static-skfolio-nested-cluster-optimization
22 March, 2025 | 6 Min ReadIntroduction to our strategy
no description yet
Quick Summary
| Metric | Value |
|---|
| Return % p.a. | -79 |
| Days active | 424 |
| Starting capital | 9994.08 |
| Current capital | 804.0€ |
Current portfolio
| Ticker | Qty | Crnt Price | Worth (USD) |
|---|
| USD | 804.000000 | 1 | 804.0 |
| DUK | 6.969438 | 0 | 0.0 |
| BSX | 8.126945 | 0 | 0.0 |
| MCD | 1.594783 | 0 | 0.0 |
| SHEL | 7.744870 | 0 | 0.0 |
| CPRT | 9.226386 | 0 | 0.0 |
| ABT | 3.795850 | 0 | 0.0 |
| PG | 2.936566 | 0 | 0.0 |
| CME | 1.942145 | 0 | 0.0 |
| TMUS | 2.128070 | 0 | 0.0 |
| CVX | 2.197205 | 0 | 0.0 |
| WM | 1.683565 | 0 | 0.0 |
| MO | 6.932308 | 0 | 0.0 |
| SO | 3.504525 | 0 | 0.0 |
| KO | 3.254346 | 0 | 0.0 |
| TXN | 0.977512 | 0 | 0.0 |
| FAST | 2.347210 | 0 | 0.0 |
| EA | 1.174535 | 0 | 0.0 |
| TTE | 2.361001 | 0 | 0.0 |
| BDX | 0.630703 | 0 | 0.0 |
| TJX | 1.484681 | 0 | 0.0 |
| LMT | 0.292291 | 0 | 0.0 |
| ENB | 3.663202 | 0 | 0.0 |
| WMT | 0.799390 | 0 | 0.0 |
| AZN | 1.935775 | 0 | 0.0 |
| CP | 1.488021 | 0 | 0.0 |
| AAPL | 0.583796 | 0 | 0.0 |
| TMO | 0.191828 | 0 | 0.0 |
| AVGO | 0.085736 | 0 | 0.0 |
| UNH | 0.200271 | 0 | 0.0 |
| EQIX | 0.124394 | 0 | 0.0 |
| GSK | 2.315071 | 0 | 0.0 |
| SBUX | 0.957437 | 0 | 0.0 |
| LIN | 0.215691 | 0 | 0.0 |
| IBM | 0.506587 | 0 | 0.0 |
| LOW | 0.367613 | 0 | 0.0 |
| CTSH | 1.039022 | 0 | 0.0 |
| BA | 0.362213 | 0 | 0.0 |
| AIR | 1.324316 | 0 | 0.0 |
| JNJ | 0.463183 | 0 | 0.0 |
| DIS | 0.783264 | 0 | 0.0 |
| PGR | 0.416677 | 0 | 0.0 |
| ACN | 0.192072 | 0 | 0.0 |
| MAR | 0.294845 | 0 | 0.0 |
| MSFT | 0.167807 | 0 | 0.0 |
| ICE | 0.513266 | 0 | 0.0 |
| VRTX | 0.144604 | 0 | 0.0 |
| MU | 0.684607 | 0 | 0.0 |
| ITW | 0.230564 | 0 | 0.0 |
| BKNG | 0.016014 | 0 | 0.0 |
| GEHC | 0.781446 | 0 | 0.0 |
| EXC | 1.595776 | 0 | 0.0 |
| PYPL | 0.804019 | 0 | 0.0 |
Detailed statistics
| Strategy |
|---|
| Start Period | 2024-01-23 |
|---|
| End Period | 2025-03-21 |
|---|
| Risk-Free Rate | 0 |
|---|
| Time in Market | 0.64 |
|---|
| Cumulative Return | -0.92 |
|---|
| CAGR﹪ | -0.78 |
|---|
| Sharpe | -0.48 |
|---|
| Prob. Sharpe Ratio | 0.26 |
|---|
| Sortino | -0.54 |
|---|
| Sortino/√2 | -0.38 |
|---|
| Omega | 0.68 |
|---|
| Max Drawdown | -0.93 |
|---|
| Longest DD Days | 75 |
|---|
| Gain/Pain Ratio | -0.32 |
|---|
| Gain/Pain (1M) | -0.76 |
|---|
| Payoff Ratio | 0.51 |
|---|
| Profit Factor | 0.68 |
|---|
| Common Sense Ratio | 0.75 |
|---|
| CPC Index | 0.2 |
