forward-1-GPA전략

 

 

 

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forward-1-GPA전략

13 Sep, 2022 - 28 Oct, 2022

Benchmark is KQ11 | Generated by QuantStats (v. 0.0.59)

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Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	97.0%	97.0%
Cumulative Return	-5.91%	-13.7%
CAGR﹪	-38.99%	-69.73%
Sharpe	-1.01	-3.26
Prob. Sharpe Ratio	35.92%	12.78%
Smart Sharpe	-0.79	-2.53
Sortino	-1.33	-4.06
Smart Sortino	-1.04	-3.15
Sortino/√2	-0.94	-2.87
Smart Sortino/√2	-0.73	-2.23
Omega	0.85	0.85
Max Drawdown	-12.57%	-18.22%
Longest DD Days	44	44
Volatility (ann.)	39.67%	33.83%
R^2	0.45	0.45
Information Ratio	0.15	0.15
Calmar	-3.1	-3.83
Skew	-0.41	0.1
Kurtosis	0.28	0.07
Expected Daily	-0.19%	-0.46%
Expected Monthly	-3.0%	-7.1%
Expected Yearly	-5.91%	-13.7%
Kelly Criterion	-10.31%	-33.66%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.27%	-3.94%
Expected Shortfall (cVaR)	-4.27%	-3.94%
Max Consecutive Wins	5	3
Max Consecutive Losses	4	4
Gain/Pain Ratio	-0.15	-0.41
Gain/Pain (1M)	-0.51	-0.84
Payoff Ratio	0.99	0.85
Profit Factor	0.85	0.59
Common Sense Ratio	0.63	0.51
CPC Index	0.38	0.19
Tail Ratio	0.74	0.87
Outlier Win Ratio	2.2	2.7
Outlier Loss Ratio	2.75	3.02
MTD	4.38%	2.23%
3M	-5.91%	-13.7%
6M	-5.91%	-13.7%
YTD	-5.91%	-13.7%
1Y	-5.91%	-13.7%
3Y (ann.)	-38.99%	-69.73%
5Y (ann.)	-38.99%	-69.73%
10Y (ann.)	-38.99%	-69.73%
All-time (ann.)	-38.99%	-69.73%
Best Day	4.57%	4.09%
Worst Day	-6.5%	-5.07%
Best Month	4.38%	2.23%
Worst Month	-9.86%	-15.58%
Best Year	-5.91%	-13.7%
Worst Year	-5.91%	-13.7%
Avg. Drawdown	-12.57%	-18.22%
Avg. Drawdown Days	44	44
Recovery Factor	-0.47	-0.75
Ulcer Index	0.06	0.13
Serenity Index	-0.23	-0.12
Avg. Up Month	4.38%	2.23%
Avg. Down Month	-9.86%	-15.58%
Win Days	45.16%	38.71%
Win Month	50.0%	50.0%
Win Quarter	50.0%	50.0%
Win Year	0.0%	0.0%
Beta	0.79	-
Alpha	0.47	-
Correlation	67.42%	-
Treynor Ratio	-7.48%	-

EOY Returns vs Benchmark

Year	Benchmark	Strategy	Multiplier	Won
2022	-13.70	-5.91	0.43	+

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2022-09-14	2022-10-28	-12.57	44