static-skfolio-max-sortino
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 | 9797.88 |
| Current capital | 31.0€ |
Current portfolio
| Ticker | Qty | Crnt Price | Worth (USD) |
|---|
| USD | 31.000000 | 1 | 31.0 |
| META | 2.601386 | 0 | 0.0 |
| LLY | 1.586913 | 0 | 0.0 |
| GE | 7.684320 | 0 | 0.0 |
| PGR | 4.988392 | 0 | 0.0 |
| CRM | 2.929237 | 0 | 0.0 |
| NVDA | 13.141913 | 0 | 0.0 |
| CME | 3.755803 | 0 | 0.0 |
| UBER | 10.382192 | 0 | 0.0 |
| VZ | 14.623340 | 0 | 0.0 |
| AVGO | 0.451765 | 0 | 0.0 |
| ORLY | 0.419562 | 0 | 0.0 |
| WM | 2.322345 | 0 | 0.0 |
| COST | 0.445393 | 0 | 0.0 |
| IBM | 1.281024 | 0 | 0.0 |
| CBA | 2938.442845 | 0 | 0.0 |
| BKNG | 0.043623 | 0 | 0.0 |
| TMUS | 0.719433 | 0 | 0.0 |
| VRTX | 0.183624 | 0 | 0.0 |
Detailed statistics
| Strategy |
|---|
| Start Period | 2024-01-23 |
|---|
| End Period | 2025-03-21 |
|---|
| Risk-Free Rate | 0 |
|---|
| Time in Market | 0.74 |
|---|
| Cumulative Return | -1.0 |
|---|
| CAGR﹪ | -0.97 |
|---|
| Sharpe | -0.52 |
|---|
| Prob. Sharpe Ratio | 0.2 |
|---|
| Sortino | -0.53 |
|---|
| Sortino/√2 | -0.37 |
|---|
| Omega | 0.73 |
|---|
| Max Drawdown | -1.0 |
|---|
| Longest DD Days | 88 |
|---|
| Gain/Pain Ratio | -0.27 |
|---|
| Gain/Pain (1M) | -0.55 |
|---|
| Payoff Ratio | 0.57 |
|---|
| Profit Factor | 0.73 |
|---|
| Common Sense Ratio | 0.74 |
|---|
| CPC Index | 0.23 |
|---|
| Tail Ratio | 1.02 |
|---|
| Outlier Win Ratio | 5.08 |
|---|
| Outlier Loss Ratio | 2.0 |
|---|
| MTD | 0 |
|---|
| 3M | -1.0 |
|---|
| 6M | -1.0 |
|---|
| YTD | -1.0 |
|---|
| 1Y | -1.0 |
|---|
| 3Y (ann.) | -0.97 |
|---|
| 5Y (ann.) | -0.97 |
|---|
| 10Y (ann.) | -0.97 |
|---|
| All-time (ann.) | -0.97 |
|---|
| Avg. Drawdown | -0.09 |
|---|
| Avg. Drawdown Days | 20 |
|---|
| Recovery Factor | 0.62 |
|---|
| Ulcer Index | 0.31 |
|---|
| Serenity Index | -0.19 |
|---|
Last trades
| Date | Buy/Sell | Ticker | Price | Qty | Volume |
|---|
| 2024-01-22 12:20:18.128539 | Buy | VRTX | 435.019989 | 0.183624 | 79.88 |
| 2024-01-22 12:20:17.649591 | Buy | TMUS | 165.160004 | 0.719433 | 118.82 |
| 2024-01-22 12:20:17.283517 | Buy | BKNG | 3616.510010 | 0.043623 | 157.76 |
| 2024-01-22 12:20:16.920325 | Buy | CBA | 0.070000 | 2938.442845 | 205.69 |