|---|
| Tail Ratio | 1.11 |
|---|
| Outlier Win Ratio | 5.34 |
|---|
| Outlier Loss Ratio | 6.5 |
|---|
| MTD | 0 |
|---|
| 3M | -0.93 |
|---|
| 6M | -0.93 |
|---|
| YTD | -0.93 |
|---|
| 1Y | -0.92 |
|---|
| 3Y (ann.) | -0.78 |
|---|
| 5Y (ann.) | -0.78 |
|---|
| 10Y (ann.) | -0.78 |
|---|
| All-time (ann.) | -0.78 |
|---|
| Avg. Drawdown | -0.07 |
|---|
| Avg. Drawdown Days | 14 |
|---|
| Recovery Factor | 0.66 |
|---|
| Ulcer Index | 0.29 |
|---|
| Serenity Index | -0.24 |
|---|
Last trades
| Date | Buy/Sell | Ticker | Price | Qty | Volume |
|---|
| 2024-01-22 12:24:13.413441 | Buy | PYPL | 65.820000 | 0.804019 | 52.92 |
| 2024-01-22 12:24:13.196516 | Buy | EXC | 35.040001 | 1.595776 | 55.92 |
| 2024-01-22 12:24:13.004978 | Buy | GEHC | 74.110001 | 0.781446 | 57.91 |
| 2024-01-22 12:24:12.681569 | Buy | BKNG | 3616.510010 | 0.016014 | 57.91 |
| 2024-01-22 12:24:12.556598 | Buy | ITW | 255.509995 | 0.230564 | 58.91 |
Portfolio worth over time
| Date | Portfolio Worth |
|---|
| 2025-03-21 | 804.0€ |
| 2025-03-20 | 804.0€ |
| 2025-03-19 | 804.0€ |
| 2025-03-18 | 804.0€ |
| 2025-03-17 | 804.0€ |
| 2025-03-16 | 804.0€ |
| 2025-03-15 | 804.0€ |
| 2025-03-14 | 804.0€ |
| 2025-03-13 | 804.0€ |
| 2025-03-12 | 804.0€ |
| 2025-03-11 | 804.0€ |
| 2025-03-10 | 804.0€ |
| 2025-03-09 | 804.0€ |
| 2025-03-08 | 804.0€ |
| 2025-03-07 | 804.0€ |
| 2025-03-06 | 804.0€ |
| 2025-03-05 | 804.0€ |
| 2025-03-04 | 804.0€ |
| 2025-03-03 | 804.0€ |
| 2025-03-02 | 804.0€ |
| 2025-03-01 | 804.0€ |
| 2025-02-28 | 804.0€ |
| 2025-02-27 | 804.0€ |
| 2025-02-26 | 804.0€ |
| 2025-02-25 | 804.0€ |
| 2025-02-24 | 804.0€ |
| 2025-02-23 | 804.0€ |
| 2025-02-22 | 804.0€ |
| 2025-02-21 | 804.0€ |
| 2025-02-20 | 804.0€ |
| 2025-02-19 | 804.0€ |
| 2025-02-18 | 804.0€ |
| 2025-02-17 | 11555.68€ |
| 2025-02-16 | 11555.68€ |
| 2025-02-15 | 11555.68€ |
| 2025-02-14 | 8238.71€ |
| 2025-02-13 | 10051.82€ |
| 2025-02-12 | 10700.9€ |
| 2025-02-11 | 9442.54€ |
| 2025-02-10 | 9235.53€ |
| 2025-02-09 | 11427.58€ |
| 2025-02-08 | 11427.58€ |
| 2025-02-07 | 11427.58€ |
| 2025-02-06 | 11460.33€ |
| 2025-02-05 | 11442.08€ |
| 2025-02-04 | 11341.62€ |
| 2025-02-03 | 11326.47€ |
| 2025-02-02 | 11294.95€ |
| 2025-02-01 | 11294.95€ |
| 2025-01-31 | 11294.95€ |
| 2025-01-30 | 11367.56€ |
| 2025-01-29 | 11227.16€ |
| 2025-01-28 | 11208.66€ |
| 2025-01-27 | 11309.77€ |
| 2025-01-26 | 11170.14€ |
| 2025-01-25 | 11170.14€ |
| 2025-01-24 | 11170.14€ |
| 2025-01-23 | 11167.6€ |
| 2025-01-22 | 11123.62€ |
