| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 90.0% | 100.0% |
| Cumulative Return | 42.94% | 31.1% |
| Max Drawdown | -4.29% | -26.01% |
| Sharpe | 3.14 | 0.84 |
| Sortino | 6.98 | 1.32 |
| Payoff Ratio | 2.04 | 1.26 |
| Profit Factor | 1.89 | 1.13 |
| Common Sense Ratio | 3.15 | 1.26 |
| CPC Index | 1.93 | 0.71 |
| Tail Ratio | 1.67 | 1.12 |
| Outlier Win Ratio | 12.94 | 2.7 |
| Outlier Loss Ratio | 12.79 | 2.01 |
| Volatility (ann.) | 12.73% | 50.21% |
| R^2 | 0.06 | 0.06 |
| Calmar | 11.2 | 1.33 |
| Skew | 2.88 | 0.6 |
| Kurtosis | 19.18 | 2.51 |
| Expected Daily % | 0.11% | 0.08% |
| Expected Monthly % | 3.3% | 2.49% |
| Expected Yearly % | 19.56% | 14.5% |
| Kelly Criterion | 25.78% | 9.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.99% | -4.21% |
| Expected Shortfall (cVaR) | -0.99% | -4.21% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 48.30 | 42.62 | 0.88 | - |
| 2025 | -11.60 | 0.22 | -0.02 | + |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | 1.12% | -2.09% |
| 3M | -0.27% | -13.26% |
| 6M | 27.36% | 25.28% |
| YTD | 0.22% | -11.6% |
| 1Y | 42.94% | 31.1% |
| 3Y (ann.) | 48.1% | 34.67% |
| 5Y (ann.) | 48.1% | 34.67% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -4.29% | -26.01% |
| Longest DD Days | 60.0 | 161.0 |
| Avg. Drawdown | -1.03% | -6.88% |
| Avg. Drawdown Days | 10.0 | 22.0 |
| Recovery Factor | 10.0 | 1.2 |
| Ulcer Index | 0.97 | 1.04 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-05-22 | 2024-07-17 | -4.29 | 56 |
| 2024-08-26 | 2024-09-18 | -3.30 | 23 |
| 2025-01-23 | 2025-03-24 | -3.11 | 60 |
| 2025-01-07 | 2025-01-22 | -2.70 | 15 |
| 2025-03-27 | 2025-03-31 | -2.59 | 4 |
| 2024-07-23 | 2024-08-07 | -2.38 | 15 |
| 2024-10-22 | 2024-11-06 | -1.11 | 15 |
| 2024-12-06 | 2024-12-16 | -1.04 | 10 |
| 2024-10-07 | 2024-10-12 | -0.85 | 5 |
| 2024-11-13 | 2024-11-14 | -0.81 | 1 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 5.57% | 11.89% |
| Worst Day | -2.0% | -8.6% |
| Best Week | 9.47% | 18.92% |
| Worst Week | -1.97% | -12.35% |
| Best Month | 23.08% | 37.42% |
| Worst Month | -2.15% | -17.71% |
| Best Year | 42.62% | 48.3% |
| Worst Year | 0.22% | -11.6% |
| Avg. Up Day | 0.53% | 2.41% |
| Avg. Down Day | -0.26% | -1.9% |
| Avg. Up Week | 2.42% | 6.62% |
| Avg. Down Week | -0.85% | -4.62% |
| Avg. Up Month | 6.5% | 12.61% |
| Avg. Down Month | -1.84% | -12.42% |
| Win Days % | 50.17% | 49.39% |
| Win Month % | 81.82% | 54.55% |
| Win Week % | 56.25% | 51.02% |
| Win Quarter % | 75.0% | 50.0% |
| Win Year % | 100.0% | 50.0% |