Strategy Tearsheet
7 Jan, 2000 - 23 Mar, 2022

Benchmark is BENCHMARK | Generated by QuantStats (v. 0.0.62)


2025-01-09T04:26:27.537146 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:27.727335 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:27.917952 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:28.141164 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:28.400848 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:28.547224 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:28.755208 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:29.017927 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:29.187509 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:29.493104 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:29.838570 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:30.004443 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:30.423841 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/
2025-01-09T04:26:30.892760 image/svg+xml Matplotlib v3.7.2, https://matplotlib.org/

Key Performance Metrics

MetricbenchmarkStrategy
Risk-Free Rate0.0%0.0%
Time in Market100.0%100.0%

Cumulative Return707.99%5,466.39%
CAGR﹪6.71%13.3%

Sharpe0.50.79
Prob. Sharpe Ratio98.98%99.99%
Smart Sharpe0.480.76
Sortino0.711.15
Smart Sortino0.681.1
Sortino/√20.50.81
Smart Sortino/√20.480.78
Omega1.161.16

Max Drawdown-47.95%-58.08%
Longest DD Days1669711
Volatility (ann.)26.03%28.27%
R^20.860.86
Information Ratio0.060.06
Calmar0.140.23
Skew-0.26-0.23
Kurtosis8.7611.0

Expected Daily0.04%0.07%
Expected Monthly0.79%1.52%
Expected Yearly9.51%19.1%
Kelly Criterion3.29%7.96%
Risk of Ruin0.0%0.0%
Daily Value-at-Risk-2.65%-2.84%
Expected Shortfall (cVaR)-2.65%-2.84%

Max Consecutive Wins1111
Max Consecutive Losses119
Gain/Pain Ratio0.090.16
Gain/Pain (1M)0.51.01

Payoff Ratio0.991.04
Profit Factor1.091.16
Common Sense Ratio1.081.23
CPC Index0.560.64
Tail Ratio0.991.07
Outlier Win Ratio3.753.52
Outlier Loss Ratio3.873.69

MTD-0.34%1.65%
3M-2.69%-1.44%
6M-12.9%-14.44%
YTD0.5%0.89%
1Y-12.0%-9.96%
3Y (ann.)4.56%10.52%
5Y (ann.)7.24%11.49%
10Y (ann.)3.57%8.53%
All-time (ann.)6.71%13.3%

Best Day14.09%15.71%
Worst Day-16.28%-18.48%
Best Month28.15%27.58%
Worst Month-35.47%-39.1%
Best Year73.81%70.89%
Worst Year-21.26%-24.54%

Avg. Drawdown-4.64%-3.77%
Avg. Drawdown Days5427
Recovery Factor5.98.43
Ulcer Index0.150.12
Serenity Index1.073.28

Avg. Up Month5.69%6.35%
Avg. Down Month-6.17%-5.62%
Win Days51.9%52.98%
Win Month58.8%64.42%
Win Quarter61.8%67.42%
Win Year65.22%78.26%

Beta-1.01
Alpha-0.09
Correlation-92.91%
Treynor Ratio-5417.46%

EOY Returns vs Benchmark

YearbenchmarkStrategyMultiplierWon
2000-7.19-7.301.02-
20014.5827.666.04+
2002-14.3124.32-1.70+
200365.7770.891.08+
200422.8747.522.08+
200510.3543.804.23+
200641.1454.681.33+
200716.8519.511.16+
2008-21.26-24.541.15-
200973.8165.010.88-
20108.6217.742.06+
2011-9.11-0.710.08+
201211.6819.901.70+
2013-8.1110.42-1.28+
2014-7.2911.38-1.56+
2015-11.59-4.340.37+
201628.1413.870.49-
201728.0431.491.12+
20187.6510.531.38+
201949.0460.951.24+
20200.4812.9426.90+
2021-13.26-9.410.71+
20220.500.891.78+

Worst 10 Drawdowns

StartedRecoveredDrawdownDays
2007-11-052009-10-15-58.08711
2020-01-302020-12-01-50.52307
2021-07-212022-03-23-30.94246
2010-10-202012-02-22-30.52491
2004-02-022004-08-23-27.56204
2000-08-212001-01-16-25.49149
2000-01-242000-07-12-23.77171
2001-08-212002-01-08-22.70141
2002-04-242002-11-20-21.49211
2015-05-222016-05-17-21.41362