static-skfolio-risk-budgeting
22 March, 2025 | 6 Min ReadIntroduction to our strategy
no description yet
Quick Summary
| Metric | Value |
|---|
| Return % p.a. | -45 |
| Days active | 424 |
| Starting capital | 9991.93 |
| Current capital | 4655.0€ |
Current portfolio
| Ticker | Qty | Crnt Price | Worth (USD) |
|---|
| USD | 4655.000000 | 1 | 4655.0 |
| PEP | 0.770949 | 0 | 0.0 |
| GSK | 3.195804 | 0 | 0.0 |
| KDP | 3.913845 | 0 | 0.0 |
| VRTX | 0.275436 | 0 | 0.0 |
| AZN | 1.635655 | 0 | 0.0 |
| MDLZ | 1.480275 | 0 | 0.0 |
| MRK | 0.890243 | 0 | 0.0 |
| ABBV | 0.642356 | 0 | 0.0 |
| UNH | 0.198288 | 0 | 0.0 |
| BMY | 1.992616 | 0 | 0.0 |
| PG | 0.676628 | 0 | 0.0 |
| KHC | 2.585113 | 0 | 0.0 |
| REGN | 0.100556 | 0 | 0.0 |
| WMT | 0.553424 | 0 | 0.0 |
| JNJ | 0.555820 | 0 | 0.0 |
| T | 5.330924 | 0 | 0.0 |
| BDX | 0.368263 | 0 | 0.0 |
| CME | 0.420057 | 0 | 0.0 |
| WM | 0.449311 | 0 | 0.0 |
| MCD | 0.275764 | 0 | 0.0 |
| TMUS | 0.489698 | 0 | 0.0 |
| MO | 1.906385 | 0 | 0.0 |
| KO | 1.285049 | 0 | 0.0 |
| BSX | 1.245258 | 0 | 0.0 |
| CI | 0.251228 | 0 | 0.0 |
| VZ | 1.929469 | 0 | 0.0 |
| AMGN | 0.240047 | 0 | 0.0 |
| EA | 0.529266 | 0 | 0.0 |
| CB | 0.302933 | 0 | 0.0 |
| LLY | 0.114372 | 0 | 0.0 |
| LMT | 0.154870 | 0 | 0.0 |
| GE | 0.546133 | 0 | 0.0 |
| GILD | 0.812161 | 0 | 0.0 |
| ROG | 0.607641 | 0 | 0.0 |
| PGR | 0.410809 | 0 | 0.0 |
| CSCO | 1.363273 | 0 | 0.0 |
| CVS | 0.940952 | 0 | 0.0 |
| ELV | 0.146140 | 0 | 0.0 |
| MNST | 1.152518 | 0 | 0.0 |
| SHEL | 1.045721 | 0 | 0.0 |
| AIR | 1.052661 | 0 | 0.0 |
| CMCSA | 1.428074 | 0 | 0.0 |
| FI | 0.438128 | 0 | 0.0 |
| TTE | 0.953782 | 0 | 0.0 |
| ORLY | 0.059244 | 0 | 0.0 |
| MDT | 0.692681 | 0 | 0.0 |
| VRSK | 0.249500 | 0 | 0.0 |
| COST | 0.086205 | 0 | 0.0 |
| DUK | 0.616487 | 0 | 0.0 |
| PM | 0.627307 | 0 | 0.0 |
| RTX | 0.677107 | 0 | 0.0 |
| LIN | 0.142160 | 0 | 0.0 |
| XOM | 0.566452 | 0 | 0.0 |
| ALV | 0.533180 | 0 | 0.0 |
| SYK | 0.171144 | 0 | 0.0 |
| MMC | 0.270814 | 0 | 0.0 |
| EXC | 1.538784 | 0 | 0.0 |
| EBAY | 1.310941 | 0 | 0.0 |
| ABT | 0.470128 | 0 | 0.0 |
| RY | 0.531224 | 0 | 0.0 |
| COP | 0.490595 | 0 | 0.0 |
| CVX | 0.365031 | 0 | 0.0 |
| IBM | 0.302788 | 0 | 0.0 |
