Machine learning model: Random Forest
Tearsheet (generated by QuantStats)
ETH momentum with RF 6 Jul, 2020 – 1 Jul, 2021
Generated by QuantStats (v. 0.0.34)
Key Performance Metrics
| Metric |
Strategy |
| Risk-Free Rate |
0.0% |
| Time in Market |
53.0% |
|
| Cumulative Return |
213.3% |
| CAGR% |
218.31% |
|
| Sharpe |
4.3 |
| Sortino |
24.2 |
| Sortino/√2 |
17.11 |
|
| Max Drawdown |
-2.25% |
| Longest DD Days |
47 |
| Volatility (ann.) |
18.98% |
| Calmar |
96.95 |
| Skew |
4.12 |
| Kurtosis |
22.46 |
|
| Expected Daily % |
0.32% |
| Expected Monthly % |
9.18% |
| Expected Yearly % |
77.0% |
| Kelly Criterion |
44.87% |
| Risk of Ruin |
0.0% |
| Daily Value-at-Risk |
-1.64% |
| Expected Shortfall (cVaR) |
-1.64% |
|
| Gain/Pain Ratio |
4.93 |
| Gain/Pain (1M) |
152.09 |
|
| Payoff Ratio |
5.06 |
| Profit Factor |
5.93 |
| Common Sense Ratio |
44.51 |
| CPC Index |
16.21 |
| Tail Ratio |
7.5 |
| Outlier Win Ratio |
11.21 |
| Outlier Loss Ratio |
3.71 |
|
| MTD |
-0.77% |
| 3M |
18.7% |
| 6M |
76.57% |
| YTD |
76.71% |
| 1Y |
213.3% |
| 3Y (ann.) |
218.31% |
| 5Y (ann.) |
218.31% |
| 10Y (ann.) |
218.31% |
| All-time (ann.) |
218.31% |
|
| Best Day |
10.52% |
| Worst Day |
-2.0% |
| Best Month |
30.47% |
| Worst Month |
-0.77% |
| Best Year |
77.29% |
| Worst Year |
76.71% |
|
| Avg. Drawdown |
-0.62% |
| Avg. Drawdown Days |
8 |
| Recovery Factor |
94.73 |
| Ulcer Index |
0.96 |
|
| Avg. Up Month |
10.29% |
| Avg. Down Month |
-0.77% |
| Win Days % |
53.97% |
| Win Month % |
92.31% |
| Win Quarter % |
80.0% |
| Win Year % |
100.0% |
EOY Returns
| Year |
Return |
Cumulative |
| 2020 |
58.35% |
77.29% |
| 2021 |
58.52% |
76.71% |
Worst 10 Drawdowns
| Started |
Recovered |
Drawdown |
Days |
| 2021-05-12 |
2021-06-28 |
-2.25 |
47 |
| 2021-04-21 |
2021-05-01 |
-2.09 |
10 |
| 2020-11-02 |
2020-11-06 |
-2.00 |
4 |
| 2021-02-09 |
2021-03-07 |
-1.51 |
26 |
| 2020-08-05 |
2020-08-30 |
-1.46 |
25 |
| 2020-12-01 |
2020-12-13 |
-1.22 |
12 |
| 2020-07-27 |
2020-07-31 |
-1.21 |
4 |
| 2021-01-25 |
2021-02-02 |
-1.05 |
8 |
| 2020-09-13 |
2020-10-09 |
-0.81 |
26 |
| 2021-06-30 |
2021-07-01 |
-0.77 |
1 |