Performance Matrix
Comprehensive analysis of our algorithmic trading strategy performance
Average Annual Return
44.64%
2023-2025 Period
Volatility
23.4%
Annualized
Sharpe Ratio
1.89
Risk-Adjusted Return
Max Drawdown
-12.3%
Peak to Trough
Annual Performance Breakdown
| Year | Total Return | Volatility | Sharpe Ratio | Max Drawdown | Win Rate | Total Trades |
|---|---|---|---|---|---|---|
| 2023 | +37.42% | 21.8% | 1.72 | -8.9% | 68.5% | 247 |
| 2024 | +40.87% | 24.2% | 1.69 | -12.3% | 71.2% | 289 |
| 2025 | +55.64% | 24.1% | 2.31 | -9.7% | 74.8% | 312 |
Monthly Performance Heatmap (%)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | +4.2 | +2.8 | +3.9 | -1.2 | +5.1 | +2.3 | +4.7 | +3.2 | -0.8 | +6.1 | +4.9 | +3.4 |
| 2024 | +3.7 | +4.1 | -2.1 | +5.8 | +2.9 | +4.3 | +3.6 | +6.2 | +1.9 | +4.8 | +3.1 | +5.4 |
| 2025 | +6.8 | +4.9 | +5.2 | +3.7 | +7.1 | +4.6 | +5.9 | +6.3 | +2.8 | +4.2 | +3.9 | +5.6 |
Risk Metrics
Value at Risk (95%)
-2.8%
Beta
0.73
Alpha
+18.2%
Sortino Ratio
2.41
Calmar Ratio
3.63
Information Ratio
1.94
Trading Statistics
Total Trades
848
Winning Trades
612
Losing Trades
236
Avg Win
+2.8%
Avg Loss
-1.4%
Profit Factor
2.31
Performance Disclaimer
Past performance is not indicative of future results. All performance data is based on backtesting and forward testing results. Actual trading results may vary due to market conditions, execution differences, and other factors. Please read our Risk Disclaimer for more information.