| Metric | MODEL_2022 | returns_benchmark |
|---|---|---|
| Time in Market | 95.0% | 100.0% |
| Cumulative Return | 169.69% | 78.17% |
| Max Drawdown | -10.31% | -66.98% |
| Sharpe | 2.54 | 0.6 |
| Sortino | 5.01 | 0.88 |
| Payoff Ratio | 1.85 | 1.22 |
| Profit Factor | 1.63 | 1.1 |
| Common Sense Ratio | 2.63 | 1.22 |
| CPC Index | 1.52 | 0.66 |
| Tail Ratio | 1.61 | 1.11 |
| Outlier Win Ratio | 13.81 | 2.81 |
| Outlier Loss Ratio | 15.5 | 2.47 |
| Volatility (ann.) | 12.41% | 54.52% |
| R^2 | 0.09 | 0.09 |
| Calmar | 3.47 | 0.29 |
| Skew | 2.04 | 0.02 |
| Kurtosis | 13.6 | 4.17 |
| Expected Daily % | 0.08% | 0.05% |
| Expected Monthly % | 2.58% | 1.49% |
| Expected Yearly % | 28.15% | 15.53% |
| Kelly Criterion | 23.46% | 7.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.98% | -4.6% |
| Expected Shortfall (cVaR) | -0.98% | -4.6% |
| Year | returns_benchmark | MODEL_2022 | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -64.21 | 5.97 | -0.09 | + |
| 2023 | 155.56 | 42.38 | 0.27 | - |
| 2024 | 120.82 | 77.61 | 0.64 | - |
| 2025 | -11.79 | 0.64 | -0.05 | + |
| Metric | MODEL_2022 | returns_benchmark |
|---|---|---|
| MTD | 1.18% | -2.29% |
| 3M | 0.02% | -12.56% |
| 6M | 27.76% | 25.16% |
| YTD | 0.64% | -11.79% |
| 1Y | 49.13% | 17.73% |
| 3Y (ann.) | 35.1% | 20.14% |
| 5Y (ann.) | 35.78% | 19.49% |
| Metric | MODEL_2022 | returns_benchmark |
|---|---|---|
| Max Drawdown | -10.31% | -66.98% |
| Longest DD Days | 289.0 | 769.0 |
| Avg. Drawdown | -1.12% | -9.92% |
| Avg. Drawdown Days | 15.0 | 67.0 |
| Recovery Factor | 16.45 | 1.17 |
| Ulcer Index | 0.99 | 1.03 |
| 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 |
| 2024-05-22 | 2024-07-20 | -4.43 | 59 |
| 2024-01-09 | 2024-02-10 | -4.33 | 32 |
| 2024-08-26 | 2024-09-18 | -3.23 | 23 |
| 2022-03-03 | 2022-03-28 | -3.17 | 25 |
| 2025-01-23 | 2025-03-24 | -3.03 | 60 |
| 2025-01-07 | 2025-01-22 | -2.63 | 15 |
| 2023-12-10 | 2024-01-08 | -2.46 | 29 |
| Metric | MODEL_2022 | returns_benchmark |
|---|---|---|
| Best Day | 5.64% | 14.52% |
| Worst Day | -3.14% | -15.42% |
| Best Week | 9.24% | 35.76% |
| Worst Week | -4.24% | -29.65% |
| Best Month | 22.66% | 43.76% |
| Worst Month | -6.09% | -37.11% |
| Best Year | 77.61% | 155.56% |
| Worst Year | 0.64% | -64.21% |
| Avg. Up Day | 0.48% | 2.43% |
| Avg. Down Day | -0.26% | -1.98% |
| Avg. Up Week | 2.13% | 6.98% |
| Avg. Down Week | -0.89% | -4.95% |
| Avg. Up Month | 6.22% | 15.34% |
| Avg. Down Month | -2.39% | -13.49% |
| Win Days % | 50.36% | 49.02% |
| Win Month % | 69.23% | 56.41% |
| Win Week % | 54.07% | 49.71% |
| Win Quarter % | 84.62% | 46.15% |
| Win Year % | 100.0% | 50.0% |