| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 94.0% | 100.0% |
| Cumulative Return | 84.83% | 94.41% |
| Max Drawdown | -8.39% | -27.85% |
| Sharpe | 2.78 | 1.28 |
| Sortino | 5.4 | 1.93 |
| Payoff Ratio | 1.73 | 1.16 |
| Profit Factor | 1.72 | 1.21 |
| Common Sense Ratio | 2.34 | 1.33 |
| CPC Index | 1.57 | 0.73 |
| Tail Ratio | 1.36 | 1.1 |
| Outlier Win Ratio | 10.57 | 3.05 |
| Outlier Loss Ratio | 10.32 | 2.45 |
| Volatility (ann.) | 18.37% | 52.69% |
| R^2 | 0.11 | 0.11 |
| Calmar | 7.61 | 2.54 |
| Skew | 1.98 | 0.05 |
| Kurtosis | 13.0 | 2.35 |
| Expected Daily % | 0.14% | 0.15% |
| Expected Monthly % | 4.18% | 4.53% |
| Expected Yearly % | 35.95% | 39.43% |
| Kelly Criterion | 25.51% | 10.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.44% | -4.35% |
| Expected Shortfall (cVaR) | -1.44% | -4.35% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 118.80 | 92.34 | 0.78 | - |
| 2025 | -11.15 | -3.90 | 0.35 | + |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | -0.84% | 2.86% |
| 3M | -4.06% | -13.04% |
| 6M | 33.5% | 24.52% |
| YTD | -3.9% | -11.15% |
| 1Y | 59.69% | 17.25% |
| 3Y (ann.) | 63.86% | 70.65% |
| 5Y (ann.) | 63.86% | 70.65% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -8.39% | -27.85% |
| Longest DD Days | 104.0 | 236.0 |
| Avg. Drawdown | -1.52% | -6.18% |
| Avg. Drawdown Days | 13.0 | 26.0 |
| Recovery Factor | 10.11 | 3.39 |
| Ulcer Index | 0.99 | 1.03 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-01-09 | 2024-03-04 | -8.39 | 55 |
| 2024-12-17 | 2025-03-31 | -7.24 | 104 |
| 2024-05-22 | 2024-07-15 | -5.80 | 54 |
| 2024-03-13 | 2024-04-09 | -5.38 | 27 |
| 2024-08-26 | 2024-09-19 | -2.74 | 24 |
| 2024-07-23 | 2024-08-08 | -2.48 | 16 |
| 2024-08-10 | 2024-08-24 | -2.18 | 14 |
| 2024-11-23 | 2024-12-11 | -1.77 | 18 |
| 2024-10-30 | 2024-11-06 | -1.57 | 7 |
| 2024-10-22 | 2024-10-29 | -1.16 | 7 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 7.51% | 9.49% |
| Worst Day | -3.46% | -13.23% |
| Best Week | 14.64% | 19.7% |
| Worst Week | -3.95% | -18.81% |
| Best Month | 32.68% | 45.54% |
| Worst Month | -4.2% | -23.44% |
| Best Year | 92.34% | 118.8% |
| Worst Year | -3.9% | -11.15% |
| Avg. Up Day | 0.73% | 2.2% |
| Avg. Down Day | -0.42% | -1.9% |
| Avg. Up Week | 2.7% | 6.57% |
| Avg. Down Week | -1.24% | -4.79% |
| Avg. Up Month | 10.13% | 18.63% |
| Avg. Down Month | -2.07% | -23.44% |
| Win Days % | 52.83% | 51.98% |
| Win Month % | 73.33% | 66.67% |
| Win Week % | 61.19% | 55.22% |
| Win Quarter % | 80.0% | 60.0% |
| Win Year % | 50.0% | 50.0% |