| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 34.0% | 100.0% |
| Cumulative Return | 261.42% | 96.95% |
| Max Drawdown | -21.35% | -67.2% |
| Sharpe | 0.79 | 0.33 |
| Sortino | 1.24 | 0.48 |
| Payoff Ratio | 1.21 | 1.19 |
| Profit Factor | 1.25 | 1.06 |
| Common Sense Ratio | 1.54 | 1.03 |
| CPC Index | 0.76 | 0.64 |
| Tail Ratio | 1.23 | 0.97 |
| Outlier Win Ratio | 20.16 | 4.09 |
| Outlier Loss Ratio | 4.32 | 3.56 |
| Volatility (ann.) | 14.18% | 26.64% |
| R^2 | 0.28 | 0.28 |
| Calmar | 2.34 | 0.35 |
| Skew | 1.03 | 0.19 |
| Kurtosis | 24.7 | 6.34 |
| Expected Daily % | 0.03% | 0.01% |
| Expected Monthly % | 3.35% | 1.75% |
| Expected Yearly % | 37.88% | 18.46% |
| Kelly Criterion | 9.05% | 9.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.19% | -2.27% |
| Expected Shortfall (cVaR) | -1.19% | -2.27% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -60.98 | 13.43 | -0.22 | + |
| 2023 | 155.82 | 57.65 | 0.37 | - |
| 2024 | 120.99 | 117.81 | 0.97 | - |
| 2025 | -10.73 | -7.21 | 0.67 | + |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | -1.98% | 0.97% |
| 3M | -0.84% | -11.83% |
| 6M | 31.79% | 26.13% |
| YTD | -7.21% | -10.73% |
| 1Y | 56.03% | 31.19% |
| 3Y (ann.) | 51.75% | 27.13% |
| 5Y (ann.) | 49.98% | 23.84% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -21.35% | -67.2% |
| Longest DD Days | 215.0 | 683.0 |
| Avg. Drawdown | -3.3% | -7.19% |
| Avg. Drawdown Days | 15.0 | 38.0 |
| Recovery Factor | 12.25 | 1.44 |
| Ulcer Index | inf | inf |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-31 | 2022-07-28 | -21.35 | 57 |
| 2022-09-13 | 2023-01-12 | -18.07 | 121 |
| 2023-03-22 | 2023-10-24 | -16.11 | 215 |
| 2023-12-09 | 2024-02-09 | -12.20 | 62 |
| 2022-02-16 | 2022-03-27 | -12.19 | 39 |
| 2025-01-07 | 2025-01-20 | -10.13 | 13 |
| 2025-01-20 | 2025-03-24 | -8.82 | 63 |
| 2024-08-27 | 2024-09-20 | -8.72 | 24 |
| 2025-03-24 | 2025-04-16 | -8.28 | 22 |
| 2024-05-19 | 2024-07-20 | -7.69 | 62 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 7.79% | 9.33% |
| Worst Day | -7.86% | -9.32% |
| Best Week | 18.93% | 35.73% |
| Worst Week | -8.75% | -29.64% |
| Best Month | 43.38% | 43.81% |
| Worst Month | -11.49% | -37.13% |
| Best Year | 117.81% | 155.82% |
| Worst Year | -7.21% | -60.98% |
| Avg. Up Day | 0.91% | 0.91% |
| Avg. Down Day | -0.75% | -0.77% |
| Avg. Up Week | 5.4% | 7.89% |
| Avg. Down Week | -2.92% | -4.98% |
| Avg. Up Month | 12.73% | 17.38% |
| Avg. Down Month | -5.27% | -9.76% |
| Win Days % | 50.29% | 51.05% |
| Win Month % | 57.58% | 58.97% |
| Win Week % | 56.04% | 47.34% |
| Win Quarter % | 64.29% | 57.14% |
| Win Year % | 75.0% | 50.0% |