AlphaStone Model 4
Everything below is from historical backtesting—useful for understanding how the model behaved in simulation, not a forecast of live results (fees, slippage, and regimes can differ).
Performance on this site includes long-horizon backtests. Live results can differ.
Key Performance Metrics
Risk-adjusted returns benchmarked against the S&P 500, based on weekly performance data.
Sharpe Ratio
The Sharpe Ratio measures risk-adjusted return. A higher value typically indicates better performance for the amount of risk taken. Compare our model's ratio to the S&P 500 to see its efficiency.
Sortino Ratio
The Sortino Ratio is a variation of the Sharpe Ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. A higher Sortino Ratio is better.
Maximum Drawdown
Annualized Volatility
Annualized Volatility measures the dispersion of returns for a given security or market index. It indicates how much the price has fluctuated over a one-year period. Lower volatility generally suggests less risk.
Weekly Breakdown
This table breaks down the weekly performance characteristics. Win Rate shows consistency, Avg. Win/Loss indicates the typical magnitude of weekly movements, and Profit Factor measures overall profitability efficiency. It is Gross Wins divided by Gross Losses, providing insight into the model's ability to generate profits relative to losses. Gross Wins are the total profits from winning weeks, while Gross Losses are the total losses from losing weeks. A Profit Factor greater than 1 indicates that the model is profitable, while a value less than 1 suggests it is not.
Average Monthly Return
Compound-Based shows average monthly growth accounting for compounding (Total Return ÷ Months). Arithmetic Mean shows average of individual monthly returns, useful for understanding typical monthly volatility.
Performance Over Time
Long-term growth trajectory compared to market benchmarks.
Calendar Year Performance Analysis
Direct comparison of calendar year returns against the S&P 500 benchmark.
Calendar Year Performance Comparison
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Average Calendar Year Performance
Mean annual return across overlapping calendar years for Model 4 and the S&P 500.
Average Calendar Year Return
Mean Annual Performance
Average return across overlapping calendar years. A simple way to compare yearly performance against the benchmark.
43.97%
Model 4 (backtest)
14.73%
S&P 500 average
Calendar Year Performance Data
Transparent year-by-year performance breakdown.
| Year | Model 4 Profit (%) | S&P 500 Profit (%) |
|---|---|---|
| 2023 | 34.51% | 22.34% |
| 2022 | 43.12% | -19.44% |
| 2021 | 77.76% | 26.89% |
| 2020 | 63.89% | 16.11% |
| 2019 | 0.59% | 27.76% |