| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 60.7% | 24.47% |
| Max Drawdown | -20.07% | -26.19% |
| Sharpe | 1.92 | 0.72 |
| Sortino | 3.51 | 1.11 |
| Payoff Ratio | 1.31 | 1.14 |
| Profit Factor | 1.41 | 1.11 |
| Common Sense Ratio | 2.43 | 1.21 |
| CPC Index | 0.93 | 0.63 |
| Tail Ratio | 1.73 | 1.09 |
| Outlier Win Ratio | 7.0 | 3.59 |
| Outlier Loss Ratio | 6.15 | 2.61 |
| Volatility (ann.) | 28.81% | 50.49% |
| R^2 | 0.37 | 0.37 |
| Calmar | 3.35 | 1.02 |
| Skew | 1.29 | 0.56 |
| Kurtosis | 5.93 | 2.43 |
| Expected Daily % | 0.14% | 0.06% |
| Expected Monthly % | 4.03% | 1.84% |
| Expected Yearly % | 26.77% | 11.57% |
| Kelly Criterion | 12.7% | 5.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.33% | -4.25% |
| Expected Shortfall (cVaR) | -2.33% | -4.25% |
| Year | returns_benchmark | FULCRUM | Multiplier | Won |
|---|---|---|---|---|
| 2024 | 48.30 | 78.11 | 1.62 | + |
| 2025 | -16.07 | -9.78 | 0.61 | + |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| MTD | -0.76% | -5.05% |
| 3M | -10.43% | -20.15% |
| 6M | 54.61% | 26.17% |
| YTD | -9.78% | -16.07% |
| 1Y | 60.7% | 24.47% |
| 3Y (ann.) | 67.16% | 26.76% |
| 5Y (ann.) | 67.16% | 26.76% |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Max Drawdown | -20.07% | -26.19% |
| Longest DD Days | 118.0 | 161.0 |
| Avg. Drawdown | -5.4% | -6.89% |
| Avg. Drawdown Days | 30.0 | 22.0 |
| Recovery Factor | 3.02 | 0.93 |
| Ulcer Index | 1.05 | 1.04 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-09 | 2025-04-06 | -20.07 | 118 |
| 2024-07-22 | 2024-11-06 | -10.07 | 107 |
| 2024-05-22 | 2024-07-14 | -5.66 | 53 |
| 2024-11-12 | 2024-11-16 | -4.97 | 4 |
| 2024-11-25 | 2024-11-27 | -3.33 | 2 |
| 2024-11-17 | 2024-11-18 | -3.16 | 1 |
| 2024-11-19 | 2024-11-21 | -2.97 | 2 |
| 2024-12-05 | 2024-12-06 | -1.51 | 1 |
| 2024-07-17 | 2024-07-19 | -1.42 | 2 |
| 2024-05-08 | 2024-05-17 | -0.85 | 9 |
| Metric | FULCRUM | returns_benchmark |
|---|---|---|
| Best Day | 7.12% | 11.89% |
| Worst Day | -6.26% | -8.6% |
| Best Week | 16.27% | 18.92% |
| Worst Week | -7.14% | -12.35% |
| Best Month | 61.91% | 37.42% |
| Worst Month | -5.8% | -17.71% |
| Best Year | 78.11% | 48.3% |
| Worst Year | -9.78% | -16.07% |
| Avg. Up Day | 1.15% | 2.31% |
| Avg. Down Day | -0.88% | -2.01% |
| Avg. Up Week | 4.16% | 6.75% |
| Avg. Down Week | -1.64% | -4.76% |
| Avg. Up Month | 14.1% | 12.96% |
| Avg. Down Month | -2.55% | -8.14% |
| Win Days % | 50.45% | 49.4% |
| Win Month % | 50.0% | 50.0% |
| Win Week % | 46.0% | 50.0% |
| Win Quarter % | 60.0% | 40.0% |
| Win Year % | 50.0% | 50.0% |