static-skfolio-denoised-cov-shrunk-expret
22 March, 2025 | 5 Min ReadIntroduction to our strategy
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Quick Summary
| Metric | Value |
|---|
| Return % p.a. | -85 |
| Days active | 424 |
| Starting capital | 9880.11 |
| Current capital | 45.0€ |
Current portfolio
Detailed statistics
| Strategy |
|---|
| Start Period | 2024-01-23 |
|---|
| End Period | 2025-03-21 |
|---|
| Risk-Free Rate | 0 |
|---|
| Time in Market | 0.75 |
|---|
| Cumulative Return | -1.0 |
|---|
| CAGR﹪ | -0.96 |
|---|
| Sharpe | -0.46 |
|---|
| Prob. Sharpe Ratio | 0.25 |
|---|
| Sortino | -0.48 |
|---|
| Sortino/√2 | -0.34 |
|---|
| Omega | 0.74 |
|---|
| Max Drawdown | -1.0 |
|---|
| Longest DD Days | 75 |
|---|
| Gain/Pain Ratio | -0.26 |
|---|
| Gain/Pain (1M) | -0.57 |
|---|
| Payoff Ratio | 0.51 |
|---|
| Profit Factor | 0.74 |
|---|
| Common Sense Ratio | 0.8 |
|---|
| CPC Index | 0.22 |
|---|
| Tail Ratio | 1.08 |
|---|
| Outlier Win Ratio | 7.14 |
|---|
| Outlier Loss Ratio | 2.71 |
|---|
| MTD | 0 |
|---|
| 3M | -1.0 |
|---|
| 6M | -1.0 |
|---|
| YTD | -1.0 |
|---|
| 1Y | -1.0 |
|---|
| 3Y (ann.) | -0.96 |
|---|
| 5Y (ann.) | -0.96 |
|---|
| 10Y (ann.) | -0.96 |
|---|
| All-time (ann.) | -0.96 |
|---|
| Avg. Drawdown | -0.08 |
|---|
| Avg. Drawdown Days | 13 |
|---|
| Recovery Factor | 0.58 |
|---|
| Ulcer Index | 0.31 |
|---|
| Serenity Index | -0.19 |
|---|
Last trades
| Date | Buy/Sell | Ticker | Price | Qty | Volume |
|---|
| 2024-01-22 12:21:37.260024 | Buy | CRWD | 290.540009 | 0.216512 | 62.91 |
| 2024-01-22 12:21:36.832527 | Buy | SHEL | 61.110001 | 1.307151 | 79.88 |
| 2024-01-22 12:21:36.203113 | Buy | AMD | 174.229996 | 0.469936 | 81.88 |
| 2024-01-22 12:21:35.993875 | Buy | CRM | 280.880005 | 0.366155 | 102.85 |
| 2024-01-22 12:21:35.956823 | Buy | UBER | 65.110001 | 1.748257 | 113.83 |
Portfolio worth over time
| Date | Portfolio Worth |
|---|
| 2025-03-21 | 45.0€ |
| 2025-03-20 | 45.0€ |
| 2025-03-19 | 45.0€ |
| 2025-03-18 | 45.0€ |
| 2025-03-17 | 45.0€ |
| 2025-03-16 | 45.0€ |
| 2025-03-15 | 45.0€ |
| 2025-03-14 | 45.0€ |
| 2025-03-13 | 45.0€ |
| 2025-03-12 | 45.0€ |
| 2025-03-11 | 45.0€ |
| 2025-03-10 | 45.0€ |
| 2025-03-09 | 45.0€ |
| 2025-03-08 | 45.0€ |
| 2025-03-07 | 45.0€ |
| 2025-03-06 | 45.0€ |
| 2025-03-05 | 45.0€ |
| 2025-03-04 | 45.0€ |
| 2025-03-03 | 45.0€ |
| 2025-03-02 | 45.0€ |
| 2025-03-01 | 45.0€ |
| 2025-02-28 | 45.0€ |
| 2025-02-27 | 45.0€ |
| 2025-02-26 | 45.0€ |
| 2025-02-25 | 45.0€ |
| 2025-02-24 | 45.0€ |
| 2025-02-23 | 45.0€ |
| 2025-02-22 | 45.0€ |
| 2025-02-21 | 45.0€ |
| 2025-02-20 | 45.0€ |
| 2025-02-19 | 45.0€ |
| 2025-02-18 | 45.0€ |
| 2025-02-17 | 13812.87€ |
| 2025-02-16 | 13812.87€ |