| 2024-01-22 12:20:16.556750 | Buy | IBM | 171.479996 | 1.281024 | 219.67 |
Portfolio worth over time
| Date | Portfolio Worth |
|---|
| 2025-03-21 | 31.0€ |
| 2025-03-20 | 31.0€ |
| 2025-03-19 | 31.0€ |
| 2025-03-18 | 31.0€ |
| 2025-03-17 | 31.0€ |
| 2025-03-16 | 31.0€ |
| 2025-03-15 | 31.0€ |
| 2025-03-14 | 31.0€ |
| 2025-03-13 | 31.0€ |
| 2025-03-12 | 31.0€ |
| 2025-03-11 | 31.0€ |
| 2025-03-10 | 31.0€ |
| 2025-03-09 | 31.0€ |
| 2025-03-08 | 31.0€ |
| 2025-03-07 | 31.0€ |
| 2025-03-06 | 31.0€ |
| 2025-03-05 | 31.0€ |
| 2025-03-04 | 31.0€ |
| 2025-03-03 | 31.0€ |
| 2025-03-02 | 31.0€ |
| 2025-03-01 | 31.0€ |
| 2025-02-28 | 31.0€ |
| 2025-02-27 | 31.0€ |
| 2025-02-26 | 31.0€ |
| 2025-02-25 | 31.0€ |
| 2025-02-24 | 31.0€ |
| 2025-02-23 | 31.0€ |
| 2025-02-22 | 31.0€ |
| 2025-02-21 | 31.0€ |
| 2025-02-20 | 31.0€ |
| 2025-02-19 | 31.0€ |
| 2025-02-18 | 31.0€ |
| 2025-02-17 | 13896.92€ |
| 2025-02-16 | 13896.92€ |
| 2025-02-15 | 13896.92€ |
| 2025-02-14 | 13823.45€ |
| 2025-02-13 | 13276.7€ |
| 2025-02-12 | 13703.88€ |
| 2025-02-11 | 13629.33€ |
| 2025-02-10 | 13472.83€ |
| 2025-02-09 | 13563.6€ |
| 2025-02-08 | 13563.6€ |
| 2025-02-07 | 13490.14€ |
| 2025-02-06 | 13443.05€ |
| 2025-02-05 | 13302.14€ |
| 2025-02-04 | 13182.48€ |
| 2025-02-03 | 13070.01€ |
| 2025-02-02 | 13107.59€ |
| 2025-02-01 | 13107.59€ |
| 2025-01-31 | 13019.44€ |
| 2025-01-30 | 13134.52€ |
| 2025-01-29 | 12942.55€ |
| 2025-01-28 | 12993.11€ |
| 2025-01-27 | 12814.63€ |
| 2025-01-26 | 13037.54€ |
| 2025-01-25 | 13037.54€ |
| 2025-01-24 | 12964.08€ |
| 2025-01-23 | 12995.94€ |
| 2025-01-22 | 12808.61€ |
| 2025-01-21 | 12684.18€ |
| 2025-01-20 | 12653.68€ |
| 2025-01-19 | 12653.68€ |
| 2025-01-18 | 12653.68€ |
| 2025-01-17 | 12565.53€ |
| 2025-01-16 | 12505.43€ |
| 2025-01-15 | 12484.63€ |
| 2025-01-14 | 12310.18€ |
| 2025-01-13 | 12379.55€ |
| 2025-01-12 | 12548.36€ |
| 2025-01-11 | 12548.36€ |
| 2025-01-10 | 12430.82€ |
| 2025-01-09 | 12679.73€ |
| 2025-01-08 | 12547.5€ |
| 2025-01-07 | 12513.44€ |
| 2025-01-06 | 12673.0€ |
| 2025-01-05 | 12643.24€ |
| 2025-01-04 | 12643.24€ |
| 2025-01-03 | 12599.17€ |
| 2025-01-02 | 12427.79€ |
| 2025-01-01 | 12337.73€ |
| 2024-12-31 | 12293.65€ |
| 2024-12-30 | 12367.85€ |
| 2024-12-29 | 12519.42€ |
| 2024-12-28 | 12519.42€ |
| 2024-12-27 | 12475.35€ |
