Quants Space Strategy Performance Report

Generated by qstats v9.8.6 on Wednesday, 29 Jul, 2026 at 02:18:40 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 29, 2026

Main Metrics

Metric returns
Cumulative Return [%] 311.1%
CAGR [%] 133.3%
Volatility [%] 98.7%
Sharpe 1.3682
Sortino 2.0230
Calmar 3.2354
Max Drawdown (MD) [%] -41.2%
Duration of MD [days] 7
Max Drawdown Duration (MDD) [days] 101
Drawdown of MDD [%] -31.2%

Returns Metrics

Metric returns
1-day VaR (95%) -5.62%
1-month VaR (99%) -20.23%
CVaR (95%) -12.14%
CVaR (99%) -21.09%
Gini Coefficient 0.6374
Omega Ratio 1.3047
Gain/Pain Ratio (1M) 4.6117
Tail Ratio 1.2363
Outlier Win Ratio 0.0164
Outlier Loss Ratio 0.0131

Rolling Metrics

Metric returns
Rolling Sharpe 30d Mean 1.6847
Rolling Sharpe 30d Median 1.9853
Rolling Sharpe 30d Last -2.2864
Rolling Sharpe 90d Mean 1.4769
Rolling Sharpe 90d Median 1.7752
Rolling Sharpe 90d Last -1.5309
Rolling Sharpe 180d Mean 1.5119
Rolling Sharpe 180d Median 1.6887
Rolling Sharpe 180d Last -0.6679
Rolling Sharpe 365d Mean 1.5649
Rolling Sharpe 365d Median 1.6380
Rolling Sharpe 365d Last 0.9550

Cumulative Return Metrics

Metric returns
MTD [%] -16.8%
3M [%] -31.4%
6M [%] -23.7%
YTD [%] -16.1%
Best Day [%] 33.8%
Worst Day [%] -37.0%
Best Month [%] 43.1%
Worst Month [%] -21.1%
Best Year [%] 214.4%
Worst Year [%] -16.1%

Benchmark Metrics

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

Trades Main Metrics

Metric returns
Trades 263923
Maker Trades 124851
Taker Trades 139072
Maker Trades [%] 47.31%
Taker Trades [%] 52.69%

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 164847
Exit Trades 99076
Entry Maker Trades 40560
Entry Taker Trades 124287
Entry Maker Trades [%] 24.60%
Entry Taker Trades [%] 75.40%
Exit Maker Trades 84291
Exit Taker Trades 14785
Exit Maker Trades [%] 85.08%
Exit Taker Trades [%] 14.92%

Trades Long/Short Metrics

Metric returns
Long Trades 105934
Short Trades 157989
Long Maker Trades 65884
Long Taker Trades 40050
Long Maker Trades [%] 62.19%
Long Taker Trades [%] 37.81%
Short Maker Trades 58967
Short Taker Trades 99022
Short Maker Trades [%] 37.32%
Short Taker Trades [%] 62.68%

Trades Mix Metrics

Metric returns
Long-Entry Trades 61328
Long-Exit Trades 44606
Short-Entry Trades 103519
Short-Exit Trades 54470
Long-Entry Maker Trades 28257
Long-Entry Taker Trades 33071
Long-Exit Maker Trades 37627
Long-Exit Taker Trades 6979
Short-Entry Maker Trades 12303
Short-Entry Taker Trades 91216
Short-Exit Maker Trades 46664
Short-Exit Taker Trades 7806
Long-Entry Maker Trades [%] 46.08%
Long-Entry Taker Trades [%] 53.92%
Long-Exit Maker Trades [%] 84.35%
Long-Exit Taker Trades [%] 15.65%
Short-Entry Maker Trades [%] 11.88%
Short-Entry Taker Trades [%] 88.12%
Short-Exit Maker Trades [%] 85.67%
Short-Exit Taker Trades [%] 14.33%

Positions Main Metrics

Metric returns
Positions 205708
Long Positions 82300
Short Positions 123408
Long Positions [%] 40.01%
Short Positions [%] 59.99%
Win Rate [%] 76.44%
Long Win Rate [%] 67.71%
Short Win Rate [%] 82.26%

