| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 50.12% | 43.9% |
| Max Drawdown | -5.03% | -26.08% |
| Sharpe | 2.67 | 1.04 |
| Sortino | 5.67 | 1.54 |
| Payoff Ratio | 1.73 | 1.13 |
| Profit Factor | 1.82 | 1.16 |
| Common Sense Ratio | 3.08 | 1.3 |
| CPC Index | 1.6 | 0.67 |
| Tail Ratio | 1.69 | 1.11 |
| Outlier Win Ratio | 10.02 | 2.61 |
| Outlier Loss Ratio | 12.98 | 2.38 |
| Volatility (ann.) | 17.26% | 51.16% |
| R^2 | 0.37 | 0.37 |
| Calmar | 11.23 | 1.89 |
| Skew | 2.72 | -0.11 |
| Kurtosis | 17.41 | 2.84 |
| Expected Daily % | 0.12% | 0.11% |
| Expected Monthly % | 3.76% | 3.36% |
| Expected Yearly % | 22.52% | 19.96% |
| Kelly Criterion | 22.31% | 8.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.36% | -4.26% |
| Expected Shortfall (cVaR) | -1.36% | -4.26% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 60.42 | 54.65 | 0.90 | - |
| 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 | 50.12% | 43.9% |
| 3Y (ann.) | 56.52% | 49.38% |
| 5Y (ann.) | 56.52% | 49.38% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -5.03% | -26.08% |
| Longest DD Days | 82.0 | 144.0 |
| Avg. Drawdown | -1.08% | -7.11% |
| Avg. Drawdown Days | 10.0 | 25.0 |
| Recovery Factor | 9.96 | 1.68 |
| Ulcer Index | 1.01 | 1.04 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2024-11-17 | 2024-11-19 | -0.73 | 2 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 6.56% | 9.49% |
| Worst Day | -2.93% | -13.23% |
| Best Week | 11.93% | 15.41% |
| Worst Week | -3.41% | -18.81% |
| Best Month | 30.62% | 34.43% |
| Worst Month | -1.9% | -23.44% |
| Best Year | 54.65% | 60.42% |
| Worst Year | -2.93% | -10.3% |
| Avg. Up Day | 0.66% | 2.23% |
| Avg. Down Day | -0.38% | -1.98% |
| Avg. Up Week | 2.4% | 5.99% |
| Avg. Down Week | -0.96% | -4.63% |
| Avg. Up Month | 10.08% | 16.62% |
| Avg. Down Month | -1.26% | -15.07% |
| Win Days % | 50.8% | 51.36% |
| Win Month % | 54.55% | 63.64% |
| Win Week % | 60.0% | 54.0% |
| Win Quarter % | 75.0% | 75.0% |
| Win Year % | 50.0% | 50.0% |