Deep Learning Portfolio Opt Expanding

4 Jan, 2012 - 11 Mar, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	177.52%	298.39%
CAGR﹪	10.54%	14.53%
Sharpe	0.9	0.92
Smart Sharpe	0.81	0.83
Sortino	1.44	1.28
Smart Sortino	1.3	1.15
Sortino/√2	1.02	0.91
Smart Sortino/√2	0.92	0.81
Omega	1.22	1.22
Max Drawdown	-11.22%	-33.72%
Longest DD Days	408	272
Volatility (ann.)	11.87%	16.23%
R^2	0.0	0.0
Calmar	0.94	0.43
Skew	1.89	-0.66
Kurtosis	31.82	17.01
Expected Daily %	0.04%	0.05%
Expected Monthly %	0.83%	1.13%
Expected Yearly %	9.72%	13.39%
Kelly Criterion	7.56%	9.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.19%	-1.62%
Expected Shortfall (cVaR)	-1.19%	-1.62%
Gain/Pain Ratio	0.22	0.2
Gain/Pain (1M)	2.26	1.33
Payoff Ratio	1.0	0.95
Profit Factor	1.22	1.2
Common Sense Ratio	1.29	1.15
CPC Index	0.66	0.63
Tail Ratio	1.05	0.96
Outlier Win Ratio	5.41	3.63
Outlier Loss Ratio	6.06	3.66
MTD	-2.03%	-3.79%
3M	-5.66%	-10.22%
6M	-3.0%	-6.21%
YTD	-5.78%	-11.56%
1Y	3.48%	9.26%
3Y (ann.)	7.76%	16.64%
5Y (ann.)	8.36%	14.07%
10Y (ann.)	11.03%	13.97%
All-time (ann.)	10.54%	14.53%
Best Day	10.21%	9.06%
Worst Day	-6.01%	-10.94%
Best Month	6.24%	12.7%
Worst Month	-3.82%	-12.49%
Best Year	21.78%	32.31%
Worst Year	-5.78%	-11.56%
Avg. Drawdown	-1.4%	-1.5%
Avg. Drawdown Days	21	14
Recovery Factor	15.82	8.85
Ulcer Index	0.03	0.05
Serenity Index	7.05	7.57
Avg. Up Month	1.68%	3.18%
Avg. Down Month	-1.58%	-4.2%
Win Days %	53.86%	55.76%
Win Month %	69.92%	71.54%
Win Quarter %	87.8%	82.93%
Win Year %	90.91%	81.82%
Beta	0.01	-
Alpha	0.11	-