Random Forest used
ADA 5 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 | 38.0% |
| Cumulative Return | 94.66% |
| CAGR% | 96.47% |
| Sharpe | 3.8 |
| Sortino | 14.95 |
| Sortino/√2 | 10.57 |
| Max Drawdown | -2.93% |
| Longest DD Days | 43 |
| Volatility (ann.) | 12.44% |
| Calmar | 32.9 |
| Skew | 3.4 |
| Kurtosis | 14.3 |
| Expected Daily % | 0.18% |
| Expected Monthly % | 5.26% |
| Expected Yearly % | 39.52% |
| Kelly Criterion | 43.92% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.1% |
| Expected Shortfall (cVaR) | -1.1% |
| Gain/Pain Ratio | 3.57 |
| Gain/Pain (1M) | 17.62 |
| Payoff Ratio | 3.56 |
| Profit Factor | 4.57 |
| Common Sense Ratio | 23.09 |
| CPC Index | 9.16 |
| Tail Ratio | 5.05 |
| Outlier Win Ratio | 13.31 |
| Outlier Loss Ratio | 2.87 |
| MTD | 0.0% |
| 3M | 4.18% |
| 6M | 53.55% |
| YTD | 53.55% |
| 1Y | 94.66% |
| 3Y (ann.) | 96.47% |
| 5Y (ann.) | 96.47% |
| 10Y (ann.) | 96.47% |
| All-time (ann.) | 96.47% |
| Best Day | 5.23% |
| Worst Day | -2.09% |
| Best Month | 26.54% |
| Worst Month | -2.31% |
| Best Year | 53.55% |
| Worst Year | 26.78% |
| Avg. Drawdown | -0.64% |
| Avg. Drawdown Days | 10 |
| Recovery Factor | 32.28 |
| Ulcer Index | inf |
| Avg. Up Month | 7.56% |
| Avg. Down Month | -1.92% |
| Win Days % | 56.2% |
| Win Month % | 83.33% |
| Win Quarter % | 100.0% |
| Win Year % | 100.0% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 24.01% | 26.78% |
| 2021 | 43.74% | 53.55% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-03-27 | 2021-05-09 | -2.93 | 43 |
| 2021-02-25 | 2021-03-16 | -2.87 | 19 |
| 2021-05-30 | 2021-07-01 | -1.55 | 32 |
| 2020-07-28 | 2020-08-29 | -1.13 | 32 |
| 2020-09-02 | 2020-09-25 | -0.87 | 23 |
| 2020-12-14 | 2020-12-16 | -0.76 | 2 |
| 2020-12-25 | 2020-12-29 | -0.68 | 4 |
| 2020-10-20 | 2020-11-06 | -0.66 | 17 |
| 2021-05-14 | 2021-05-15 | -0.48 | 1 |
| 2021-05-16 | 2021-05-26 | -0.45 | 10 |