Quants Space Strategy Performance Report

Generated by qstats v9.4.7 on Thursday, 02 Apr, 2026 at 12:25:59 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 28, 2024
End Date Apr 03, 2026

Main Metrics

Metric returns
Cumulative Return [%] 501.5%
CAGR [%] 279.5%
Volatility [%] 113.4%
Sharpe 1.7685
Sortino 2.6755
Calmar 5.0772
Max Drawdown (MD) [%] -55.1%
Duration of MD [days] 22
Max Drawdown Duration (MDD) [days] 101
Drawdown of MDD [%] -31.4%

Returns Metrics

Metric returns
1-day VaR (95%) -6.09%
1-month VaR (99%) -9.95%
CVaR (95%) -13.33%
CVaR (99%) -11.24%
Gini Coefficient 0.6414
Omega Ratio 1.4201
Gain/Pain Ratio (1M) 20.5315
Tail Ratio 1.3609
Outlier Win Ratio 0.0183
Outlier Loss Ratio 0.0143

Rolling Metrics

Metric returns
Rolling Sharpe 30d Mean 2.0508
Rolling Sharpe 30d Median 2.1497
Rolling Sharpe 30d Last 4.2009
Rolling Sharpe 90d Mean 1.7841
Rolling Sharpe 90d Median 1.8930
Rolling Sharpe 90d Last 2.2928
Rolling Sharpe 365d Mean 1.6907
Rolling Sharpe 365d Median 1.7017
Rolling Sharpe 365d Last 1.7075

Cumulative Return Metrics

Metric returns
MTD [%] 4.7%
3M [%] 21.7%
6M [%] 68.5%
YTD [%] 21.7%
Best Day [%] 33.8%
Worst Day [%] -42.8%
Best Month [%] 44.1%
Worst Month [%] -11.2%
Best Year [%] 219.6%
Worst Year [%] 21.7%

Benchmark Metrics

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

Trades Main Metrics

Metric returns
Trades 242510
Maker Trades 115788
Taker Trades 126722
Maker Trades [%] 47.75%
Taker Trades [%] 52.25%

Trades Entry/Exit Metrics

Metric returns
Entry Trades 153164
Exit Trades 89346
Entry Maker Trades 35546
Entry Taker Trades 117618
Entry Maker Trades [%] 23.21%
Entry Taker Trades [%] 76.79%
Exit Maker Trades 80242
Exit Taker Trades 9104
Exit Maker Trades [%] 89.81%
Exit Taker Trades [%] 10.19%

Trades Long/Short Metrics

Metric returns
Long Trades 94551
Short Trades 147959
Long Maker Trades 60541
Long Taker Trades 34010
Long Maker Trades [%] 64.03%
Long Taker Trades [%] 35.97%
Short Maker Trades 55247
Short Taker Trades 92712
Short Maker Trades [%] 37.34%
Short Taker Trades [%] 62.66%

Trades Mix Metrics

Metric returns
Long-Entry Trades 54860
Long-Exit Trades 39691
Short-Entry Trades 98304
Short-Exit Trades 49655
Long-Entry Maker Trades 25196
Long-Entry Taker Trades 29664
Long-Exit Maker Trades 35345
Long-Exit Taker Trades 4346
Short-Entry Maker Trades 10350
Short-Entry Taker Trades 87954
Short-Exit Maker Trades 44897
Short-Exit Taker Trades 4758
Long-Entry Maker Trades [%] 45.93%
Long-Entry Taker Trades [%] 54.07%
Long-Exit Maker Trades [%] 89.05%
Long-Exit Taker Trades [%] 10.95%
Short-Entry Maker Trades [%] 10.53%
Short-Entry Taker Trades [%] 89.47%
Short-Exit Maker Trades [%] 90.42%
Short-Exit Taker Trades [%] 9.58%

Positions Main Metrics

Metric returns
Positions 187257
Long Positions 72432
Short Positions 114825
Long Positions [%] 38.68%
Short Positions [%] 61.32%
Win Rate [%] 78.70%
Long Win Rate [%] 69.28%
Short Win Rate [%] 84.64%

