Performance Analysis
Equity Curves Comparison
Drawdown — Regime RSL
Rolling Sharpe Ratio
Equity with Regime Overlay
Performance Metrics Comparison
| Metric | levy_classic (#305) |
weekly_5pos (#304) |
regime_rsl (#303) |
vanilla_rsl (#302) |
equal_weight_sp500 (#301) |
buy_hold_spy (#300) |
|---|---|---|---|---|---|---|
| Cagr | 34.47% | 32.27% | 23.38% | 24.96% | 16.53% | 10.87% |
| Annual Volatility | 33.62% | 29.09% | 21.21% | 23.64% | 20.23% | 18.65% |
| Sharpe Ratio | 0.9919 | 1.0404 | 1.0047 | 0.9786 | 0.7563 | 0.5402 |
| Sortino Ratio | 1.3526 | 1.4137 | 1.2640 | 1.2518 | 0.9310 | 0.6618 |
| Max Drawdown | -56.74% | -41.28% | -41.55% | -44.92% | -50.69% | -54.24% |
| Calmar Ratio | 0.6075 | 0.7818 | 0.5626 | 0.5557 | 0.3261 | 0.2004 |
| Win Rate Monthly | 64.59% | 60.31% | 67.32% | 66.93% | 67.32% | 66.54% |
| Avg Monthly Return | 2.91% | 2.69% | 1.89% | 2.04% | 1.39% | 0.95% |
| Best Month | 32.91% | 42.57% | 18.31% | 19.72% | 17.43% | 12.59% |
| Worst Month | -30.55% | -28.34% | -18.23% | -18.13% | -18.29% | -16.14% |
| Annual Turnover | 633.16% | 2,026.41% | 765.18% | 805.09% | 0.00% | 0.00% |
| Total Return | 56,447.23% | 39,636.43% | 8,858.15% | 11,673.23% | 2,538.85% | 810.12% |