| 2024-12-26 | 12624.46€ |
| 2024-12-25 | 12054.17€ |
| 2024-12-24 | 12650.78€ |
| 2024-12-23 | 12563.33€ |
| 2024-12-22 | 12445.91€ |
| 2024-12-21 | 12445.91€ |
| 2024-12-20 | 12401.84€ |
| 2024-12-19 | 12290.43€ |
| 2024-12-18 | 12282.73€ |
| 2024-12-17 | 12562.04€ |
| 2024-12-16 | 12652.56€ |
| 2024-12-15 | 12781.9€ |
| 2024-12-14 | 12781.9€ |
| 2024-12-13 | 12708.44€ |
| 2024-12-12 | 12716.82€ |
| 2024-12-11 | 12787.9€ |
| 2024-12-10 | 12779.11€ |
| 2024-12-09 | 12823.68€ |
| 2024-12-08 | 13261.36€ |
| 2024-12-07 | 13261.36€ |
| 2024-12-06 | 13085.06€ |
| 2024-12-05 | 13090.0€ |
| 2024-12-04 | 13266.44€ |
| 2024-12-03 | 13056.32€ |
| 2024-12-02 | 12958.57€ |
| 2024-12-01 | 13116.98€ |
| 2024-11-30 | 13116.98€ |
| 2024-11-29 | 12940.67€ |
| 2024-11-28 | 13020.89€ |
| 2024-11-27 | 12844.58€ |
| 2024-11-26 | 12947.81€ |
| 2024-11-25 | 12774.2€ |
| 2024-11-24 | 12974.49€ |
| 2024-11-23 | 12974.49€ |
| 2024-11-22 | 12798.18€ |
| 2024-11-21 | 12764.48€ |
| 2024-11-20 | 12655.15€ |
| 2024-11-19 | 12593.38€ |
| 2024-11-18 | 12492.63€ |
| 2024-11-17 | 12730.92€ |
| 2024-11-16 | 12730.92€ |
| 2024-11-15 | 12554.61€ |
| 2024-11-14 | 12775.73€ |
| 2024-11-13 | 12952.95€ |
| 2024-11-12 | 12980.77€ |
| 2024-11-11 | 12966.74€ |
| 2024-11-10 | 13128.93€ |
| 2024-11-09 | 13128.93€ |
| 2024-11-08 | 12967.32€ |
| 2024-11-07 | 12795.63€ |
| 2024-11-06 | 12704.4€ |
| 2024-11-05 | 12512.1€ |
| 2024-11-04 | 12327.76€ |
| 2024-11-03 | 12585.27€ |
| 2024-11-02 | 12585.27€ |
| 2024-10-29 | 12752.73€ |
| 2024-10-28 | 12675.91€ |
| 2024-10-27 | 12880.21€ |
| 2024-10-26 | 12880.21€ |
| 2024-10-25 | 12674.52€ |
| 2024-10-24 | 12696.52€ |
| 2024-10-23 | 12741.68€ |
| 2024-10-22 | 12814.55€ |
| 2024-10-21 | 12992.44€ |
| 2024-10-20 | 13062.83€ |
| 2024-10-19 | 13062.83€ |
| 2024-10-18 | 12930.6€ |
| 2024-10-17 | 12914.25€ |
| 2024-10-16 | 12926.85€ |
| 2024-10-15 | 12852.02€ |
| 2024-10-14 | 13015.2€ |
| 2024-10-13 | 13185.22€ |
| 2024-10-12 | 13185.22€ |
| 2024-10-11 | 12950.14€ |
| 2024-10-10 | 12775.23€ |
| 2024-10-09 | 12160.52€ |
| 2024-10-08 | 12740.04€ |
| 2024-10-07 | 12525.38€ |
| 2024-10-06 | 12738.78€ |
| 2024-10-05 | 12738.78€ |
| 2024-10-04 | 12591.85€ |
| 2024-10-03 | 12444.5€ |
| 2024-10-02 | 12403.01€ |
| 2024-10-01 | 12374.52€ |