| 2025-01-21 | 11172.9€ |
| 2025-01-20 | 11084.32€ |
| 2025-01-19 | 11084.32€ |
| 2025-01-18 | 11084.32€ |
| 2025-01-17 | 11084.32€ |
| 2025-01-16 | 11024.99€ |
| 2025-01-15 | 10953.2€ |
| 2025-01-14 | 10925.77€ |
| 2025-01-13 | 10872.18€ |
| 2025-01-12 | 10834.91€ |
| 2025-01-11 | 10834.91€ |
| 2025-01-10 | 10834.91€ |
| 2025-01-09 | 10957.09€ |
| 2025-01-08 | 10957.09€ |
| 2025-01-07 | 10871.1€ |
| 2025-01-06 | 10847.01€ |
| 2025-01-05 | 10906.57€ |
| 2025-01-04 | 10906.57€ |
| 2025-01-03 | 10906.57€ |
| 2025-01-02 | 10844.76€ |
| 2025-01-01 | 10853.46€ |
| 2024-12-31 | 10853.46€ |
| 2024-12-30 | 10845.67€ |
| 2024-12-29 | 10944.32€ |
| 2024-12-28 | 10944.32€ |
| 2024-12-27 | 10944.31€ |
| 2024-12-26 | 10997.25€ |
| 2024-12-25 | 8795.68€ |
| 2024-12-24 | 10995.09€ |
| 2024-12-23 | 10922.82€ |
| 2024-12-22 | 10906.28€ |
| 2024-12-21 | 10906.28€ |
| 2024-12-20 | 10906.28€ |
| 2024-12-19 | 10836.71€ |
| 2024-12-18 | 10862.16€ |
| 2024-12-17 | 11058.49€ |
| 2024-12-16 | 11095.77€ |
| 2024-12-15 | 11161.87€ |
| 2024-12-14 | 11161.87€ |
| 2024-12-13 | 11161.87€ |
| 2024-12-12 | 11195.45€ |
| 2024-12-11 | 11231.29€ |
| 2024-12-10 | 11272.81€ |
| 2024-12-09 | 11264.65€ |
| 2024-12-08 | 11339.04€ |
| 2024-12-07 | 11339.04€ |
| 2024-12-06 | 11339.04€ |
| 2024-12-05 | 11406.51€ |
| 2024-12-04 | 11405.5€ |
| 2024-12-03 | 11411.11€ |
| 2024-12-02 | 11431.27€ |
| 2024-12-01 | 11508.43€ |
| 2024-11-30 | 11508.43€ |
| 2024-11-29 | 11508.43€ |
| 2024-11-28 | 11496.33€ |
| 2024-11-27 | 11496.33€ |
| 2024-11-26 | 11480.64€ |
| 2024-11-25 | 11419.62€ |
| 2024-11-24 | 11374.36€ |
| 2024-11-23 | 11374.36€ |
| 2024-11-22 | 11374.36€ |
| 2024-11-21 | 11284.08€ |
| 2024-11-20 | 11194.85€ |
| 2024-11-19 | 11192.65€ |
| 2024-11-18 | 11219.42€ |
| 2024-11-17 | 11139.22€ |
| 2024-11-16 | 11139.22€ |
| 2024-11-15 | 11139.22€ |
| 2024-11-14 | 11185.4€ |
| 2024-11-13 | 11246.09€ |
| 2024-11-12 | 11231.16€ |
| 2024-11-11 | 11268.43€ |
| 2024-11-10 | 11254.8€ |
| 2024-11-09 | 11254.8€ |
| 2024-11-08 | 11254.8€ |
| 2024-11-07 | 11168.0€ |
| 2024-11-06 | 11163.71€ |
| 2024-11-05 | 11091.06€ |
| 2024-11-04 | 11011.69€ |
| 2024-11-03 | 10997.19€ |
| 2024-11-02 | 10997.19€ |
| 2024-10-29 | 11029.95€ |
| 2024-10-28 | 11075.19€ |
| 2024-10-27 | 11058.17€ |
| 2024-10-26 | 11058.17€ |
| 2024-10-25 | 11058.17€ |
| 2024-10-24 | 11137.32€ |
| 2024-10-23 | 11156.88€ |
| 2024-10-22 | 11199.11€ |
| 2024-10-21 | 11234.04€ |
| 2024-10-20 | 11305.05€ |
| 2024-10-19 | 11305.05€ |
| 2024-10-18 | 11305.05€ |
