Quants Space Strategy Performance Report

Generated by qstats v9.7.7 on Thursday, 02 Jul, 2026 at 14:18:27 UTC

Discover over 100+ institutional grade quant strategies at platform.quants.space!

Contact: [email protected] Website: quants.space

Strategy: returns

Compound Performance Report

METRICS

Start Date Nov 27, 2024
End Date Jul 03, 2026

Main Metrics

Metric returns
Cumulative Return [%] 362.7%
CAGR [%] 160.9%
Volatility [%] 99.8%
Sharpe 1.4780
Sortino 2.2139
Calmar 3.6107
Max Drawdown (MD) [%] -44.6%
Duration of MD [days] 21
Max Drawdown Duration (MDD) [days] 101
Drawdown of MDD [%] -31.7%

Returns Metrics

Metric returns
1-day VaR (95%) -5.16%
1-month VaR (99%) -23.61%
CVaR (95%) -11.72%
CVaR (99%) -26.70%
Gini Coefficient 0.6499
Omega Ratio 1.3458
Gain/Pain Ratio (1M) 5.6487
Tail Ratio 1.4270
Outlier Win Ratio 0.0172
Outlier Loss Ratio 0.0137

Rolling Metrics

Metric returns
Rolling Sharpe 30d Mean 1.8301
Rolling Sharpe 30d Median 2.0852
Rolling Sharpe 30d Last -2.7187
Rolling Sharpe 90d Mean 1.6454
Rolling Sharpe 90d Median 1.8255
Rolling Sharpe 90d Last -1.7510
Rolling Sharpe 365d Mean 1.6168
Rolling Sharpe 365d Median 1.6740
Rolling Sharpe 365d Last 1.1124

Cumulative Return Metrics

Metric returns
MTD [%] 0.3%
3M [%] -21.4%
6M [%] -6.2%
YTD [%] -6.2%
Best Day [%] 34.8%
Worst Day [%] -39.2%
Best Month [%] 44.1%
Worst Month [%] -26.7%
Best Year [%] 214.0%
Worst Year [%] -6.2%

Benchmark Metrics

Metric returns
Alpha -
Beta -
Information Ratio -
Treynor Ratio -
Correlation -

Trades Main Metrics

Metric returns
Trades 252717
Maker Trades 119645
Taker Trades 133072
Maker Trades [%] 47.34%
Taker Trades [%] 52.66%

Trades Time Metrics

Metric returns
Trades Rate [1/day] 434
Trades Rate [1/hour] 18
Trades Rate [1/minute] 0
Trades Rate [1/second] 0

Trades Entry/Exit Metrics

Metric returns
Entry Trades 158332
Exit Trades 94385
Entry Maker Trades 37588
Entry Taker Trades 120744
Entry Maker Trades [%] 23.74%
Entry Taker Trades [%] 76.26%
Exit Maker Trades 82057
Exit Taker Trades 12328
Exit Maker Trades [%] 86.94%
Exit Taker Trades [%] 13.06%

Trades Long/Short Metrics

Metric returns
Long Trades 97573
Short Trades 155144
Long Maker Trades 61457
Long Taker Trades 36116
Long Maker Trades [%] 62.99%
Long Taker Trades [%] 37.01%
Short Maker Trades 58188
Short Taker Trades 96956
Short Maker Trades [%] 37.51%
Short Taker Trades [%] 62.49%

Trades Mix Metrics

Metric returns
Long-Entry Trades 56150
Long-Exit Trades 41423
Short-Entry Trades 102182
Short-Exit Trades 52962
Long-Entry Maker Trades 25699
Long-Entry Taker Trades 30451
Long-Exit Maker Trades 35758
Long-Exit Taker Trades 5665
Short-Entry Maker Trades 11889
Short-Entry Taker Trades 90293
Short-Exit Maker Trades 46299
Short-Exit Taker Trades 6663
Long-Entry Maker Trades [%] 45.77%
Long-Entry Taker Trades [%] 54.23%
Long-Exit Maker Trades [%] 86.32%
Long-Exit Taker Trades [%] 13.68%
Short-Entry Maker Trades [%] 11.64%
Short-Entry Taker Trades [%] 88.36%
Short-Exit Maker Trades [%] 87.42%
Short-Exit Taker Trades [%] 12.58%

