In this edition
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