| 2024-10-17 | 11271.0€ |
| 2024-10-16 | 11264.26€ |
| 2024-10-15 | 11197.82€ |
| 2024-10-14 | 11229.98€ |
| 2024-10-13 | 11166.31€ |
| 2024-10-12 | 11166.31€ |
| 2024-10-11 | 11166.31€ |
| 2024-10-10 | 11085.7€ |
| 2024-10-09 | 11042.19€ |
| 2024-10-08 | 11036.81€ |
| 2024-10-07 | 10994.34€ |
| 2024-10-06 | 11067.15€ |
| 2024-10-05 | 11067.15€ |
| 2024-10-04 | 11067.15€ |
| 2024-10-03 | 11053.76€ |
| 2024-10-02 | 11104.81€ |
| 2024-10-01 | 11086.64€ |
| 2024-09-30 | 11073.91€ |
| 2024-09-29 | 11050.99€ |
| 2024-09-28 | 11050.99€ |
| 2024-09-27 | 11050.99€ |
| 2024-09-26 | 11020.97€ |
| 2024-09-25 | 11015.62€ |
| 2024-09-24 | 11055.64€ |
| 2024-09-23 | 11058.86€ |
| 2024-09-22 | 11000.63€ |
| 2024-09-21 | 11000.63€ |
| 2024-09-20 | 11000.63€ |
| 2024-09-19 | 10989.92€ |
| 2024-09-18 | 10942.2€ |
| 2024-09-17 | 10992.18€ |
| 2024-09-16 | 11046.68€ |
| 2024-09-15 | 11011.74€ |
| 2024-09-14 | 11011.74€ |
| 2024-09-12 | 10957.12€ |
| 2024-09-11 | 10928.12€ |
| 2024-09-10 | 10939.72€ |
| 2024-09-09 | 10939.83€ |
| 2024-09-08 | 10850.5€ |
| 2024-09-07 | 10850.5€ |
| 2024-09-06 | 10850.5€ |
| 2024-09-05 | 10912.75€ |
| 2024-09-04 | 10999.14€ |
| 2024-09-03 | 10977.59€ |
| 2024-09-02 | 11033.83€ |
| 2024-09-01 | 11033.83€ |
| 2024-08-31 | 11033.83€ |
| 2024-08-30 | 11033.83€ |
| 2024-08-29 | 10975.42€ |
| 2024-08-28 | 10946.94€ |
| 2024-08-27 | 10963.25€ |
| 2024-08-27 | 10940.2€ |
| 2024-07-16 | 10598.83€ |
| 2024-07-15 | 10515.63€ |
| 2024-07-14 | 10516.66€ |
| 2024-07-13 | 10647.89€ |
| 2024-07-12 | 10647.89€ |
| 2024-07-11 | 10579.53€ |
| 2024-07-10 | 10536.35€ |
| 2024-07-09 | 10447.28€ |
| 2024-07-08 | 10469.53€ |
| 2024-07-07 | 10482.19€ |
| 2024-06-29 | 10453.52€ |
| 2024-06-26 | 10477.26€ |
| 2024-06-24 | 10544.19€ |
| 2024-06-23 | 10399.51€ |
| 2024-06-21 | 10483.55€ |
| 2024-06-17 | 10439.94€ |
| 2024-06-16 | 10399.33€ |
| 2024-06-15 | 10399.33€ |
| 2024-06-12 | 10415.72€ |
| 2024-06-10 | 10474.09€ |
| 2024-06-09 | 10456.09€ |
| 2024-06-08 | 10456.09€ |
| 2024-06-07 | 10456.09€ |
| 2024-06-06 | 10476.31€ |
| 2024-06-05 | 10468.96€ |
| 2024-06-04 | 10461.14€ |
| 2024-06-03 | 10403.11€ |
| 2024-06-02 | 10462.11€ |
| 2024-06-01 | 10462.11€ |
| 2024-05-31 | 10462.11€ |
| 2024-05-30 | 10325.15€ |
| 2024-05-29 | 10282.51€ |
| 2024-05-28 | 10367.37€ |
| 2024-05-27 | 10446.11€ |
| 2024-05-26 | 10446.11€ |
| 2024-05-25 | 10446.11€ |
| 2024-05-24 | 10446.11€ |
| 2024-05-23 | 10398.46€ |
| 2024-05-21 | 10521.35€ |
| 2024-05-21 | 10521.35€ |
| 2024-05-21 | 10520.73€ |
