model version v5+ 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 | 98.0% | 68.0% |
| Total Return | 7.02% | 11.47% |
| CAGR﹪ | 2.87% | 4.64% |
| Sharpe | 0.37 | 0.8 |
| Prob. Sharpe Ratio | 68.6% | 85.12% |
| Smart Sharpe | 0.32 | 0.68 |
| Sortino | 0.5 | 1.14 |
| Smart Sortino | 0.43 | 0.96 |
| Sortino/√2 | 0.36 | 0.8 |
| Smart Sortino/√2 | 0.3 | 0.68 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -9.43% | -7.92% |
| Longest DD Days | 144 | 246 |
| Volatility (ann.) | 10.97% | 8.39% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.27 | 0.59 |
| Skew | -0.61 | 0.0 |
| Kurtosis | 1.84 | 4.94 |
| Expected Daily | 0.01% | 0.03% |
| Expected Monthly | 0.28% | 0.51% |
| Expected Yearly | 2.2% | 3.82% |
| Kelly Criterion | -2.75% | 6.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.12% | -0.84% |
| Expected Shortfall (cVaR) | -1.12% | -0.84% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.06 | 0.18 |
| Gain/Pain (1M) | 0.27 | 0.79 |
| Payoff Ratio | 0.81 | 0.83 |
| Profit Factor | 1.06 | 1.18 |
| Common Sense Ratio | 0.89 | 0.96 |
| CPC Index | 0.47 | 0.56 |
| Tail Ratio | 0.84 | 0.81 |
| Outlier Win Ratio | 2.91 | 5.88 |
| Outlier Loss Ratio | 2.94 | 3.22 |
| 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.) | 2.87% | 4.64% |
| 5Y (ann.) | 2.87% | 4.64% |
| 10Y (ann.) | 2.87% | 4.64% |
| All-time (ann.) | 2.87% | 4.64% |
| Best Day | 1.75% | 3.14% |
| Worst Day | -3.7% | -2.21% |
| Best Month | 6.92% | 4.91% |
| Worst Month | -5.18% | -5.75% |
| Best Year | 7.88% | 4.99% |
| Worst Year | -5.03% | 2.23% |
| Avg. Drawdown | -2.42% | -1.68% |
| Avg. Drawdown Days | 23 | 28 |
| Recovery Factor | 0.75 | 1.45 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 0.28 | 0.41 |
| Avg. Up Month | 2.55% | 2.42% |
| Avg. Down Month | -3.46% | -2.74% |
| Win Days | 53.92% | 57.73% |
| Win Month | 61.9% | 64.71% |
| Win Quarter | 42.86% | 57.14% |
| Win Year | 66.67% | 100.0% |
| Beta | - | 0.35 |
| Alpha | - | 0.05 |
| Correlation | - | 45.75% |
| Treynor Ratio | - | 32.82% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 4.18 | 2.23 | 0.53 | - |
| 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 |
| 2025-02-28 | 2025-03-13 | -2.94 | 14 |
| 2024-05-01 | 2024-05-20 | -2.41 | 20 |
| 2024-04-02 | 2024-04-26 | -1.75 | 25 |
| 2024-01-30 | 2024-02-09 | -1.67 | 11 |
| 2023-12-19 | 2024-01-12 | -1.58 | 25 |
| 2024-01-16 | 2024-01-24 | -1.41 | 9 |
| 2024-02-13 | 2024-02-29 | -1.39 | 17 |
| 2024-03-11 | 2024-03-18 | -0.92 | 8 |