| RIO | 0.755229 | 0 | 0.0 |
| ENB | 1.443080 | 0 | 0.0 |
| MSFT | 0.130238 | 0 | 0.0 |
| SU | 1.648841 | 0 | 0.0 |
| ETN | 0.208191 | 0 | 0.0 |
| AEP | 0.655386 | 0 | 0.0 |
| FAST | 0.734403 | 0 | 0.0 |
| SO | 0.738557 | 0 | 0.0 |
| CPRT | 1.045657 | 0 | 0.0 |
| BKNG | 0.014081 | 0 | 0.0 |
| MA | 0.114302 | 0 | 0.0 |
Detailed statistics
| Strategy |
|---|
| Start Period | 2024-01-23 |
|---|
| End Period | 2025-03-21 |
|---|
| Risk-Free Rate | 0 |
|---|
| Time in Market | 0.63 |
|---|
| Cumulative Return | -0.53 |
|---|
| CAGR﹪ | -0.37 |
|---|
| Sharpe | -0.75 |
|---|
| Prob. Sharpe Ratio | 0.07 |
|---|
| Sortino | -0.76 |
|---|
| Sortino/√2 | -0.54 |
|---|
| Omega | 0.46 |
|---|
| Max Drawdown | -0.57 |
|---|
| Longest DD Days | 156 |
|---|
| Gain/Pain Ratio | -0.54 |
|---|
| Gain/Pain (1M) | -0.81 |
|---|
| Payoff Ratio | 0.39 |
|---|
| Profit Factor | 0.46 |
|---|
| Common Sense Ratio | 0.41 |
|---|
| CPC Index | 0.1 |
|---|
| Tail Ratio | 0.91 |
|---|
| Outlier Win Ratio | 13.94 |
|---|
| Outlier Loss Ratio | 2.04 |
|---|
| MTD | 0 |
|---|
| 3M | -0.55 |
|---|
| 6M | -0.56 |
|---|
| YTD | -0.55 |
|---|
| 1Y | -0.54 |
|---|
| 3Y (ann.) | -0.37 |
|---|
| 5Y (ann.) | -0.37 |
|---|
| 10Y (ann.) | -0.37 |
|---|
| All-time (ann.) | -0.37 |
|---|
| Avg. Drawdown | -0.05 |
|---|
| Avg. Drawdown Days | 22 |
|---|
| Recovery Factor | 0.88 |
|---|
| Ulcer Index | 0.18 |
|---|
| Serenity Index | -0.26 |
|---|
Last trades
| Date | Buy/Sell | Ticker | Price | Qty | Volume |
|---|
| 2024-01-22 12:22:44.308622 | Buy | MA | 436.779999 | 0.114302 | 49.92 |
| 2024-01-22 12:22:44.108490 | Buy | BKNG | 3616.510010 | 0.014081 | 50.92 |
| 2024-01-22 12:22:44.064018 | Buy | CPRT | 48.700001 | 1.045657 | 50.92 |
| 2024-01-22 12:22:43.781525 | Buy | SO | 68.949997 | 0.738557 | 50.92 |
| 2024-01-22 12:22:43.355045 | Buy | FAST | 69.339996 | 0.734403 | 50.92 |
Portfolio worth over time
| Date | Portfolio Worth |
|---|
| 2025-03-21 | 4655.0€ |
| 2025-03-20 | 4655.0€ |
| 2025-03-19 | 4655.0€ |
| 2025-03-18 | 4655.0€ |
| 2025-03-17 | 4655.0€ |
| 2025-03-16 | 4655.0€ |
| 2025-03-15 | 4655.0€ |
| 2025-03-14 | 4655.0€ |
| 2025-03-13 | 4655.0€ |
| 2025-03-12 | 4655.0€ |
