FULCRUM

Key Performance Metrics
1 Apr, 2025 - 21 Apr, 2025

Cumulative Returns vs returns_benchmark

Metric	FULCRUM	returns_benchmark
Time in Market	96.0%	100.0%
Cumulative Return	0.95%	6.03%
Max Drawdown	-1.69%	-10.48%
Sharpe	1.7	1.98
Sortino	2.62	3.2
Payoff Ratio	2.08	0.49
Profit Factor	1.33	1.33
Common Sense Ratio	0.99	1.74
CPC Index	1.8	0.4
Tail Ratio	0.75	1.31
Outlier Win Ratio	15.96	2.12
Outlier Loss Ratio	8.04	1.32
Volatility (ann.)	9.9%	60.1%
R^2	0.01	0.01
Calmar	11.12	18.22
Skew	0.21	0.34
Kurtosis	3.57	1.34
Expected Daily %	0.04%	0.28%
Expected Monthly %	0.95%	6.03%
Expected Yearly %	0.95%	6.03%
Kelly Criterion	48.19%	-16.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.81%	-4.85%
Expected Shortfall (cVaR)	-0.81%	-4.85%

Annual Strategy Summary

Year	returns_benchmark	FULCRUM	Multiplier	Won
2025	6.03	0.95	0.16	-

Metric	FULCRUM	returns_benchmark
MTD	0.95%	6.03%
3M	0.95%	6.03%
6M	0.95%	6.03%
YTD	0.95%	6.03%
1Y	0.95%	6.03%
3Y (ann.)	18.78%	190.88%
5Y (ann.)	18.78%	190.88%

Drawdown Analysis

Metric	FULCRUM	returns_benchmark
Max Drawdown	-1.69%	-10.48%
Longest DD Days	18.0	10.0
Avg. Drawdown	-1.69%	-6.2%
Avg. Drawdown Days	18.0	9.0
Recovery Factor	0.56	0.58
Ulcer Index	2.63	1.25

Started	Recovered	Drawdown	Days
2025-04-03	2025-04-21	-1.69	18

Monthly Returns (%)

Metric	FULCRUM	returns_benchmark
Best Day	1.49%	8.32%
Worst Day	-1.19%	-6.14%
Best Week	1.72%	3.6%
Worst Week	-0.91%	-0.56%
Best Month	0.95%	6.03%
Worst Month	0.95%	6.03%
Best Year	0.95%	6.03%
Worst Year	0.95%	6.03%

Avg. Up Day	0.4%	1.6%
Avg. Down Day	-0.19%	-3.28%
Avg. Up Week	1.06%	2.45%
Avg. Down Week	-0.91%	-0.56%
Avg. Up Month	0.95%	6.03%
Avg. Down Month	NaN%	NaN%
Win Days %	65.0%	61.9%
Win Month %	100.0%	100.0%
Win Week %	50.0%	75.0%
Win Quarter %	100.0%	100.0%
Win Year %	100.0%	100.0%

Distribution of Monthly Returns

Key Daily Returns

Cointegration Analysis

Daily Margin Used