The post is to test whether custom HTML can work in wordpress. Unfortunately, only table display and figure cannot. Share strategy backtest report and predicted signal. Not so correct, but ok as reference.
| TQQQ | predict open | predict close | predict high | predict low | Signal |
| 2022-10-25 | 21.36 | 22.08 | 22.07 | 21.06 | buy |
| 2022-10-26 | 22.46 | 22.55 | 23.14 | 22.06 | buy |
Key Performance Metrics
| Metric | Strategy |
|---|---|
| Risk-Free Rate | 0.0% |
| Time in Market | 74.0% |
|
|
|
| Cumulative Return | 48.62% |
| CAGR﹪ | 17.1% |
|
|
|
| Sharpe | 0.98 |
| Prob. Sharpe Ratio | 93.65% |
| Smart Sharpe | 0.96 |
| Sortino | 1.37 |
| Smart Sortino | 1.35 |
| Sortino/√2 | 0.97 |
| Smart Sortino/√2 | 0.95 |
| Omega | 1.22 |
|
|
|
| Max Drawdown | -13.71% |
| Longest DD Days | 209 |
| Volatility (ann.) | 17.71% |
| Calmar | 1.25 |
| Skew | -0.46 |
| Kurtosis | 4.98 |
|
|
|
| Expected Daily | 0.06% |
| Expected Monthly | 1.29% |
| Expected Yearly | 14.12% |
| Kelly Criterion | 10.26% |
| Risk of Ruin | 0.0% |
| Daily Value-at-Risk | -1.77% |
| Expected Shortfall (cVaR) | -1.77% |
|
|
|
| Max Consecutive Wins | 7 |
| Max Consecutive Losses | 5 |
| Gain/Pain Ratio | 0.22 |
| Gain/Pain (1M) | 1.28 |
|
|
|
| Payoff Ratio | 0.93 |
| Profit Factor | 1.22 |
| Common Sense Ratio | 1.26 |
| CPC Index | 0.64 |
| Tail Ratio | 1.03 |
| Outlier Win Ratio | 4.78 |
| Outlier Loss Ratio | 3.66 |
|
|
|
| MTD | -1.04% |
| 3M | -1.24% |
| 6M | -5.57% |
| YTD | -0.92% |
| 1Y | 6.45% |
| 3Y (ann.) | 17.1% |
| 5Y (ann.) | 17.1% |
| 10Y (ann.) | 17.1% |
| All-time (ann.) | 17.1% |
|
|
|
| Best Day | 6.16% |
| Worst Day | -5.28% |
| Best Month | 13.99% |
| Worst Month | -7.78% |
| Best Year | 24.58% |
| Worst Year | -0.92% |
|
|
|
| Avg. Drawdown | -2.9% |
| Avg. Drawdown Days | 24 |
| Recovery Factor | 3.55 |
| Ulcer Index | 0.06 |
| Serenity Index | 0.85 |
|
|
|
| Avg. Up Month | 4.33% |
| Avg. Down Month | -2.68% |
| Win Days | 56.84% |
| Win Month | 58.06% |
| Win Quarter | 63.64% |
| Win Year | 66.67% |
EOY Returns
| Year | Return | Cumulative |
|---|---|---|
| 2020 | 23.01% | 24.58% |
| 2021 | 20.02% | 20.41% |
| 2022 | 0.56% | -0.92% |
Worst 10 Drawdowns
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-09-03 | 2021-01-21 | -13.71 | 140 |
| 2022-03-30 | 2022-10-25 | -12.64 | 209 |
| 2021-12-28 | 2022-02-28 | -10.51 | 62 |
| 2021-07-08 | 2021-10-21 | -8.82 | 105 |
| 2021-04-22 | 2021-06-17 | -7.73 | 56 |
| 2021-02-16 | 2021-04-01 | -5.41 | 44 |
| 2021-12-09 | 2021-12-27 | -4.87 | 18 |
| 2021-12-01 | 2021-12-07 | -4.68 | 6 |
| 2021-01-27 | 2021-02-12 | -4.64 | 16 |
| 2020-07-23 | 2020-08-03 | -2.63 | 11 |
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