Strategy Tearsheet

25 Jan, 2024 - 26 Apr, 2024

Key Performance Metrics

Metric	CSI300	Strategy
Risk-Free Rate	2.51%	2.51%
Time in Market	97.0%	95.0%
Cumulative Return	10.05%	6.12%
CAGR﹪	29.98%	17.67%
Sharpe	3.05	1.49
Prob. Sharpe Ratio	93.61%	73.19%
Smart Sharpe	2.99	1.46
Sortino	6.3	2.5
Smart Sortino	6.18	2.45
Sortino/√2	4.45	1.76
Smart Sortino/√2	4.37	1.73
Omega	1.29	1.29
Max Drawdown	-2.84%	-3.67%
Longest DD Days	24	22
Volatility (ann.)	12.88%	16.21%
R^2	0.11	0.11
Information Ratio	-0.06	-0.06
Calmar	10.56	4.82
Skew	0.99	0.62
Kurtosis	1.36	1.12
Expected Daily	0.16%	0.1%
Expected Monthly	2.42%	1.5%
Expected Yearly	10.05%	6.12%
Kelly Criterion	21.25%	12.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.17%	-1.57%
Expected Shortfall (cVaR)	-1.17%	-1.57%
Max Consecutive Wins	8	6
Max Consecutive Losses	5	4
Gain/Pain Ratio	0.75	0.32
Gain/Pain (1M)	6.29	1.98
Payoff Ratio	1.51	0.89
Profit Factor	1.75	1.32
Common Sense Ratio	3.34	1.91
CPC Index	1.39	0.69
Tail Ratio	1.91	1.44
Outlier Win Ratio	3.82	3.8
Outlier Loss Ratio	2.98	1.69
MTD	2.94%	1.85%
3M	10.05%	6.12%
6M	10.05%	6.12%
YTD	10.05%	6.12%
1Y	10.05%	6.12%
3Y (ann.)	29.98%	17.67%
5Y (ann.)	29.98%	17.67%
10Y (ann.)	29.98%	17.67%
All-time (ann.)	29.98%	17.67%
Best Day	2.73%	3.3%
Worst Day	-1.46%	-2.23%
Best Month	8.15%	4.08%
Worst Month	-1.56%	-3.12%
Best Year	10.05%	6.12%
Worst Year	10.05%	6.12%
Avg. Drawdown	-1.8%	-2.5%
Avg. Drawdown Days	10	15
Recovery Factor	3.44	1.7
Ulcer Index	0.01	0.02
Serenity Index	2.38	0.7
Avg. Up Month	3.83%	3.09%
Avg. Down Month	-1.56%	-3.12%
Win Days	52.63%	58.93%
Win Month	75.0%	75.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-	0.41
Alpha	-	0.09
Correlation	-	32.79%
Treynor Ratio	-	8.76%