반응형
real-1-ROE증가율 4 Oct, 2022 - 24 Oct, 2022
Benchmark is KQ11 | Generated by QuantStats (v. 0.0.59)
Key Performance Metrics
Metric | Strategy | Benchmark |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 93.0% | 93.0% |
Cumulative Return | 4.29% | -1.19% |
CAGR﹪ | 115.35% | -19.62% |
Sharpe | 1.9 | -0.42 |
Prob. Sharpe Ratio | 66.36% | 46.22% |
Smart Sharpe | 1.75 | -0.38 |
Sortino | 2.88 | -0.62 |
Smart Sortino | 2.65 | -0.57 |
Sortino/√2 | 2.03 | -0.44 |
Smart Sortino/√2 | 1.87 | -0.4 |
Omega | 1.33 | 1.33 |
Max Drawdown | -7.49% | -7.71% |
Longest DD Days | 11 | 17 |
Volatility (ann.) | 44.67% | 36.62% |
R^2 | 0.65 | 0.65 |
Information Ratio | 0.24 | 0.24 |
Calmar | 15.4 | -2.55 |
Skew | -0.48 | 0.15 |
Kurtosis | -1.04 | -0.39 |
Expected Daily | 0.3% | -0.09% |
Expected Monthly | 4.29% | -1.19% |
Expected Yearly | 4.29% | -1.19% |
Kelly Criterion | 13.72% | -4.22% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -4.29% | -3.86% |
Expected Shortfall (cVaR) | -4.29% | -3.86% |
Max Consecutive Wins | 3 | 3 |
Max Consecutive Losses | 3 | 3 |
Gain/Pain Ratio | 0.33 | -0.06 |
Gain/Pain (1M) | - | -1.0 |
Payoff Ratio | 1.15 | 1.07 |
Profit Factor | 1.33 | 0.94 |
Common Sense Ratio | 1.14 | 0.93 |
CPC Index | 0.82 | 0.46 |
Tail Ratio | 0.86 | 1.0 |
Outlier Win Ratio | 1.62 | 2.19 |
Outlier Loss Ratio | 1.81 | 2.3 |
MTD | 4.29% | -1.19% |
3M | 4.29% | -1.19% |
6M | 4.29% | -1.19% |
YTD | 4.29% | -1.19% |
1Y | 4.29% | -1.19% |
3Y (ann.) | 115.35% | -19.62% |
5Y (ann.) | 115.35% | -19.62% |
10Y (ann.) | 115.35% | -19.62% |
All-time (ann.) | 115.35% | -19.62% |
Best Day | 3.78% | 4.09% |
Worst Day | -4.73% | -4.15% |
Best Month | 4.29% | -1.19% |
Worst Month | 4.29% | -1.19% |
Best Year | 4.29% | -1.19% |
Worst Year | 4.29% | -1.19% |
Avg. Drawdown | -5.65% | -4.68% |
Avg. Drawdown Days | 8 | 9 |
Recovery Factor | 0.57 | -0.15 |
Ulcer Index | 0.04 | 0.04 |
Serenity Index | 0.5 | -0.11 |
Avg. Up Month | - | - |
Avg. Down Month | - | - |
Win Days | 53.85% | 46.15% |
Win Month | 100.0% | 0.0% |
Win Quarter | 100.0% | 0.0% |
Win Year | 100.0% | 0.0% |
Beta | 0.98 | - |
Alpha | 1.0 | - |
Correlation | 80.41% | - |
Treynor Ratio | 4.38% | - |
EOY Returns vs Benchmark
Year | Benchmark | Strategy | Multiplier | Won |
---|---|---|---|---|
2022 | -1.19 | 4.29 | -3.61 | + |
Worst 10 Drawdowns
Started | Recovered | Drawdown | Days |
---|---|---|---|
2022-10-07 | 2022-10-18 | -7.49 | 11 |
2022-10-19 | 2022-10-24 | -3.82 | 5 |
반응형
'퀀트주식투자 > [리포트]포트폴리오' 카테고리의 다른 글
[퀀터스/강환국] 한국 소형주 성장가치전략 및 백테스팅 결과 (0) | 2022.12.27 |
---|---|
forward-1-GPA전략 (0) | 2022.10.30 |
WIP - Report 10/30 (0) | 2022.10.30 |