Strategy Tearsheet - Kvantly - Rock Solid

2 Jan, 2012 - 15 Sep, 2021

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	90.0%	98.0%
Cumulative Return	216.56%	169.62%
CAGR%	12.6%	10.76%
Sharpe	0.83	0.67
Sortino	1.21	0.94
Max Drawdown	-24.31%	-33.8%
Longest DD Days	615	835
Volatility (ann.)	15.91%	17.73%
R^2	0.8	0.8
Calmar	0.52	0.32
Skew	-0.03	-0.35
Kurtosis	10.21	9.95
Expected Daily %	0.05%	0.04%
Expected Monthly %	0.99%	0.85%
Expected Yearly %	12.21%	10.43%
Kelly Criterion	7.39%	7.25%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.6%	-1.79%
Expected Shortfall (cVaR)	-1.6%	-1.79%
Payoff Ratio	1.02	1.02
Profit Factor	1.17	1.13
Common Sense Ratio	1.19	1.15
CPC Index	0.63	0.61
Tail Ratio	1.02	1.02
Outlier Win Ratio	4.16	3.48
Outlier Loss Ratio	3.65	3.47
MTD	0.09%	0.09%
3M	1.08%	0.29%
6M	11.0%	7.34%
YTD	25.22%	18.01%
1Y	45.58%	35.2%
3Y (ann.)	15.65%	6.38%
5Y (ann.)	19.93%	13.51%
10Y (ann.)	12.6%	10.76%
All-time (ann.)	12.6%	10.76%
Best Day	10.29%	10.29%
Worst Day	-9.92%	-9.92%
Best Month	17.67%	16.48%
Worst Month	-9.0%	-13.75%
Best Year	32.46%	23.04%
Worst Year	-1.5%	-0.86%
Avg. Drawdown	-2.34%	-2.52%
Avg. Drawdown Days	35	34
Recovery Factor	8.91	5.02
Ulcer Index	0.99	inf
Avg. Up Month	3.03%	2.97%
Avg. Down Month	-2.7%	-2.61%
Win Days %	53.35%	53.22%
Win Month %	65.22%	65.81%
Win Quarter %	71.79%	71.79%
Win Year %	80.0%	90.0%
Beta	0.8	-
Alpha	0.04	-