Strategy Tearsheet

31 Dec, 2015 - 19 Dec, 2023

Key Performance Metrics

Metric	QQQ	Fractional Momentum
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	278.81%	414.22%
CAGR﹪	12.23%	15.23%
Sharpe	0.89	1.02
Prob. Sharpe Ratio	99.21%	99.73%
Smart Sharpe	0.8	0.91
Sortino	1.26	1.48
Smart Sortino	1.12	1.32
Sortino/√2	0.89	1.04
Smart Sortino/√2	0.79	0.93
Omega	1.21	1.21
Max Drawdown	-35.62%	-36.36%
Longest DD Days	752	763
Volatility (ann.)	22.73%	24.18%
R^2	0.84	0.84
Information Ratio	0.03	0.03
Calmar	0.34	0.42
Skew	-0.43	-0.09
Kurtosis	7.1	6.25
Expected Daily	0.07%	0.09%
Expected Monthly	1.38%	1.7%
Expected Yearly	15.95%	19.95%
Kelly Criterion	7.38%	7.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.27%	-2.41%
Expected Shortfall (cVaR)	-2.27%	-2.41%
Max Consecutive Wins	11	9
Max Consecutive Losses	9	8
Gain/Pain Ratio	0.18	0.21
Gain/Pain (1M)	1.15	1.44
Payoff Ratio	0.89	0.92
Profit Factor	1.18	1.21
Common Sense Ratio	1.09	1.14
CPC Index	0.59	0.62
Tail Ratio	0.93	0.94
Outlier Win Ratio	4.1	3.74
Outlier Loss Ratio	4.04	3.92
MTD	5.23%	5.33%
3M	10.39%	6.65%
6M	15.31%	8.78%
YTD	53.66%	22.81%
1Y	49.19%	21.7%
3Y (ann.)	6.73%	3.76%
5Y (ann.)	13.9%	16.84%
10Y (ann.)	12.23%	15.23%
All-time (ann.)	12.23%	15.23%
Best Day	8.47%	10.31%
Worst Day	-11.98%	-10.99%
Best Month	14.97%	18.65%
Worst Month	-10.88%	-11.99%
Best Year	53.66%	91.04%
Worst Year	-33.07%	-26.24%
Avg. Drawdown	-2.5%	-2.43%
Avg. Drawdown Days	20	17
Recovery Factor	4.29	5.11
Ulcer Index	0.11	0.12
Serenity Index	0.93	1.04
Avg. Up Month	4.79%	5.24%
Avg. Down Month	-4.51%	-4.27%
Win Days	56.37%	55.49%
Win Month	64.95%	64.95%
Win Quarter	72.73%	69.7%
Win Year	66.67%	77.78%
Beta	-	0.98
Alpha	-	0.05
Correlation	-	91.87%
Treynor Ratio	-	423.86%