| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 84.02% | 96.27% |
| Max Drawdown | -5.72% | -27.85% |
| Sharpe | 3.02 | 1.29 |
| Sortino | 6.32 | 1.96 |
| Payoff Ratio | 1.83 | 1.15 |
| Profit Factor | 1.98 | 1.21 |
| Common Sense Ratio | 4.54 | 1.33 |
| CPC Index | 1.87 | 0.72 |
| Tail Ratio | 2.29 | 1.1 |
| Outlier Win Ratio | 11.64 | 2.87 |
| Outlier Loss Ratio | 14.24 | 2.36 |
| Volatility (ann.) | 16.68% | 52.74% |
| R^2 | 0.33 | 0.33 |
| Calmar | 11.1 | 2.59 |
| Skew | 2.34 | 0.05 |
| Kurtosis | 16.34 | 2.34 |
| Expected Daily % | 0.13% | 0.15% |
| Expected Monthly % | 4.15% | 4.6% |
| Expected Yearly % | 35.65% | 40.1% |
| Kelly Criterion | 25.07% | 10.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.3% | -4.35% |
| Expected Shortfall (cVaR) | -1.3% | -4.35% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 118.80 | 89.57 | 0.75 | - |
| 2025 | -10.30 | -2.93 | 0.28 | + |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | -0.64% | 3.85% |
| 3M | -3.26% | -13.73% |
| 6M | 28.81% | 26.86% |
| YTD | -2.93% | -10.3% |
| 1Y | 50.93% | 18.11% |
| 3Y (ann.) | 63.46% | 72.17% |
| 5Y (ann.) | 63.46% | 72.17% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -5.72% | -27.85% |
| Longest DD Days | 82.0 | 236.0 |
| Avg. Drawdown | -1.0% | -6.18% |
| Avg. Drawdown Days | 9.0 | 26.0 |
| Recovery Factor | 14.7 | 3.46 |
| Ulcer Index | 1.05 | 1.02 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-09 | 2024-02-10 | -5.72 | 32 |
| 2024-05-22 | 2024-07-20 | -5.03 | 59 |
| 2024-08-25 | 2024-09-19 | -4.40 | 25 |
| 2025-01-07 | 2025-03-30 | -4.01 | 82 |
| 2024-07-23 | 2024-07-27 | -3.42 | 4 |
| 2024-10-22 | 2024-11-06 | -1.88 | 15 |
| 2024-11-15 | 2024-11-16 | -1.51 | 1 |
| 2024-05-11 | 2024-05-14 | -1.47 | 3 |
| 2024-11-13 | 2024-11-14 | -1.33 | 1 |
| 2024-09-21 | 2024-09-25 | -0.95 | 4 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 6.56% | 9.49% |
| Worst Day | -4.02% | -13.23% |
| Best Week | 11.93% | 19.7% |
| Worst Week | -4.77% | -18.81% |
| Best Month | 30.62% | 45.54% |
| Worst Month | -4.13% | -23.44% |
| Best Year | 89.57% | 118.8% |
| Worst Year | -2.93% | -10.3% |
| Avg. Up Day | 0.67% | 2.3% |
| Avg. Down Day | -0.37% | -2.0% |
| Avg. Up Week | 2.5% | 6.54% |
| Avg. Down Week | -1.0% | -4.9% |
| Avg. Up Month | 10.82% | 18.63% |
| Avg. Down Month | -1.26% | -15.07% |
| Win Days % | 51.53% | 52.1% |
| Win Month % | 60.0% | 66.67% |
| Win Week % | 61.19% | 55.22% |
| Win Quarter % | 80.0% | 60.0% |
| Win Year % | 50.0% | 50.0% |