Rotational v20 - From 2020

3 Jan, 2020 - 19 Aug, 2025

Key Performance Metrics

Metric	Next_Returns_QQQ	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	164.22%	202.34%
CAGR﹪	12.65%	14.53%
Sharpe	0.8	1.83
Prob. Sharpe Ratio	97.02%	100.0%
Smart Sharpe	0.77	1.77
Sortino	1.14	2.73
Smart Sortino	1.1	2.64
Sortino/√2	0.81	1.93
Smart Sortino/√2	0.78	1.87
Omega	1.39	1.39
Max Drawdown	-35.62%	-11.18%
Longest DD Days	755	156
Volatility (ann.)	25.83%	11.12%
R^2	0.34	0.34
Information Ratio	-0.0	-0.0
Calmar	0.36	1.3
Skew	-0.14	-0.22
Kurtosis	6.85	4.54
Expected Daily	0.07%	0.08%
Expected Monthly	1.44%	1.64%
Expected Yearly	17.58%	20.25%
Kelly Criterion	7.29%	15.07%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.59%	-1.07%
Expected Shortfall (cVaR)	-2.59%	-1.07%
Max Consecutive Wins	11	13
Max Consecutive Losses	6	9
Gain/Pain Ratio	0.16	0.39
Gain/Pain (1M)	0.94	2.95
Payoff Ratio	0.91	1.01
Profit Factor	1.16	1.39
Common Sense Ratio	1.05	1.56
CPC Index	0.59	0.8
Tail Ratio	0.91	1.13
Outlier Win Ratio	2.68	5.81
Outlier Loss Ratio	2.65	6.43
MTD	2.17%	1.05%
3M	8.41%	7.26%
6M	4.89%	11.08%
YTD	10.91%	13.98%
1Y	17.58%	22.19%
3Y (ann.)	17.04%	16.34%
5Y (ann.)	11.11%	13.26%
10Y (ann.)	12.65%	14.53%
All-time (ann.)	12.65%	14.53%
Best Day	12.0%	3.88%
Worst Day	-11.98%	-4.63%
Best Month	16.69%	8.97%
Worst Month	-15.71%	-5.18%
Best Year	52.22%	35.56%
Worst Year	-34.16%	4.47%
Avg. Drawdown	-3.3%	-1.49%
Avg. Drawdown Days	25	16
Recovery Factor	3.26	10.21
Ulcer Index	0.14	0.03
Serenity Index	0.55	5.08
Avg. Up Month	6.1%	3.73%
Avg. Down Month	-5.32%	-1.68%
Win Days	55.77%	57.43%
Win Month	63.24%	67.65%
Win Quarter	65.22%	78.26%
Win Year	83.33%	100.0%
Beta	-	0.25
Alpha	-	0.15
Correlation	-	58.3%
Treynor Ratio	-	806.02%