Strategy Tearsheet 21 Jan, 2022 - 28 Mar, 2025
Generated by QuantStats (v. 0.0.62)
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 48.0% |
|
|
|
| Cumulative Return | 206.37% |
| CAGR﹪ | 27.51% |
|
|
|
| Sharpe | 1.42 |
| Prob. Sharpe Ratio | 100.0% |
| Smart Sharpe | 1.3 |
| Sortino | 2.48 |
| Smart Sortino | 2.27 |
| Sortino/√2 | 1.76 |
| Smart Sortino/√2 | 1.6 |
| Omega | 1.55 |
|
|
|
| Max Drawdown | -7.91% |
| Longest DD Days | 72 |
| Volatility (ann.) | 8.94% |
| Calmar | 3.48 |
| Skew | 2.12 |
| Kurtosis | 21.84 |
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|
|
| Expected Daily | 0.05% |
| Expected Monthly | 2.99% |
| Expected Yearly | 32.3% |
| Kelly Criterion | 22.23% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -0.88% |
| Expected Shortfall (cVaR) | -0.88% |
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|
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| Max Consecutive Wins | 9 |
| Max Consecutive Losses | 2 |
| Gain/Pain Ratio | 0.78 |
| Gain/Pain (1M) | 11.05 |
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|
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| Payoff Ratio | 0.91 |
| Profit Factor | 1.55 |
| Common Sense Ratio | 2.19 |
| CPC Index | 0.88 |
| Tail Ratio | 1.42 |
| Outlier Win Ratio | 13.0 |
| Outlier Loss Ratio | 3.43 |
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|
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| MTD | 5.48% |
| 3M | 12.0% |
| 6M | 25.52% |
| YTD | 11.32% |
| 1Y | 33.9% |
| 3Y (ann.) | 22.47% |
| 5Y (ann.) | 27.51% |
| 10Y (ann.) | 27.51% |
| All-time (ann.) | 27.51% |
|
|
|
| Best Day | 5.62% |
| Worst Day | -3.01% |
| Best Month | 14.7% |
| Worst Month | -4.25% |
| Best Year | 72.37% |
| Worst Year | 11.32% |
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|
|
| Avg. Drawdown | -1.43% |
| Avg. Drawdown Days | 7 |
| Recovery Factor | 14.61 |
| Ulcer Index | 0.02 |
| Serenity Index | 9.52 |
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|
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| Avg. Up Month | 3.96% |
| Avg. Down Month | -1.8% |
| Win Days | 62.96% |
| Win Month | 84.21% |
| Win Quarter | 100.0% |
| Win Year | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2022 | 56.92% | 72.37% |
| 2023 | 26.3% | 29.2% |
| 2024 | 21.57% | 23.59% |
| 2025 | 10.8% | 11.32% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-05 | 2022-05-12 | -7.91 | 7 |
| 2022-04-06 | 2022-04-29 | -7.17 | 24 |
| 2022-02-15 | 2022-02-21 | -6.97 | 6 |
| 2022-08-19 | 2022-09-21 | -6.28 | 34 |
| 2022-06-12 | 2022-06-16 | -6.28 | 5 |
| 2024-03-20 | 2024-05-30 | -5.96 | 72 |
| 2023-01-12 | 2023-02-09 | -5.27 | 29 |
| 2024-08-04 | 2024-09-10 | -5.16 | 37 |
| 2022-01-24 | 2022-02-01 | -4.18 | 8 |
| 2022-02-04 | 2022-02-10 | -4.12 | 6 |