| 2025-03-11 | 4655.0€ |
| 2025-03-10 | 4655.0€ |
| 2025-03-09 | 4655.0€ |
| 2025-03-08 | 4655.0€ |
| 2025-03-07 | 4655.0€ |
| 2025-03-06 | 4655.0€ |
| 2025-03-05 | 4655.0€ |
| 2025-03-04 | 4655.0€ |
| 2025-03-03 | 4655.0€ |
| 2025-03-02 | 4655.0€ |
| 2025-03-01 | 4655.0€ |
| 2025-02-28 | 4655.0€ |
| 2025-02-27 | 4655.0€ |
| 2025-02-26 | 4655.0€ |
| 2025-02-25 | 4655.0€ |
| 2025-02-24 | 4655.0€ |
| 2025-02-23 | 4655.0€ |
| 2025-02-22 | 4655.0€ |
| 2025-02-21 | 4655.0€ |
| 2025-02-20 | 4655.0€ |
| 2025-02-19 | 4655.0€ |
| 2025-02-18 | 4655.0€ |
| 2025-02-17 | 10621.36€ |
| 2025-02-16 | 10621.36€ |
| 2025-02-15 | 10621.36€ |
| 2025-02-14 | 10345.61€ |
| 2025-02-13 | 9995.41€ |
| 2025-02-12 | 9700.0€ |
| 2025-02-11 | 10083.65€ |
| 2025-02-10 | 10049.37€ |
| 2025-02-09 | 10553.67€ |
| 2025-02-08 | 10553.67€ |
| 2025-02-07 | 10553.67€ |
| 2025-02-06 | 10576.02€ |
| 2025-02-05 | 10581.27€ |
| 2025-02-04 | 10512.37€ |
| 2025-02-03 | 10524.93€ |
| 2025-02-02 | 10503.2€ |
| 2025-02-01 | 10503.2€ |
| 2025-01-31 | 10503.2€ |
| 2025-01-30 | 10527.31€ |
| 2025-01-29 | 10476.0€ |
| 2025-01-28 | 10468.0€ |
| 2025-01-27 | 10524.01€ |
| 2025-01-26 | 10435.0€ |
| 2025-01-25 | 10435.0€ |
| 2025-01-24 | 10435.0€ |
| 2025-01-23 | 10424.97€ |
| 2025-01-22 | 10390.22€ |
| 2025-01-21 | 10417.82€ |
| 2025-01-20 | 10370.42€ |
| 2025-01-19 | 10370.42€ |
| 2025-01-18 | 10370.42€ |
| 2025-01-17 | 10370.42€ |
| 2025-01-16 | 10347.85€ |
| 2025-01-15 | 10315.03€ |
| 2025-01-14 | 10294.51€ |
| 2025-01-13 | 10278.87€ |
| 2025-01-12 | 10239.4€ |
| 2025-01-11 | 10239.4€ |
| 2025-01-10 | 10239.4€ |
| 2025-01-09 | 10313.34€ |
| 2025-01-08 | 10313.34€ |
| 2025-01-07 | 10272.75€ |
| 2025-01-06 | 10267.63€ |
| 2025-01-05 | 10299.0€ |
| 2025-01-04 | 10299.0€ |
| 2025-01-03 | 10299.0€ |
| 2025-01-02 | 10271.75€ |
| 2025-01-01 | 10278.54€ |
| 2024-12-31 | 10278.54€ |
| 2024-12-30 | 10263.43€ |
| 2024-12-29 | 10319.92€ |
| 2024-12-28 | 10319.92€ |
| 2024-12-27 | 10319.91€ |
| 2024-12-26 | 10347.58€ |
| 2024-12-25 | 10095.41€ |
| 2024-12-24 | 10345.96€ |
| 2024-12-23 | 10312.07€ |
| 2024-12-22 | 10294.49€ |
| 2024-12-21 | 10294.49€ |
| 2024-12-20 | 10294.49€ |
| 2024-12-19 | 10252.8€ |
