Investment thesis
Benchmarks — economic intuition. Passive buy-and-hold references (SPY, QQQ, FTWD). Included for side-by-side comparison so every active strategy can be evaluated against the investable beta it seeks to outperform.
Risk-adjusted performance — live track record
Forward-tested daily against live market data. Metrics derived from end-of-day portfolio marks; methodology documented on the Due Diligence and About pages.
| Return | Value | Risk-adjusted | Value | |
|---|---|---|---|---|
| Current portfolio worth | $10895.05 | Sharpe ratio | 1.39 | |
| Total return | 8.95% | Sortino ratio | 1.77 | |
| CAGR | 16.16% | Calmar ratio | 2.57 | |
| Volatility (annualised) | 11.62% | Profit factor | 1.34 | |
| Days live | 140 | Maximum drawdown | -6.30% |
Process consistency
| Positive months | 42.9% |
| Best month | 8.90% |
| Worst month | -4.30% |
| Recovery from max drawdown | 26 days |
Market independence
Correlation and beta versus passive benchmarks, computed over the full live series.
| Benchmark | Correlation | 90-day rolling correlation | Beta |
|---|---|---|---|
| S&P 500 (SPY) | 0.89 | 0.00 | 0.99 |
| Bitcoin (BTC-USD) | 0.35 | 0.36 | 0.13 |
A correlation materially below 1.0 to both benchmarks indicates the strategy’s returns are not a simple re-expression of long equity or long crypto beta.
Equity curve
Live track record — forward-tested performance from the strategy's production start date.
Drawdown profile
Underwater curve — percentage below the running high-water mark. Institutional allocators read this before the equity curve.
Current holdings
| Symbol | Quantity |
|---|---|
| SPY | 14.6274 |
| USD | 0.0000 |
Research & documentation
- Strategy deep-dive: Benchmark_SPY: strategy deep-dive & live performance
- Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Benchmarks family:
- Benchmark_QQQ · research note- Benchmark_FTWD · research note Or view the full strategy roster.
For professional investors
Request the investor deck, DDQ, and extended analytics. Firm-gated and reviewed manually.
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