| 2025-02-15 | 13812.87€ |
| 2025-02-14 | 13514.06€ |
| 2025-02-13 | 11865.34€ |
| 2025-02-12 | 13332.97€ |
| 2025-02-11 | 12610.99€ |
| 2025-02-10 | 10463.11€ |
| 2025-02-09 | 13546.83€ |
| 2025-02-08 | 13546.83€ |
| 2025-02-07 | 13500.83€ |
| 2025-02-06 | 13494.2€ |
| 2025-02-05 | 13411.52€ |
| 2025-02-04 | 13272.04€ |
| 2025-02-03 | 13206.62€ |
| 2025-02-02 | 13159.68€ |
| 2025-02-01 | 13159.68€ |
| 2025-01-31 | 13104.48€ |
| 2025-01-30 | 13183.8€ |
| 2025-01-29 | 12885.52€ |
| 2025-01-28 | 12864.52€ |
| 2025-01-27 | 12783.22€ |
| 2025-01-26 | 12850.45€ |
| 2025-01-25 | 12850.45€ |
| 2025-01-24 | 12804.45€ |
| 2025-01-23 | 12825.21€ |
| 2025-01-22 | 12641.53€ |
| 2025-01-21 | 12592.08€ |
| 2025-01-20 | 12549.39€ |
| 2025-01-19 | 12549.39€ |
| 2025-01-18 | 12549.39€ |
| 2025-01-17 | 12494.19€ |
| 2025-01-16 | 12451.46€ |
| 2025-01-15 | 12395.34€ |
| 2025-01-14 | 12273.66€ |
| 2025-01-13 | 12332.24€ |
| 2025-01-12 | 12442.32€ |
| 2025-01-11 | 12442.32€ |
| 2025-01-10 | 12368.71€ |
| 2025-01-09 | 12551.68€ |
| 2025-01-08 | 12468.87€ |
| 2025-01-07 | 12421.32€ |
| 2025-01-06 | 12501.22€ |
| 2025-01-05 | 12488.48€ |
| 2025-01-04 | 12488.48€ |
| 2025-01-03 | 12460.88€ |
| 2025-01-02 | 12321.0€ |
| 2025-01-01 | 12264.04€ |
| 2024-12-31 | 12236.44€ |
| 2024-12-30 | 12279.29€ |
| 2024-12-29 | 12429.59€ |
| 2024-12-28 | 12429.59€ |
| 2024-12-27 | 12401.99€ |
| 2024-12-26 | 12540.03€ |
| 2024-12-25 | 12058.67€ |
| 2024-12-24 | 12560.45€ |
| 2024-12-23 | 12463.05€ |
| 2024-12-22 | 12369.45€ |
| 2024-12-21 | 12369.45€ |
| 2024-12-20 | 12341.85€ |
| 2024-12-19 | 12265.2€ |
| 2024-12-18 | 12240.55€ |
| 2024-12-17 | 12520.94€ |
| 2024-12-16 | 12581.22€ |
| 2024-12-15 | 12698.85€ |
| 2024-12-14 | 12868.53€ |
| 2024-12-13 | 12822.53€ |
| 2024-12-12 | 12844.27€ |
| 2024-12-11 | 12909.65€ |
| 2024-12-10 | 12904.14€ |
| 2024-12-09 | 12907.59€ |
| 2024-12-08 | 13258.89€ |
| 2024-12-07 | 13258.89€ |
| 2024-12-06 | 13148.49€ |
| 2024-12-05 | 13146.41€ |
| 2024-12-04 | 13228.62€ |
| 2024-12-03 | 13130.81€ |
| 2024-12-02 | 13016.85€ |
| 2024-12-01 | 13129.41€ |
| 2024-11-30 | 13129.41€ |
| 2024-11-29 | 13019.0€ |
| 2024-11-28 | 13060.13€ |
| 2024-11-27 | 12949.73€ |
| 2024-11-26 | 13001.72€ |
| 2024-11-25 | 12806.49€ |
| 2024-11-24 | 12914.55€ |
| 2024-11-23 | 12914.55€ |
| 2024-11-22 | 12804.15€ |
| 2024-11-21 | 12776.81€ |
| 2024-11-20 | 12633.78€ |
| 2024-11-19 | 12572.35€ |
| 2024-11-18 | 12503.92€ |
| 2024-11-17 | 12583.4€ |
| 2024-11-16 | 12583.4€ |
| 2024-11-15 | 12472.99€ |
| 2024-11-14 | 12703.36€ |
| 2024-11-13 | 12872.93€ |
| 2024-11-12 | 12887.45€ |
| 2024-11-11 | 12917.01€ |
| 2024-11-10 | 13115.53€ |
| 2024-11-09 | 13115.53€ |
| 2024-11-08 | 13014.33€ |
| 2024-11-07 | 12860.9€ |
