Demo Strategy
Backtest Report
2020-01-01 → 2022-12-31 · 1096 trading days
Total Return
19.39%
CAGR
4.16%
Sharpe
0.32
Max Drawdown
-24.66%
Volatility
17.14%
Win Rate
51.55%
Cumulative Returns
Performance Metrics
| metric | strategy | benchmark |
|---|---|---|
| Total Return | 19.39% | -27.98% |
| CAGR | 4.16% | -7.27% |
| Sharpe Ratio | 0.32 | -0.52 |
| Sortino Ratio | 0.46 | -0.71 |
| Max Drawdown | -24.66% | -45.28% |
| Calmar Ratio | 0.17 | -0.16 |
| Volatility (ann.) | 17.14% | 12.88% |
| Win Rate | 51.55% | 50.55% |
| Profit Factor | 1.05 | 0.92 |
| Best Day | 3.55% | 2.36% |
| Worst Day | -3.96% | -2.41% |
| Avg Win | 0.85% | 0.61% |
| Avg Loss | -0.86% | -0.68% |
| Daily VaR (95%) | -1.78% | -1.39% |
| CVaR (95%) | -2.23% | -1.71% |
| Recovery Factor | 0.79 | -0.62 |
| Skewness | -0.03 | -0.03 |
| Kurtosis | 0.12 | -0.03 |
| Best Month | 13.22% | 9.44% |
| Worst Month | -9.00% | -10.26% |
| Best Year | 25.59% | 14.98% |
| Worst Year | -17.65% | -28.25% |
| Positive Months | 52.78% | 47.22% |
| Positive Years | 66.67% | 33.33% |
| Alpha | 5.44% | — |
| Beta | -0.02 | — |
| Correlation | -0.01 | — |
| Information Ratio | 0.57 | — |
| Excess Return | 47.37% | — |
Period Performance
| period | strategy | benchmark |
|---|---|---|
| MTD | 1.98% | 1.04% |
| QTD | 6.02% | 9.19% |
| YTD | 25.59% | -12.70% |
| 1Y | 26.27% | -12.07% |
| 3Y | — | — |
| 5Y | — | — |
| SI | 19.39% | -27.98% |
Top Drawdowns
| start | trough | recovery | max_dd | drawdown_days | recovery_days |
|---|---|---|---|---|---|
| 2021-06-13 | 2022-01-13 | — | -24.66% | 214 | — |
| 2020-02-21 | 2020-09-03 | 2020-11-10 | -13.63% | 195 | 68 |
| 2021-01-16 | 2021-03-14 | 2021-06-13 | -13.09% | 57 | 91 |
| 2020-11-21 | 2020-12-14 | 2020-12-28 | -5.67% | 23 | 14 |
| 2020-01-04 | 2020-01-10 | 2020-01-29 | -4.38% | 6 | 19 |
Monthly Returns Heatmap
Daily Return Distribution
Rolling Sharpe
Rolling Volatility
Day-of-Week Statistics
| dow | mean_return | win_rate | total_return | count | dow_name |
|---|---|---|---|---|---|
| 1 | 0.10% | 55.77% | 16.51% | 156 | Mon |
| 2 | -0.03% | 51.28% | -5.20% | 156 | Tue |
| 3 | 0.08% | 51.59% | 12.19% | 157 | Wed |
| 4 | 0.04% | 50.96% | 5.51% | 157 | Thu |
| 5 | -0.07% | 49.04% | -10.79% | 157 | Fri |
| 6 | 0.06% | 51.59% | 8.82% | 157 | Sat |
| 7 | -0.03% | 50.64% | -5.94% | 156 | Sun |
Day-of-Week Analysis
Regime Analysis
| regime | n_days | cagr | sharpe | max_drawdown | win_rate |
|---|---|---|---|---|---|
| bull_low_vol | 101 | 25.50% | 1.3816 | -11.55% | 56.44% |
| bull_high_vol | 144 | 27.31% | 1.5503 | -8.15% | 55.56% |
| bear_low_vol | 380 | 9.55% | 0.6028 | -15.57% | 53.16% |
| bear_high_vol | 272 | -18.01% | -1.0339 | -26.58% | 46.69% |