| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 93.0% | 100.0% |
| Cumulative Return | 81.36% | 60.91% |
| Max Drawdown | -10.31% | -76.68% |
| Sharpe | 1.9 | 0.57 |
| Sortino | 3.55 | 0.83 |
| Payoff Ratio | 1.64 | 1.15 |
| Profit Factor | 1.46 | 1.09 |
| Common Sense Ratio | 2.33 | 1.08 |
| CPC Index | 1.2 | 0.62 |
| Tail Ratio | 1.6 | 0.99 |
| Outlier Win Ratio | 17.29 | 2.61 |
| Outlier Loss Ratio | 18.46 | 2.51 |
| Volatility (ann.) | 11.11% | 59.25% |
| R^2 | 0.1 | 0.1 |
| Calmar | 2.19 | 0.23 |
| Skew | 1.88 | -0.12 |
| Kurtosis | 14.0 | 3.33 |
| Expected Daily % | 0.06% | 0.04% |
| Expected Monthly % | 1.67% | 1.33% |
| Expected Yearly % | 16.05% | 12.63% |
| Kelly Criterion | 19.84% | 5.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.9% | -5.01% |
| Expected Shortfall (cVaR) | -0.9% | -5.01% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 25.85 | -0.67 | -0.03 | - |
| 2022 | -64.21 | 5.97 | -0.09 | + |
| 2023 | 155.56 | 42.38 | 0.27 | - |
| 2024 | 39.79 | 21.01 | 0.53 | - |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | -0.51% | -2.54% |
| 3M | 22.27% | 37.5% |
| 6M | 23.53% | 70.39% |
| YTD | 21.01% | 39.79% |
| 1Y | 35.44% | 105.87% |
| 3Y (ann.) | 22.63% | 17.71% |
| 5Y (ann.) | 22.63% | 17.71% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -10.31% | -76.68% |
| Longest DD Days | 289.0 | 846.0 |
| Avg. Drawdown | -1.29% | -12.52% |
| Avg. Drawdown Days | 24.0 | 61.0 |
| Recovery Factor | 7.89 | 0.79 |
| Ulcer Index | 1.1 | 1.02 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-03-30 | 2023-01-13 | -10.31 | 289 |
| 2023-04-15 | 2023-06-21 | -5.09 | 67 |
| 2023-06-26 | 2023-10-24 | -5.08 | 120 |
| 2024-01-09 | 2024-02-10 | -4.33 | 32 |
| 2022-03-03 | 2022-03-28 | -3.17 | 25 |
| 2023-12-10 | 2024-01-08 | -2.46 | 29 |
| 2023-02-17 | 2023-03-13 | -1.78 | 24 |
| 2023-01-30 | 2023-02-16 | -1.76 | 17 |
| 2021-11-09 | 2022-02-25 | -1.76 | 108 |
| 2021-09-07 | 2021-11-08 | -1.68 | 62 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 4.42% | 14.52% |
| Worst Day | -3.14% | -15.42% |
| Best Week | 8.56% | 35.76% |
| Worst Week | -4.24% | -29.65% |
| Best Month | 15.02% | 43.76% |
| Worst Month | -6.09% | -37.11% |
| Best Year | 42.38% | 155.56% |
| Worst Year | -0.67% | -64.21% |
| Avg. Up Day | 0.39% | 2.53% |
| Avg. Down Day | -0.24% | -2.2% |
| Avg. Up Week | 1.65% | 7.48% |
| Avg. Down Week | -0.77% | -5.36% |
| Avg. Up Month | 5.58% | 17.81% |
| Avg. Down Month | -1.87% | -12.14% |
| Win Days % | 50.15% | 49.34% |
| Win Month % | 55.56% | 52.78% |
| Win Week % | 50.33% | 50.32% |
| Win Quarter % | 76.92% | 46.15% |
| Win Year % | 75.0% | 75.0% |