Deep Learning Portfolio Opt Expanding

4 Jan, 2011 - 6 May, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	93.07%	301.8%
CAGR﹪	5.97%	13.05%
Sharpe	0.6	0.8
Smart Sharpe	0.56	0.76
Sortino	0.92	1.12
Smart Sortino	0.86	1.05
Sortino/√2	0.65	0.79
Smart Sortino/√2	0.61	0.74
Omega	1.19	1.19
Max Drawdown	-28.92%	-33.72%
Longest DD Days	334	277
Volatility (ann.)	10.67%	17.09%
R^2	0.31	0.31
Calmar	0.21	0.39
Skew	1.67	-0.64
Kurtosis	41.44	13.43
Expected Daily %	0.02%	0.05%
Expected Monthly %	0.48%	1.02%
Expected Yearly %	5.64%	12.29%
Kelly Criterion	7.1%	8.35%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.08%	-1.72%
Expected Shortfall (cVaR)	-1.08%	-1.72%
Gain/Pain Ratio	0.19	0.17
Gain/Pain (1M)	1.4	1.15
Payoff Ratio	0.96	0.94
Profit Factor	1.19	1.17
Common Sense Ratio	1.47	1.07
CPC Index	0.62	0.61
Tail Ratio	1.24	0.91
Outlier Win Ratio	8.45	3.64
Outlier Loss Ratio	8.97	3.6
MTD	-0.08%	-0.16%
3M	-1.86%	-9.78%
6M	-2.46%	-10.9%
YTD	-2.32%	-13.13%
1Y	-2.28%	0.24%
3Y (ann.)	7.02%	13.85%
5Y (ann.)	5.84%	13.38%
10Y (ann.)	6.59%	13.76%
All-time (ann.)	5.97%	13.05%
Best Day	11.13%	9.06%
Worst Day	-5.26%	-10.94%
Best Month	11.49%	12.7%
Worst Month	-9.41%	-12.49%
Best Year	33.86%	32.31%
Worst Year	-11.74%	-13.13%
Avg. Drawdown	-0.63%	-1.6%
Avg. Drawdown Days	13	15
Recovery Factor	3.22	8.95
Ulcer Index	0.03	0.05
Serenity Index	2.83	6.79
Avg. Up Month	1.56%	3.42%
Avg. Down Month	-1.28%	-3.63%
Win Days %	54.47%	55.61%
Win Month %	60.58%	69.34%
Win Quarter %	76.09%	80.43%
Win Year %	75.0%	83.33%
Beta	0.35	-
Alpha	0.02	-