| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 97.0% | 100.0% |
| Cumulative Return | 89.24% | 170.82% |
| Max Drawdown | -7.11% | -35.54% |
| Sharpe | 2.74 | 1.36 |
| Sortino | 5.53 | 2.08 |
| Payoff Ratio | 1.89 | 1.37 |
| Profit Factor | 1.72 | 1.24 |
| Common Sense Ratio | 3.06 | 1.62 |
| CPC Index | 1.65 | 0.83 |
| Tail Ratio | 1.78 | 1.31 |
| Outlier Win Ratio | 13.4 | 3.11 |
| Outlier Loss Ratio | 14.28 | 2.67 |
| Volatility (ann.) | 13.35% | 50.36% |
| R^2 | 0.26 | 0.26 |
| Calmar | 6.03 | 2.1 |
| Skew | 2.02 | 0.11 |
| Kurtosis | 12.78 | 4.17 |
| Expected Daily % | 0.1% | 0.15% |
| Expected Monthly % | 2.81% | 4.43% |
| Expected Yearly % | 23.69% | 39.39% |
| Kelly Criterion | 24.66% | 11.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.05% | -4.15% |
| Expected Shortfall (cVaR) | -1.05% | -4.15% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -28.83 | -0.71 | 0.02 | + |
| 2023 | 155.57 | 58.27 | 0.37 | - |
| 2024 | 48.90 | 20.42 | 0.42 | - |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | 0.22% | 3.81% |
| 3M | 23.19% | 47.83% |
| 6M | 23.4% | 77.49% |
| YTD | 20.42% | 48.9% |
| 1Y | 41.68% | 116.6% |
| 3Y (ann.) | 42.84% | 74.52% |
| 5Y (ann.) | 42.84% | 74.52% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -7.11% | -35.54% |
| Longest DD Days | 156.0 | 187.0 |
| Avg. Drawdown | -1.18% | -6.33% |
| Avg. Drawdown Days | 14.0 | 19.0 |
| Recovery Factor | 12.55 | 4.81 |
| Ulcer Index | inf | inf |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-08-10 | 2023-01-13 | -7.11 | 156 |
| 2024-01-09 | 2024-02-15 | -6.35 | 37 |
| 2023-06-26 | 2023-10-23 | -5.31 | 119 |
| 2023-04-15 | 2023-06-21 | -4.45 | 67 |
| 2024-03-14 | 2024-03-25 | -3.42 | 11 |
| 2022-07-21 | 2022-07-28 | -2.26 | 7 |
| 2023-12-10 | 2023-12-21 | -2.22 | 11 |
| 2023-01-30 | 2023-02-16 | -2.21 | 17 |
| 2023-02-21 | 2023-03-13 | -1.68 | 20 |
| 2023-03-25 | 2023-04-11 | -1.36 | 17 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 5.14% | 10.58% |
| Worst Day | -3.28% | -14.33% |
| Best Week | 10.04% | 35.76% |
| Worst Week | -3.43% | -19.39% |
| Best Month | 17.2% | 43.76% |
| Worst Month | -4.1% | -16.23% |
| Best Year | 58.27% | 155.57% |
| Worst Year | -0.71% | -28.83% |
| Avg. Up Day | 0.55% | 2.36% |
| Avg. Down Day | -0.29% | -1.73% |
| Avg. Up Week | 2.42% | 7.2% |
| Avg. Down Week | -0.84% | -4.3% |
| Avg. Up Month | 6.17% | 15.12% |
| Avg. Down Month | -2.13% | -9.27% |
| Win Days % | 50.71% | 49.15% |
| Win Month % | 65.22% | 65.22% |
| Win Week % | 52.08% | 51.04% |
| Win Quarter % | 75.0% | 50.0% |
| Win Year % | 66.67% | 66.67% |