| 2024-12-18 | 10283.54€ |
| 2024-12-17 | 10386.1€ |
| 2024-12-16 | 10396.51€ |
| 2024-12-15 | 10451.34€ |
| 2024-12-14 | 10451.34€ |
| 2024-12-13 | 10451.34€ |
| 2024-12-12 | 10465.38€ |
| 2024-12-11 | 10490.29€ |
| 2024-12-10 | 10533.19€ |
| 2024-12-09 | 10545.64€ |
| 2024-12-08 | 10573.76€ |
| 2024-12-07 | 10573.76€ |
| 2024-12-06 | 10573.76€ |
| 2024-12-05 | 10605.17€ |
| 2024-12-04 | 10616.24€ |
| 2024-12-03 | 10632.76€ |
| 2024-12-02 | 10647.26€ |
| 2024-12-01 | 10674.5€ |
| 2024-11-30 | 10674.5€ |
| 2024-11-29 | 10674.5€ |
| 2024-11-28 | 10663.14€ |
| 2024-11-27 | 10663.14€ |
| 2024-11-26 | 10657.54€ |
| 2024-11-25 | 10635.63€ |
| 2024-11-24 | 10614.06€ |
| 2024-11-23 | 10614.06€ |
| 2024-11-22 | 10614.06€ |
| 2024-11-21 | 10574.3€ |
| 2024-11-20 | 10516.76€ |
| 2024-11-19 | 10493.23€ |
| 2024-11-18 | 10513.45€ |
| 2024-11-17 | 10486.37€ |
| 2024-11-16 | 10486.37€ |
| 2024-11-15 | 10486.37€ |
| 2024-11-14 | 10551.94€ |
| 2024-11-13 | 10601.78€ |
| 2024-11-12 | 10596.18€ |
| 2024-11-11 | 10636.38€ |
| 2024-11-10 | 10630.72€ |
| 2024-11-09 | 10630.72€ |
| 2024-11-08 | 10630.72€ |
| 2024-11-07 | 10592.33€ |
| 2024-11-06 | 10594.56€ |
| 2024-11-05 | 10551.12€ |
| 2024-11-04 | 10505.99€ |
| 2024-11-03 | 10505.57€ |
| 2024-11-02 | 10505.57€ |
| 2024-10-29 | 10540.39€ |
| 2024-10-28 | 10572.18€ |
| 2024-10-27 | 10563.6€ |
| 2024-10-26 | 10563.6€ |
| 2024-10-25 | 10563.6€ |
| 2024-10-24 | 10599.84€ |
| 2024-10-23 | 10631.51€ |
| 2024-10-22 | 10639.96€ |
| 2024-10-21 | 10653.9€ |
| 2024-10-20 | 10702.63€ |
| 2024-10-19 | 10702.63€ |
| 2024-10-18 | 10702.63€ |
| 2024-10-17 | 10701.61€ |
| 2024-10-16 | 10715.04€ |
| 2024-10-15 | 10680.48€ |
| 2024-10-14 | 10704.88€ |
| 2024-10-13 | 10674.2€ |
| 2024-10-12 | 10674.2€ |
| 2024-10-11 | 10674.2€ |
| 2024-10-10 | 10631.71€ |
| 2024-10-09 | 10654.99€ |
| 2024-10-08 | 10607.08€ |
| 2024-10-07 | 10590.13€ |
| 2024-10-06 | 10632.14€ |
| 2024-10-05 | 10632.14€ |
| 2024-10-04 | 10632.14€ |
| 2024-10-03 | 10616.09€ |
| 2024-10-02 | 10653.11€ |
| 2024-10-01 | 10665.29€ |
| 2024-09-30 | 10654.69€ |
| 2024-09-29 | 10633.25€ |
| 2024-09-28 | 10633.25€ |
| 2024-09-27 | 10633.25€ |
| 2024-09-26 | 10611.3€ |
| 2024-09-25 | 10608.37€ |