Positions Time Metrics

Metric returns
Positions Rate [1/day] 382
Positions Rate [1/hour] 16
Positions Rate [1/minute] 0
Positions Rate [1/second] 0
Mean Position Duration [hours] 38.19
Long Mean Position Duration [hours] 67.44
Short Mean Position Duration [hours] 19.74
Win Mean Position Duration [hours] 17.67
Loss Mean Position Duration [hours] 114.01
Long-Win Mean Position Duration [hours] 32.15
Long-Loss Mean Position Duration [hours] 147.05
Short-Win Mean Position Duration [hours] 10.20
Short-Loss Mean Position Duration [hours] 72.33

Positions ROI Metrics

Metric returns
Mean Position ROI [%] 0.18%
Long Mean Position ROI [%] 0.06%
Short Mean Position ROI [%] 0.26%
Weighted Mean Position ROI [%] 0.40%
Long Weighted Mean Position ROI [%] 0.13%
Short Weighted Mean Position ROI [%] 0.62%
Win Mean Position ROI [%] 2.32%
Loss Mean Position ROI [%] -7.72%
Win Weighted Mean Position ROI [%] 2.01%
Loss Weighted Mean Position ROI [%] -6.90%
Long-Win Mean Position ROI [%] 3.80%
Long-Loss Mean Position ROI [%] -8.39%
Short-Win Mean Position ROI [%] 1.56%
Short-Loss Mean Position ROI [%] -6.88%
Long-Win Weighted Mean Position ROI [%] 2.41%
Long-Loss Weighted Mean Position ROI [%] -7.58%
Short-Win Weighted Mean Position ROI [%] 1.71%
Short-Loss Weighted Mean Position ROI [%] -6.00%

Positions Risk/Reward Metrics

Metric returns
Risk/Reward Ratio 3.33
Long Risk/Reward Ratio 2.21
Short Risk/Reward Ratio 4.41
Weighted Risk/Reward Ratio 3.43
Long Weighted Risk/Reward Ratio 3.14
Short Weighted Risk/Reward Ratio 3.50
Profit Factor 1.32
Long Profit Factor 1.08
Short Profit Factor 1.73

SQN Metrics

Metric returns
SQN 10.73
SQN100 0.25
SQND 0.48
SQND100 0.25
SQNL 0.30
SQNDL 0.15
WSQN 28.14
WSQN100 0.65
WSQND 1.27
WSQND100 0.65
WSQNL 0.79
WSQNDL 0.39

Volumes Metrics

Metric returns
Buy Volume [%] 49.95%
Sell Volume [%] 50.05%
Long Volume [%] 45.16%
Short Volume [%] 54.84%
Mean Daily Turnover [%] 187.39%
Std Daily Turnover [%] 277.40%
Max Daily Turnover [%] 2506.60%
Mean Monthly Turnover [%] 5703.65%
Mean Annual Turnover [%] 68443.81%

Exposure Metrics

Metric returns
Mean Gross Exposure [%] 99.18%
Mean Net Exposure [%] 0.98%
Std Gross Exposure [%] 110.51%
Std Net Exposure [%] 128.78%
Max Gross Exposure [%] 974.86%
Max Net Exposure [%] 796.45%

Worst Drawdowns

Started Recovered Drawdown Days
2025-11-12 2025-12-04 -55.06 22
2025-10-07 2025-10-14 -41.21 7
2025-01-19 2025-04-30 -31.42 101
2025-05-08 2025-05-18 -30.8 10
2025-10-15 2025-10-27 -27.06 12
2025-08-23 2025-08-25 -22.23 2
2024-12-07 2024-12-15 -19.89 8
2025-12-05 2025-12-10 -19.83 5
2025-05-19 2025-06-05 -11.14 17
2025-10-31 2025-11-08 -9.92 8

