HS300 Multi-stock Momentum Strategy

4 Jan, 2022 - 29 Jun, 2026

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	92.0%
Cumulative Return	3,807.18%
CAGR﹪	75.81%
Sharpe	1.53
Prob. Sharpe Ratio	99.94%
Smart Sharpe	1.45
Sortino	2.39
Smart Sortino	2.26
Sortino/√2	1.69
Smart Sortino/√2	1.59
Omega	1.32
Max Drawdown	-72.18%
Longest DD Days	529
Volatility (ann.)	72.74%
Calmar	1.05
Skew	0.36
Kurtosis	6.5
Expected Daily	0.34%
Expected Monthly	7.02%
Expected Yearly	108.15%
Kelly Criterion	13.45%
Risk of Ruin	0.0%
Daily Value-at-Risk	-7.09%
Expected Shortfall (cVaR)	-7.09%
Max Consecutive Wins	8
Max Consecutive Losses	7
Gain/Pain Ratio	0.32
Gain/Pain (1M)	2.66
Payoff Ratio	1.07
Profit Factor	1.32
Common Sense Ratio	1.49
CPC Index	0.78
Tail Ratio	1.12
Outlier Win Ratio	3.92
Outlier Loss Ratio	3.3
MTD	7.35%
3M	56.37%
6M	83.24%
YTD	87.18%
1Y	771.06%
3Y (ann.)	114.93%
5Y (ann.)	75.81%
10Y (ann.)	75.81%
All-time (ann.)	75.81%
Best Day	32.72%
Worst Day	-30.52%
Best Month	92.49%
Worst Month	-42.98%
Best Year	653.07%
Worst Year	-4.69%
Avg. Drawdown	-9.38%
Avg. Drawdown Days	23
Recovery Factor	6.65
Ulcer Index	0.25
Serenity Index	1.92
Avg. Up Month	22.26%
Avg. Down Month	-10.31%
Win Days	55.26%
Win Month	63.27%
Win Quarter	70.59%
Win Year	80.0%