| 2024-11-06 | 12785.76€ |
| 2024-11-05 | 12618.29€ |
| 2024-11-04 | 12458.56€ |
| 2024-11-03 | 12633.24€ |
| 2024-11-02 | 12633.24€ |
| 2024-10-29 | 12755.21€ |
| 2024-10-28 | 12710.52€ |
| 2024-10-27 | 12835.05€ |
| 2024-10-26 | 12835.05€ |
| 2024-10-25 | 12706.24€ |
| 2024-10-24 | 12757.63€ |
| 2024-10-23 | 12819.11€ |
| 2024-10-22 | 12877.79€ |
| 2024-10-21 | 13020.77€ |
| 2024-10-20 | 13091.77€ |
| 2024-10-19 | 13091.77€ |
| 2024-10-18 | 13008.97€ |
| 2024-10-17 | 12983.63€ |
| 2024-10-16 | 12986.57€ |
| 2024-10-15 | 12937.32€ |
| 2024-10-14 | 13070.54€ |
| 2024-10-13 | 13146.07€ |
| 2024-10-12 | 13146.07€ |
| 2024-10-11 | 12998.87€ |
| 2024-10-10 | 12888.07€ |
| 2024-10-09 | 12940.25€ |
| 2024-10-08 | 12830.35€ |
| 2024-10-07 | 12669.81€ |
| 2024-10-06 | 12817.77€ |
| 2024-10-05 | 12817.77€ |
| 2024-10-04 | 12725.76€ |
| 2024-10-03 | 12605.71€ |
| 2024-10-02 | 12579.34€ |
| 2024-10-01 | 12570.27€ |
| 2024-09-30 | 12619.44€ |
| 2024-09-29 | 12611.3€ |
| 2024-09-28 | 12611.3€ |
| 2024-09-27 | 12537.69€ |
| 2024-09-26 | 12615.73€ |
| 2024-09-25 | 12667.93€ |
| 2024-09-24 | 12646.3€ |
| 2024-09-23 | 12583.83€ |
| 2024-09-22 | 12672.44€ |
| 2024-09-21 | 12525.23€ |
| 2024-09-20 | 12525.23€ |
| 2024-09-19 | 12490.65€ |
| 2024-09-18 | 12360.53€ |
| 2024-09-17 | 12387.12€ |
| 2024-09-16 | 12481.21€ |
| 2024-09-15 | 12570.57€ |
| 2024-09-14 | 12570.57€ |
| 2024-09-12 | 12324.63€ |
| 2024-09-11 | 12205.54€ |
| 2024-09-10 | 12101.45€ |
| 2024-09-09 | 12065.73€ |
| 2024-09-08 | 12060.33€ |
| 2024-09-07 | 12060.33€ |
| 2024-09-06 | 11903.92€ |
| 2024-09-05 | 12056.2€ |
| 2024-09-04 | 12144.57€ |
| 2024-09-03 | 12142.99€ |
| 2024-09-02 | 12442.49€ |
| 2024-09-01 | 12442.49€ |
| 2024-08-31 | 12442.49€ |
| 2024-08-30 | 12378.08€ |
| 2024-08-29 | 12266.97€ |
| 2024-08-28 | 12314.23€ |
| 2024-08-27 | 12344.45€ |
| 2024-08-27 | 12305.26€ |
| 2024-07-16 | 11878.94€ |
| 2024-07-15 | 11871.22€ |
| 2024-07-14 | 11930.44€ |
| 2024-07-13 | 11930.44€ |
| 2024-07-12 | 11838.44€ |
| 2024-07-11 | 11815.27€ |
| 2024-07-10 | 11944.9€ |
| 2024-07-09 | 11865.38€ |
| 2024-07-08 | 11832.71€ |
| 2024-07-07 | 11949.13€ |
| 2024-06-29 | 11813.99€ |
| 2024-06-26 | 11718.08€ |
| 2024-06-24 | 11657.38€ |
| 2024-06-23 | 11764.11€ |
| 2024-06-21 | 11681.31€ |
| 2024-06-17 | 10801.37€ |
| 2024-06-16 | 10795.15€ |
| 2024-06-15 | 10795.15€ |
| 2024-06-12 | 10697.67€ |
| 2024-06-10 | 10730.52€ |
| 2024-06-09 | 10795.71€ |
| 2024-06-08 | 11615.62€ |
| 2024-06-07 | 11496.02€ |
| 2024-06-06 | 11476.22€ |
| 2024-06-05 | 11463.78€ |
| 2024-06-04 | 11324.49€ |
| 2024-06-03 | 11253.99€ |
| 2024-06-02 | 11398.32€ |
| 2024-06-01 | 11398.32€ |
| 2024-05-31 | 11278.72€ |
| 2024-05-30 | 11196.31€ |
| 2024-05-29 | 11242.4€ |
