Institutional metrics refreshed — Sharpe 1.66 · Sortino 3.85 · Calmar 2.08 — E8 Intelligence Research
Year: 2026
Type: preprint
Abstract: { "generated": "2026-09-14T04:45:28.703073+00:00", "method": "Out-of-sample verified weighted portfolio: sleeve weights trained on the first 70% of months only, verified on the final 30% (OOS Sharpe 1.82). Spread costs included, Dukascopy tick-derived data, 1% risk base. Member configs proprietary.", "config": { "engine": "GTX PORTFOLIO \u2014 6 weighted verified configs", "timeframe_min": 60, "filters": "PROPRIETARY (vaulted)" }, "sample": { "trades": 8595, "months": 225, "wins": 200, "breakevens": 675, "losses": 49 }, "metrics": { "win_rate_decided_pct": 80.3, "no_loss_rate_pct": 94.7, "profit_factor": 3.54, "sharpe_ratio": 1.66, "sortino_ratio": 3.85, "calmar_ratio": 2.08, "max_drawdown_pct": 2.06, "cagr_pct": 4.3, "total_return_pct": 119.6, "best_month_pct": 3.23, "worst_month_pct": -1.75, "positive_months_pct": 68.0 }, "benchmarks": [ { "name": "Systematic trend following", "win_rate": "40-50%", "sharpe": "0.8-1.2", "m Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
Author: Caldin, Andrew Stewart
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7225194199