| 2024-09-24 | 10640.79€ |
| 2024-09-23 | 10648.91€ |
| 2024-09-22 | 10629.58€ |
| 2024-09-21 | 10629.58€ |
| 2024-09-20 | 10629.58€ |
| 2024-09-19 | 10637.47€ |
| 2024-09-18 | 10624.57€ |
| 2024-09-17 | 10644.14€ |
| 2024-09-16 | 10684.11€ |
| 2024-09-15 | 10650.26€ |
| 2024-09-14 | 10650.26€ |
| 2024-09-12 | 10613.69€ |
| 2024-09-11 | 10579.87€ |
| 2024-09-10 | 10600.05€ |
| 2024-09-09 | 10540.51€ |
| 2024-09-08 | 10547.27€ |
| 2024-09-07 | 10547.27€ |
| 2024-09-06 | 10547.27€ |
| 2024-09-05 | 10582.17€ |
| 2024-09-04 | 10636.58€ |
| 2024-09-03 | 10623.71€ |
| 2024-09-02 | 10647.06€ |
| 2024-09-01 | 10647.06€ |
| 2024-08-31 | 10647.06€ |
| 2024-08-30 | 10647.06€ |
| 2024-08-29 | 10611.86€ |
| 2024-08-28 | 10595.05€ |
| 2024-08-27 | 10594.86€ |
| 2024-08-27 | 10578.42€ |
| 2024-07-16 | 10339.83€ |
| 2024-07-15 | 10285.65€ |
| 2024-07-14 | 10293.67€ |
| 2024-07-13 | 10293.67€ |
| 2024-07-12 | 10293.67€ |
| 2024-07-11 | 10262.4€ |
| 2024-07-10 | 10234.19€ |
| 2024-07-09 | 10194.12€ |
| 2024-07-08 | 10199.12€ |
| 2024-07-07 | 10201.67€ |
| 2024-06-29 | 10216.66€ |
| 2024-06-26 | 10241.56€ |
| 2024-06-24 | 10286.44€ |
| 2024-06-23 | 10241.56€ |
| 2024-06-21 | 10241.56€ |
| 2024-06-17 | 10197.9€ |
| 2024-06-16 | 10170.09€ |
| 2024-06-15 | 10170.09€ |
| 2024-06-12 | 10195.38€ |
| 2024-06-10 | 10241.4€ |
| 2024-06-09 | 10249.84€ |
| 2024-06-08 | 10249.84€ |
| 2024-06-07 | 10249.84€ |
| 2024-06-06 | 10261.05€ |
| 2024-06-05 | 10255.87€ |
| 2024-06-04 | 10252.3€ |
| 2024-06-03 | 10226.78€ |
| 2024-06-02 | 10260.44€ |
| 2024-06-01 | 10260.44€ |
| 2024-05-31 | 10260.44€ |
| 2024-05-30 | 10167.35€ |
| 2024-05-29 | 10136.44€ |
| 2024-05-28 | 10187.12€ |
| 2024-05-27 | 10238.89€ |
| 2024-05-26 | 10238.89€ |
| 2024-05-25 | 10238.89€ |
| 2024-05-24 | 10238.89€ |
| 2024-05-23 | 10229.56€ |
| 2024-05-21 | 10282.0€ |
| 2024-05-21 | 10282.0€ |
| 2024-05-21 | 10280.31€ |
| 2024-05-21 | 10280.31€ |
| 2024-05-21 | 10280.31€ |
| 2024-05-21 | 10280.31€ |
| 2024-05-21 | 10280.31€ |
| 2024-05-21 | 10280.31€ |
| 2024-05-21 | 10280.31€ |
| 2024-04-25 | 10154.53€ |
| 2024-04-24 | 10164.49€ |
| 2024-04-23 | 10153.92€ |
| 2024-04-22 | 10118.51€ |
| 2024-04-21 | 10086.72€ |
