Institutional metrics refreshed — Sharpe 1.65 · Sortino 3.8 · Calmar 1.94 — E8 Intelligence Research

Abstract

{ "generated": "2026-07-26T16:51:04.332143+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 1.87). Spread costs included, Dukascopy tick-derived data, 1% risk base. Member configs proprietary.", "config": { "engine": "GTX PORTFOLIO \u2014 5 weighted verified configs", "timeframe_min": 60, "filters": "PROPRIETARY (vaulted)" }, "sample": { "trades": 7951, "months": 223, "wins": 200, "breakevens": 674, "losses": 49 }, "metrics": { "win_rate_decided_pct": 80.3, "no_loss_rate_pct": 94.7, "profit_factor": 3.52, "sharpe_ratio": 1.65, "sortino_ratio": 3.8, "calmar_ratio": 1.94, "max_drawdown_pct": 2.24, "cagr_pct": 4.3, "total_return_pct": 120.6, "best_month_pct": 3.18, "worst_month_pct": -1.84, "positive_months_pct": 67.7 }, "benchmarks": [ { "name": "Systematic trend following", "win_rate": "40-50%", "sharpe": "0.8-1.2", "ma Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com