| 2024-09-30 | 12443.39€ |
| 2024-09-29 | 12494.48€ |
| 2024-09-28 | 12494.48€ |
| 2024-09-27 | 12376.95€ |
| 2024-09-26 | 12484.79€ |
| 2024-09-25 | 12551.1€ |
| 2024-09-24 | 12489.13€ |
| 2024-09-23 | 12355.8€ |
| 2024-09-22 | 12550.21€ |
| 2024-09-21 | 12315.14€ |
| 2024-09-20 | 12315.14€ |
| 2024-09-19 | 12301.26€ |
| 2024-09-18 | 12103.23€ |
| 2024-09-17 | 12120.54€ |
| 2024-09-16 | 12191.65€ |
| 2024-09-15 | 12404.59€ |
| 2024-09-14 | 12404.59€ |
| 2024-09-12 | 12010.9€ |
| 2024-09-11 | 11891.44€ |
| 2024-09-10 | 11697.97€ |
| 2024-09-09 | 11671.42€ |
| 2024-09-08 | 11754.61€ |
| 2024-09-07 | 11754.61€ |
| 2024-09-06 | 11504.84€ |
| 2024-09-05 | 11702.86€ |
| 2024-09-04 | 11781.21€ |
| 2024-09-03 | 11798.9€ |
| 2024-09-02 | 12204.42€ |
| 2024-09-01 | 12204.42€ |
| 2024-08-31 | 12204.42€ |
| 2024-08-30 | 12101.58€ |
| 2024-08-29 | 11997.56€ |
| 2024-08-28 | 12100.07€ |
| 2024-08-27 | 12147.81€ |
| 2024-08-27 | 12113.26€ |
| 2024-07-16 | 11673.12€ |
| 2024-07-15 | 11682.61€ |
| 2024-07-14 | 11807.14€ |
| 2024-07-13 | 12498.61€ |
| 2024-07-12 | 12351.68€ |
| 2024-07-11 | 12352.72€ |
| 2024-07-10 | 12519.81€ |
| 2024-07-09 | 12439.0€ |
| 2024-07-08 | 12403.55€ |
| 2024-07-07 | 12574.1€ |
| 2024-06-29 | 12365.15€ |
| 2024-06-26 | 12154.33€ |
| 2024-06-24 | 12006.23€ |
| 2024-06-23 | 12262.12€ |
| 2024-06-21 | 12129.89€ |
| 2024-06-17 | 12012.48€ |
| 2024-06-16 | 12012.48€ |
| 2024-06-15 | 12012.48€ |
| 2024-06-12 | 12012.48€ |
| 2024-06-10 | 12012.48€ |
| 2024-06-09 | 12012.48€ |
| 2024-06-08 | 12012.48€ |
| 2024-06-07 | 11821.48€ |
| 2024-06-06 | 11810.59€ |
| 2024-06-05 | 11784.71€ |
| 2024-06-04 | 11595.18€ |
| 2024-06-03 | 11517.13€ |
| 2024-06-02 | 11664.95€ |
| 2024-06-01 | 11664.95€ |
| 2024-05-31 | 11473.95€ |
| 2024-05-30 | 11392.04€ |
| 2024-05-29 | 11590.1€ |
| 2024-05-28 | 11652.24€ |
| 2024-05-27 | 11756.76€ |
| 2024-05-26 | 11756.76€ |
| 2024-05-25 | 11756.76€ |
| 2024-05-24 | 11595.15€ |
| 2024-05-23 | 11486.45€ |
| 2024-05-21 | 11406.82€ |
| 2024-05-21 | 11406.82€ |
| 2024-05-21 | 11410.73€ |
| 2024-05-21 | 11410.73€ |
| 2024-05-21 | 11410.73€ |
| 2024-05-21 | 11410.73€ |
| 2024-05-21 | 11410.73€ |
| 2024-05-21 | 11410.73€ |
| 2024-05-21 | 11410.73€ |
| 2024-04-25 | 10996.74€ |
| 2024-04-24 | 11129.03€ |