| 2024-05-21 | 10520.73€ |
| 2024-05-21 | 10520.73€ |
| 2024-05-21 | 10520.73€ |
| 2024-05-21 | 10520.73€ |
| 2024-05-21 | 10520.73€ |
| 2024-05-21 | 10520.73€ |
| 2024-04-25 | 10372.62€ |
| 2024-04-24 | 10356.51€ |
| 2024-04-23 | 10302.54€ |
| 2024-04-22 | 10235.51€ |
| 2024-04-21 | 10169.59€ |
| 2024-04-20 | 10169.59€ |
| 2024-04-19 | 10169.59€ |
| 2024-04-18 | 10092.08€ |
| 2024-04-17 | 10095.52€ |
| 2024-04-16 | 10084.86€ |
| 2024-04-15 | 10111.38€ |
| 2024-04-14 | 10172.68€ |
| 2024-04-13 | 10172.68€ |
| 2024-04-12 | 10172.68€ |
| 2024-04-11 | 10273.04€ |
| 2024-04-10 | 10277.32€ |
| 2024-04-04 | 10340.41€ |
| 2024-04-02 | 10363.51€ |
| 2024-04-01 | 10390.32€ |
| 2024-03-31 | 10434.82€ |
| 2024-03-30 | 10434.82€ |
| 2024-03-29 | 10434.82€ |
| 2024-03-28 | 10434.82€ |
| 2024-03-27 | 10412.23€ |
| 2024-03-26 | 10303.1€ |
| 2024-03-25 | 10315.61€ |
| 2024-03-24 | 10333.14€ |
| 2024-03-23 | 10333.14€ |
| 2024-03-22 | 10333.14€ |
| 2024-03-21 | 10373.07€ |
| 2024-03-20 | 10355.85€ |
| 2024-03-19 | 10328.86€ |
| 2024-03-18 | 10292.88€ |
| 2024-03-17 | 10286.01€ |
| 2024-03-16 | 10286.01€ |
| 2024-03-15 | 10286.01€ |
| 2024-03-14 | 10343.81€ |
| 2024-03-13 | 10360.56€ |
| 2024-03-12 | 10357.26€ |
| 2024-03-11 | 10326.27€ |
| 2024-03-10 | 10305.13€ |
| 2024-03-09 | 10305.13€ |
| 2024-03-08 | 10305.13€ |
| 2024-03-07 | 10314.45€ |
| 2024-03-06 | 10276.27€ |
| 2024-03-05 | 10214.12€ |
| 2024-03-04 | 10248.17€ |
| 2024-03-03 | 10226.53€ |
| 2024-03-02 | 10226.53€ |
| 2024-03-01 | 10226.53€ |
| 2024-02-29 | 10197.33€ |
| 2024-02-28 | 10221.65€ |
| 2024-02-27 | 10215.02€ |
| 2024-02-26 | 10214.94€ |
| 2024-02-25 | 10245.64€ |
| 2024-02-24 | 10339.21€ |
| 2024-02-23 | 10339.21€ |
| 2024-02-22 | 10302.42€ |
| 2024-02-21 | 10231.24€ |
| 2024-02-20 | 10166.62€ |
| 2024-02-19 | 10152.36€ |
| 2024-02-18 | 10152.36€ |
| 2024-02-17 | 10152.36€ |
| 2024-02-16 | 10152.36€ |
| 2024-02-15 | 10168.08€ |
| 2024-02-12 | 10122.8€ |
| 2024-02-11 | 10114.33€ |
| 2024-02-10 | 10114.33€ |
| 2024-02-09 | 10114.33€ |
| 2024-02-08 | 10117.38€ |
| 2024-02-07 | 10126.27€ |
| 2024-02-06 | 10099.66€ |
| 2024-02-05 | 10049.35€ |
| 2024-02-04 | 10116.44€ |
| 2024-02-03 | 10116.44€ |
| 2024-02-02 | 10116.44€ |
| 2024-02-01 | 10154.09€ |
| 2024-01-31 | 10018.66€ |
| 2024-01-30 | 10069.04€ |
| 2024-01-28 | 10013.72€ |
| 2024-01-27 | 10013.72€ |
| 2024-01-26 | 10013.72€ |
| 2024-01-25 | 10017.15€ |
| 2024-01-24 | 9942.0€ |
| 2024-01-23 | 10007.38€ |
| 2024-01-22 | 9994.08€ |