PLOTS

Cumulative Returns
Underwater Plot
0.00.00.00.00.00.00.00.00.00.07.344.154.68.4-11.210.320.813.812.05.518.812.613.36.115.2219.612.5-3.67.24.70.00.00.00.00.00.00.00.021.7JanFebMarAprMayJunJulAugSepOctNovDecTotal2024202520260.020.040.0MONTHLY PERCENTAGE RETURNS HEATMAPMONTHYEAR
Monthly Returns Heatmap
0.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.96.5-0.10.07.3-0.5-4.4-4.410.53.3-17.6-2.80.19.27.8-8.53.54.713.24.35.56.82.42.52.21.50.0-5.7-2.8-1.25.34.5-2.23.71.30.044.10.00.8-5.0-1.3-0.20.410.80.4-0.43.70.3-0.91.94.82.5-0.72.2-6.3-4.22.84.3-3.10.1-1.92.1-0.5-3.3-12.47.95.80.48.4-13.1-4.83.9-3.0-1.1-2.8-0.35.4-1.53.9-0.65.8-2.71.1-2.0-0.3-1.3-5.52.65.40.02.9-1.4-5.13.10.70.60.60.00.00.0-11.2-0.83.5-1.4-0.8-1.21.10.30.0-3.0-3.7-2.21.11.3-4.20.63.0-3.81.7-4.81.3-1.63.74.3-6.8-2.24.2-2.321.03.40.50.710.30.40.2-3.0-0.50.73.6-1.84.10.30.6-1.5-0.90.70.40.4-0.6-0.5-1.61.44.00.8-4.00.61.0-0.31.35.1-0.56.13.10.020.8-2.74.86.41.2-0.21.0-0.3-2.2-6.6-17.914.8-0.3-19.220.812.26.14.1-6.33.2-1.1-3.5-3.76.90.8-0.20.3-4.02.20.15.50.013.80.0-0.70.41.81.40.00.00.2-4.7-3.35.23.00.80.5-0.2-0.20.7-1.50.3-0.3-0.8-0.74.1-0.81.9-0.91.51.12.80.30.012.0-0.80.7-1.00.21.7-0.3-0.9-0.7-0.3-5.34.0-0.10.20.40.50.0-1.73.62.2-0.50.40.80.80.3-0.20.40.30.80.00.10.15.50.30.10.0-0.20.3-6.21.5-2.41.11.31.5-0.8-1.94.31.5-0.1-0.11.51.7-0.83.1-22.26.821.610.7-2.51.3-2.97.4-0.1-1.718.84.4-4.5-2.47.60.81.7-0.9-1.5-0.9-1.00.3-1.80.53.11.7-0.4-1.9-4.93.91.70.35.30.30.00.50.00.0-0.20.00.80.012.60.0-0.7-1.51.41.8-1.4-2.81.2-3.8-37.022.533.87.2-7.6-9.2-5.6-3.78.76.36.4-6.1-17.219.98.45.49.31.6-0.20.5-3.51.113.30.70.3-6.6-2.26.1-0.512.2-0.32.30.1-0.4-1.6-5.1-3.92.4-6.1-6.016.4-9.0-8.2-42.826.815.324.93.57.35.1-0.5-3.23.00.06.1-18.829.28.5-7.0-12.23.5-5.19.414.30.00.00.10.00.00.00.4-1.3-1.83.40.0-0.91.1-1.10.30.10.90.00.00.00.00.015.20.0-1.4-0.9-3.7-4.10.38.12.5-1.00.10.91.2-8.23.96.0-0.5-0.51.74.30.10.10.50.1-0.11.2-0.10.00.32.10.00.012.50.10.3-0.20.3-2.03.6-1.00.80.7-2.4-0.20.50.20.5-1.20.3-0.7-1.8-0.71.50.0-1.0-1.4-0.62.3-0.5-1.20.50.00.00.0-3.6-1.30.9-0.31.00.60.3-0.3-0.11.10.50.00.00.3-0.21.2-3.70.32.3-2.31.0-1.0-3.3-0.74.8-0.1-1.10.23.7-1.41.23.77.24.70.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.00.04.712345678910111213141516171819202122232425262728293031TotalNovember 2024December 2024January 2025February 2025March 2025April 2025May 2025June 2025July 2025August 2025September 2025October 2025November 2025December 2025January 2026February 2026March 2026April 2026−40.0−30.0−20.0−10.00.010.020.030.0DAILY PERCENTAGE RETURNS HEATMAPDAYMONTH
Daily Returns Heatmap
Average Monthly Profit
Return Quantiles
EOY Returns
Rolling Sharpe 30d
Rolling Sharpe 90d
EOY Returns
Returns Correlations
Exposure Plot
Gross Exposure Plot
Net Exposure Plot
Turnover Plot
Gross Exposure Correlations Plot
Net Exposure Correlations Plot