| 2024-04-23 | 11254.28€ |
| 2024-04-22 | 10984.4€ |
| 2024-04-21 | 11181.89€ |
| 2024-04-20 | 11181.89€ |
| 2024-04-19 | 10917.43€ |
| 2024-04-18 | 11159.27€ |
| 2024-04-17 | 11180.73€ |
| 2024-04-16 | 11274.57€ |
| 2024-04-15 | 11197.86€ |
| 2024-04-14 | 11632.61€ |
| 2024-04-13 | 11632.61€ |
| 2024-04-12 | 11368.15€ |
| 2024-04-11 | 11531.73€ |
| 2024-04-10 | 11450.99€ |
| 2024-04-04 | 11757.9€ |
| 2024-04-02 | 11407.26€ |
| 2024-04-01 | 11684.68€ |
| 2024-03-31 | 11911.62€ |
| 2024-03-30 | 11911.62€ |
| 2024-03-29 | 11911.62€ |
| 2024-03-28 | 11691.24€ |
| 2024-03-27 | 11753.12€ |
| 2024-03-26 | 11712.17€ |
| 2024-03-25 | 11800.07€ |
| 2024-03-24 | 12026.99€ |
| 2024-03-23 | 12026.99€ |
| 2024-03-22 | 11835.99€ |
| 2024-03-21 | 11817.65€ |
| 2024-03-20 | 11700.05€ |
| 2024-03-19 | 11607.93€ |
| 2024-03-18 | 11535.32€ |
| 2024-03-17 | 11650.27€ |
| 2024-03-16 | 11650.27€ |
| 2024-03-15 | 11429.88€ |
| 2024-03-14 | 11508.55€ |
| 2024-03-13 | 11584.65€ |
| 2024-03-12 | 11589.98€ |
| 2024-03-11 | 11381.57€ |
| 2024-03-10 | 11716.05€ |
| 2024-03-09 | 11716.05€ |
| 2024-03-08 | 11525.05€ |
| 2024-03-07 | 11688.49€ |
| 2024-03-06 | 11531.21€ |
| 2024-03-05 | 11411.7€ |
| 2024-03-04 | 11570.09€ |
| 2024-03-03 | 11707.24€ |
| 2024-03-02 | 11707.24€ |
| 2024-03-01 | 11486.85€ |
| 2024-02-29 | 11271.49€ |
| 2024-02-28 | 11209.34€ |
| 2024-02-27 | 11231.07€ |
| 2024-02-26 | 11238.43€ |
| 2024-02-25 | 11397.58€ |
| 2024-02-24 | 11397.58€ |
| 2024-02-23 | 11191.89€ |
| 2024-02-22 | 11198.15€ |
| 2024-02-21 | 10821.76€ |
| 2024-02-20 | 10846.93€ |
| 2024-02-19 | 11223.77€ |
| 2024-02-18 | 11223.77€ |
| 2024-02-17 | 11223.77€ |
| 2024-02-16 | 10988.7€ |
| 2024-02-15 | 11011.73€ |
| 2024-02-12 | 10637.57€ |
| 2024-02-11 | 10940.77€ |
| 2024-02-10 | 10940.77€ |
| 2024-02-09 | 10661.62€ |
| 2024-02-08 | 10629.91€ |
| 2024-02-07 | 10608.15€ |
| 2024-02-06 | 10453.15€ |
| 2024-02-05 | 10506.22€ |
| 2024-02-04 | 10620.53€ |
| 2024-02-03 | 10620.53€ |
| 2024-02-02 | 10414.84€ |
| 2024-02-01 | 10106.48€ |
| 2024-01-31 | 9965.93€ |
| 2024-01-30 | 10101.02€ |
| 2024-01-28 | 10207.97€ |
| 2024-01-27 | 10207.97€ |
| 2024-01-26 | 9972.89€ |
| 2024-01-25 | 9949.86€ |
| 2024-01-24 | 9888.2€ |
| 2024-01-23 | 9824.43€ |
| 2024-01-22 | 9797.88€ |