| 2024-05-28 | 11328.58€ |
| 2024-05-27 | 11446.5€ |
| 2024-05-26 | 11446.5€ |
| 2024-05-25 | 11446.5€ |
| 2024-05-24 | 11345.29€ |
| 2024-05-23 | 11237.0€ |
| 2024-05-21 | 11197.57€ |
| 2024-05-21 | 11197.57€ |
| 2024-05-21 | 11199.51€ |
| 2024-05-21 | 11199.51€ |
| 2024-05-21 | 11199.51€ |
| 2024-05-21 | 11199.51€ |
| 2024-05-21 | 11199.51€ |
| 2024-05-21 | 11199.51€ |
| 2024-05-21 | 11199.51€ |
| 2024-04-25 | 10867.55€ |
| 2024-04-24 | 11028.05€ |
| 2024-04-23 | 11096.63€ |
| 2024-04-22 | 10872.78€ |
| 2024-04-21 | 10963.83€ |
| 2024-04-20 | 10963.83€ |
| 2024-04-19 | 10798.22€ |
| 2024-04-18 | 10940.2€ |
| 2024-04-17 | 10952.37€ |
| 2024-04-16 | 10986.35€ |
| 2024-04-15 | 10939.36€ |
| 2024-04-14 | 11204.45€ |
| 2024-04-13 | 11204.45€ |
| 2024-04-12 | 11038.84€ |
| 2024-04-11 | 11194.46€ |
| 2024-04-10 | 11165.02€ |
| 2024-04-04 | 11363.36€ |
| 2024-04-02 | 11139.91€ |
| 2024-04-01 | 11391.12€ |
| 2024-03-31 | 11577.64€ |
| 2024-03-30 | 11577.64€ |
| 2024-03-29 | 11577.64€ |
| 2024-03-28 | 11439.63€ |
| 2024-03-27 | 11483.94€ |
| 2024-03-26 | 11395.55€ |
| 2024-03-25 | 11436.46€ |
| 2024-03-24 | 11587.66€ |
| 2024-03-23 | 11587.66€ |
| 2024-03-22 | 11468.05€ |
| 2024-03-21 | 11469.88€ |
| 2024-03-20 | 11399.96€ |
| 2024-03-19 | 11363.14€ |
| 2024-03-18 | 11303.91€ |
| 2024-03-17 | 11348.34€ |
| 2024-03-16 | 11348.34€ |
| 2024-03-15 | 11210.33€ |
| 2024-03-14 | 11270.77€ |
| 2024-03-13 | 11331.76€ |
| 2024-03-12 | 11318.88€ |
| 2024-03-11 | 11128.15€ |
| 2024-03-10 | 11368.29€ |
| 2024-03-09 | 11368.29€ |
| 2024-03-08 | 11248.69€ |
| 2024-03-07 | 11375.51€ |
| 2024-03-06 | 11271.91€ |
| 2024-03-05 | 11165.3€ |
| 2024-03-04 | 11237.25€ |
| 2024-03-03 | 11311.7€ |
| 2024-03-02 | 11311.7€ |
| 2024-03-01 | 11173.7€ |
| 2024-02-29 | 11038.76€ |
| 2024-02-28 | 11042.19€ |
| 2024-02-27 | 11046.79€ |
| 2024-02-26 | 11032.73€ |
| 2024-02-25 | 11124.51€ |
| 2024-02-24 | 11124.51€ |
| 2024-02-23 | 10995.71€ |
| 2024-02-22 | 10990.71€ |
| 2024-02-21 | 10709.54€ |
| 2024-02-20 | 10815.8€ |
| 2024-02-19 | 11074.07€ |
| 2024-02-18 | 11074.07€ |
| 2024-02-17 | 11074.07€ |
| 2024-02-16 | 10926.86€ |
| 2024-02-15 | 10903.43€ |
| 2024-02-12 | 10651.4€ |
| 2024-02-11 | 10833.21€ |
| 2024-02-10 | 10833.21€ |
| 2024-02-09 | 10658.41€ |
| 2024-02-08 | 10621.44€ |
| 2024-02-07 | 10620.4€ |
| 2024-02-06 | 10471.36€ |
| 2024-02-05 | 10496.43€ |
| 2024-02-04 | 10564.88€ |
| 2024-02-03 | 10564.88€ |
| 2024-02-02 | 10436.08€ |
| 2024-02-01 | 10209.78€ |
| 2024-01-31 | 10051.68€ |
| 2024-01-30 | 10148.95€ |
| 2024-01-28 | 10203.87€ |
| 2024-01-27 | 10203.87€ |
| 2024-01-26 | 10056.66€ |
| 2024-01-25 | 10026.64€ |
| 2024-01-24 | 9928.57€ |
| 2024-01-23 | 9913.75€ |
| 2024-01-22 | 9880.11€ |