Positions Main Metrics

Metric returns
Positions 8921556
Long Positions 5795739
Short Positions 3125817
Long Positions [%] 64.96%
Short Positions [%] 35.04%
Win Rate [%] 39.43%
Long Win Rate [%] 35.91%
Short Win Rate [%] 45.97%

Positions Time Metrics

Metric returns
Positions Rate [1/day] 15322
Positions Rate [1/hour] 638
Positions Rate [1/minute] 11
Positions Rate [1/second] 0
Mean Position Duration [hours] 201.62
Long Mean Position Duration [hours] 221.84
Short Mean Position Duration [hours] 164.12
Win Mean Position Duration [hours] 150.51
Loss Mean Position Duration [hours] 234.92
Long-Win Mean Position Duration [hours] 152.43
Long-Loss Mean Position Duration [hours] 260.77
Short-Win Mean Position Duration [hours] 147.73
Short-Loss Mean Position Duration [hours] 178.06

Positions ROI Metrics

Metric returns
Mean Position ROI [%] -3.29%
Long Mean Position ROI [%] -3.61%
Short Mean Position ROI [%] -2.70%
Weighted Mean Position ROI [%] 0.18%
Long Weighted Mean Position ROI [%] -0.03%
Short Weighted Mean Position ROI [%] 0.37%
Win Mean Position ROI [%] 8.99%
Loss Mean Position ROI [%] -11.29%
Win Weighted Mean Position ROI [%] 2.40%
Loss Weighted Mean Position ROI [%] -3.87%
Long-Win Mean Position ROI [%] 9.81%
Long-Loss Mean Position ROI [%] -11.13%
Short-Win Mean Position ROI [%] 7.81%
Short-Loss Mean Position ROI [%] -11.65%
Long-Win Weighted Mean Position ROI [%] 2.98%
Long-Loss Weighted Mean Position ROI [%] -3.85%
Short-Win Weighted Mean Position ROI [%] 1.99%
Short-Loss Weighted Mean Position ROI [%] -3.89%

Positions Risk/Reward Metrics

Metric returns
Risk/Reward Ratio 1.26
Long Risk/Reward Ratio 1.14
Short Risk/Reward Ratio 1.49
Weighted Risk/Reward Ratio 1.61
Long Weighted Risk/Reward Ratio 1.29
Short Weighted Risk/Reward Ratio 1.95
Profit Factor 1.13
Long Profit Factor 0.98
Short Profit Factor 1.35

SQN Metrics

Metric returns
SQN -641.92
SQN100 -2.15
SQND -26.60
SQND100 -2.15
SQNL -3.44
SQNDL -2.07
WSQN 100.03
WSQN100 0.33
WSQND 4.15
WSQND100 0.33
WSQNL 0.54
WSQNDL 0.32

Volumes Metrics

Metric returns
Buy Volume [%] 49.92%
Sell Volume [%] 50.08%
Long Volume [%] 47.84%
Short Volume [%] 52.16%
Mean Daily Turnover [%] 324.18%
Std Daily Turnover [%] 3133.82%
Max Daily Turnover [%] 75434.84%
Mean Monthly Turnover [%] 9867.21%
Mean Annual Turnover [%] 118406.54%

Exposure Metrics

Metric returns
Mean Gross Exposure [%] 113.78%
Mean Net Exposure [%] 5.72%
Std Gross Exposure [%] 169.56%
Std Net Exposure [%] 121.74%
Max Gross Exposure [%] 1466.73%
Max Net Exposure [%] 638.70%

Worst Drawdowns

Started Recovered Drawdown Days
2025-11-12 2025-12-03 -44.57 21
2025-10-07 2025-10-26 -42.93 19
2025-01-19 2025-04-30 -31.67 101
2025-05-08 2025-05-18 -30.68 10
2026-05-28 2026-07-03 -28.77 36
2025-08-23 2025-08-25 -22.23 2
2024-12-07 2024-12-15 -19.89 8
2025-12-05 2025-12-20 -17.52 15
2025-05-19 2025-06-05 -11.14 17
2026-02-11 2026-04-02 -11.07 50

PLOTS

Cumulative Returns
Underwater Plot
Monthly Returns Heatmap
Daily Returns Heatmap
Average Monthly Profit
Return Quantiles
EOY Returns
Rolling Sharpe 30d
Rolling Sharpe 90d
EOY Returns
Returns Correlation Heatmap
Exposure Plot
Gross Exposure Plot
Net Exposure Plot
Turnover Plot
Gross Exposure Correlations Heatmap
Net Exposure Correlations Heatmap