Positions Time Metrics

Metric returns
Positions Rate [1/day] 338
Positions Rate [1/hour] 14
Positions Rate [1/minute] 0
Positions Rate [1/second] 0
Mean Position Duration [hours] 40.69
Long Mean Position Duration [hours] 69.63
Short Mean Position Duration [hours] 21.40
Win Mean Position Duration [hours] 19.28
Loss Mean Position Duration [hours] 110.16
Long-Win Mean Position Duration [hours] 33.62
Long-Loss Mean Position Duration [hours] 145.16
Short-Win Mean Position Duration [hours] 11.41
Short-Loss Mean Position Duration [hours] 67.70

Positions ROI Metrics

Metric returns
Mean Position ROI [%] 0.02%
Long Mean Position ROI [%] -0.37%
Short Mean Position ROI [%] 0.28%
Weighted Mean Position ROI [%] 0.11%
Long Weighted Mean Position ROI [%] -0.15%
Short Weighted Mean Position ROI [%] 0.35%
Win Mean Position ROI [%] 2.47%
Loss Mean Position ROI [%] -7.94%
Win Weighted Mean Position ROI [%] 1.88%
Loss Weighted Mean Position ROI [%] -5.44%
Long-Win Mean Position ROI [%] 3.78%
Long-Loss Mean Position ROI [%] -9.09%
Short-Win Mean Position ROI [%] 1.74%
Short-Loss Mean Position ROI [%] -6.53%
Long-Win Weighted Mean Position ROI [%] 1.97%
Long-Loss Weighted Mean Position ROI [%] -5.93%
Short-Win Weighted Mean Position ROI [%] 1.80%
Short-Loss Weighted Mean Position ROI [%] -4.87%

Positions Risk/Reward Metrics

Metric returns
Risk/Reward Ratio 3.22
Long Risk/Reward Ratio 2.40
Short Risk/Reward Ratio 3.75
Weighted Risk/Reward Ratio 2.89
Long Weighted Risk/Reward Ratio 3.01
Short Weighted Risk/Reward Ratio 2.70
Profit Factor 1.08
Long Profit Factor 0.90
Short Profit Factor 1.34

SQN Metrics

Metric returns
SQN 0.93
SQN100 0.02
SQND 0.04
SQND100 0.02
SQNL 0.03
SQNDL 0.01
WSQN 8.19
WSQN100 0.18
WSQND 0.33
WSQND100 0.18
WSQNL 0.22
WSQNDL 0.11

Volumes Metrics

Metric returns
Buy Volume [%] 50.08%
Sell Volume [%] 49.92%
Long Volume [%] 48.78%
Short Volume [%] 51.22%
Mean Daily Turnover [%] 320.24%
Std Daily Turnover [%] 3067.61%
Max Daily Turnover [%] 75434.84%
Mean Monthly Turnover [%] 9747.29%
Mean Annual Turnover [%] 116967.43%

Exposure Metrics

Metric returns
Mean Gross Exposure [%] 118.34%
Mean Net Exposure [%] 1.20%
Std Gross Exposure [%] 182.68%
Std Net Exposure [%] 122.14%
Max Gross Exposure [%] 1709.51%
Max Net Exposure [%] 614.83%

Worst Drawdowns

Started Recovered Drawdown Days
2025-10-07 2025-10-14 -41.21 7
2025-11-12 2025-11-27 -39.97 15
2026-05-28 2026-07-29 -37.4 62
2025-01-19 2025-04-30 -31.23 101
2025-05-08 2025-05-18 -30.8 10
2025-10-15 2025-10-27 -27.05 12
2025-08-23 2025-08-25 -22.23 2
2024-12-07 2024-12-15 -19.89 8
2025-12-05 2026-01-20 -16.84 46
2025-11-30 2025-12-03 -13.12 3

PLOTS

Cumulative Returns
Underwater Plot
Monthly Returns Heatmap
Daily Returns Heatmap
Average Monthly Profit
Return Quantiles
EOY Returns
Rolling Sharpe 30d
Rolling Sharpe 90d
Rolling Sharpe 180d
EOY Returns
Returns Correlation Heatmap
Exposure Plot
Gross Exposure Plot
Net Exposure Plot
Turnover Plot
Gross Exposure Correlations Heatmap
Net Exposure Correlations Heatmap