| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 82.39% | 23.72% |
| Max Drawdown | -10.31% | -66.78% |
| Sharpe | 2.18 | 0.45 |
| Sortino | 4.09 | 0.64 |
| Payoff Ratio | 1.78 | 1.19 |
| Profit Factor | 1.51 | 1.07 |
| Common Sense Ratio | 2.44 | 1.1 |
| CPC Index | 1.35 | 0.62 |
| Tail Ratio | 1.61 | 1.02 |
| Outlier Win Ratio | 14.35 | 2.83 |
| Outlier Loss Ratio | 15.91 | 2.59 |
| Volatility (ann.) | 12.28% | 55.95% |
| R^2 | 0.1 | 0.1 |
| Calmar | 2.85 | 0.14 |
| Skew | 1.68 | -0.15 |
| Kurtosis | 11.09 | 4.6 |
| Expected Daily % | 0.07% | 0.03% |
| Expected Monthly % | 2.09% | 0.74% |
| Expected Yearly % | 22.18% | 7.35% |
| Kelly Criterion | 22.23% | 5.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -4.75% |
| Expected Shortfall (cVaR) | -0.98% | -4.75% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -65.37 | 5.86 | -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.) | 29.4% | 9.56% |
| 5Y (ann.) | 29.4% | 9.56% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -10.31% | -66.78% |
| Longest DD Days | 289.0 | 682.0 |
| Avg. Drawdown | -1.19% | -15.54% |
| Avg. Drawdown Days | 18.0 | 104.0 |
| Recovery Factor | 7.99 | 0.36 |
| Ulcer Index | inf | 1.05 |
| 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 |
| 2022-02-16 | 2022-02-25 | -1.65 | 9 |
| 2023-03-25 | 2023-04-11 | -1.36 | 17 |
| 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 | 5.86% | -65.37% |
| Avg. Up Day | 0.47% | 2.4% |
| Avg. Down Day | -0.26% | -2.02% |
| Avg. Up Week | 2.04% | 7.19% |
| Avg. Down Week | -0.89% | -5.26% |
| Avg. Up Month | 5.9% | 16.22% |
| Avg. Down Month | -2.32% | -12.51% |
| Win Days % | 50.25% | 48.81% |
| Win Month % | 62.07% | 55.17% |
| Win Week % | 50.41% | 49.19% |
| Win Quarter % | 80.0% | 40.0% |
| Win Year % | 100.0% | 66.67% |