Deep Learning Portfolio Opt Expanding

4 Jan, 2012 - 25 Mar, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	248.24%	298.39%
CAGR﹪	12.98%	14.47%
Sharpe	1.04	0.92
Smart Sharpe	0.94	0.83
Sortino	1.73	1.28
Smart Sortino	1.56	1.16
Sortino/√2	1.22	0.91
Smart Sortino/√2	1.1	0.82
Omega	1.27	1.27
Max Drawdown	-12.4%	-33.72%
Longest DD Days	383	272
Volatility (ann.)	12.5%	16.23%
R^2	0.01	0.01
Calmar	1.05	0.43
Skew	2.49	-0.66
Kurtosis	37.53	17.02
Expected Daily %	0.05%	0.05%
Expected Monthly %	1.02%	1.13%
Expected Yearly %	12.01%	13.39%
Kelly Criterion	8.06%	10.29%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.24%	-1.62%
Expected Shortfall (cVaR)	-1.24%	-1.62%
Gain/Pain Ratio	0.27	0.2
Gain/Pain (1M)	2.56	1.33
Payoff Ratio	1.02	0.97
Profit Factor	1.27	1.2
Common Sense Ratio	1.29	1.15
CPC Index	0.69	0.65
Tail Ratio	1.02	0.96
Outlier Win Ratio	5.23	3.72
Outlier Loss Ratio	5.99	3.67
MTD	-1.97%	-3.79%
3M	-4.01%	-10.18%
6M	3.03%	-3.73%
YTD	-4.39%	-11.56%
1Y	13.23%	9.49%
3Y (ann.)	14.52%	16.38%
5Y (ann.)	11.36%	14.35%
10Y (ann.)	13.31%	13.59%
All-time (ann.)	12.98%	14.47%
Best Day	11.14%	9.06%
Worst Day	-6.54%	-10.94%
Best Month	13.46%	12.7%
Worst Month	-4.7%	-12.49%
Best Year	34.74%	32.31%
Worst Year	-4.39%	-11.56%
Avg. Drawdown	-1.44%	-1.51%
Avg. Drawdown Days	22	14
Recovery Factor	20.01	8.85
Ulcer Index	0.03	0.05
Serenity Index	9.47	7.56
Avg. Up Month	1.88%	3.3%
Avg. Down Month	-1.98%	-4.64%
Win Days %	53.63%	55.76%
Win Month %	69.92%	71.54%
Win Quarter %	80.49%	82.93%
Win Year %	81.82%	81.82%
Beta	0.09	-
Alpha	0.12	-