022-12-13 | 2022-12-13 | -0.04 | 1 |