| 2024-04-20 | 10086.72€ |
| 2024-04-19 | 10086.72€ |
| 2024-04-18 | 10041.15€ |
| 2024-04-17 | 10029.02€ |
| 2024-04-16 | 10017.95€ |
| 2024-04-15 | 10027.19€ |
| 2024-04-14 | 10046.27€ |
| 2024-04-13 | 10046.27€ |
| 2024-04-12 | 10046.27€ |
| 2024-04-11 | 10102.75€ |
| 2024-04-10 | 10122.23€ |
| 2024-04-04 | 10180.77€ |
| 2024-04-02 | 10189.16€ |
| 2024-04-01 | 10242.43€ |
| 2024-03-31 | 10266.31€ |
| 2024-03-30 | 10266.31€ |
| 2024-03-29 | 10266.31€ |
| 2024-03-28 | 10266.31€ |
| 2024-03-27 | 10257.92€ |
| 2024-03-26 | 10196.65€ |
| 2024-03-25 | 10194.86€ |
| 2024-03-24 | 10195.45€ |
| 2024-03-23 | 10195.45€ |
| 2024-03-22 | 10195.45€ |
| 2024-03-21 | 10211.69€ |
| 2024-03-20 | 10201.45€ |
| 2024-03-19 | 10189.3€ |
| 2024-03-18 | 10162.3€ |
| 2024-03-17 | 10145.01€ |
| 2024-03-16 | 10145.01€ |
| 2024-03-15 | 10145.01€ |
| 2024-03-14 | 10166.57€ |
| 2024-03-13 | 10182.6€ |
| 2024-03-12 | 10170.3€ |
| 2024-03-11 | 10154.72€ |
| 2024-03-10 | 10132.62€ |
| 2024-03-09 | 10132.62€ |
| 2024-03-08 | 10132.62€ |
| 2024-03-07 | 10131.17€ |
| 2024-03-06 | 10118.18€ |
| 2024-03-05 | 10081.77€ |
| 2024-03-04 | 10097.38€ |
| 2024-03-03 | 10101.07€ |
| 2024-03-02 | 10101.07€ |
| 2024-03-01 | 10101.07€ |
| 2024-02-29 | 10084.92€ |
| 2024-02-28 | 10103.58€ |
| 2024-02-27 | 10103.49€ |
| 2024-02-26 | 10106.52€ |
| 2024-02-25 | 10129.76€ |
| 2024-02-24 | 10194.53€ |
| 2024-02-23 | 10194.53€ |
| 2024-02-22 | 10178.99€ |
| 2024-02-21 | 10152.47€ |
| 2024-02-20 | 10125.19€ |
| 2024-02-19 | 10125.07€ |
| 2024-02-18 | 10125.07€ |
| 2024-02-17 | 10125.07€ |
| 2024-02-16 | 10125.07€ |
| 2024-02-15 | 10126.04€ |
| 2024-02-12 | 10094.72€ |
| 2024-02-11 | 10083.25€ |
| 2024-02-10 | 10083.25€ |
| 2024-02-09 | 10083.25€ |
| 2024-02-08 | 10086.11€ |
| 2024-02-07 | 10096.4€ |
| 2024-02-06 | 10094.84€ |
| 2024-02-05 | 10069.66€ |
| 2024-02-04 | 10100.79€ |
| 2024-02-03 | 10100.79€ |
| 2024-02-02 | 10100.79€ |
| 2024-02-01 | 10117.85€ |
| 2024-01-31 | 10043.52€ |
| 2024-01-30 | 10075.02€ |
| 2024-01-28 | 10034.0€ |
| 2024-01-27 | 10034.0€ |
| 2024-01-26 | 10034.0€ |
| 2024-01-25 | 10015.62€ |
| 2024-01-24 | 9978.52€ |
| 2024-01-23 | 10015.22€ |
| 2024-01-22 | 9991.93€ |
