Deflated Sharpe
0.96
Lopez de Prado
Prob Sharpe
0.78
p > 0
Sortino
1.42
Downside-adj
CAGR
18.4%
Max DD
-6.2%
Win Rate
54%
Equity Curve
Drawdown
Regime Conditional
| Regime | Sharpe | Max DD | Trades |
|---|---|---|---|
| Risk-On | 1.32 | -3.4% | 1124 |
| Neutral | 0.84 | -4.6% | 712 |
| Risk-Off | 0.42 | -5.8% | 412 |
| Stress | -0.18 | -6.2% | 170 |
Lens Attribution
Monte Carlo Sharpe / 10,000 paths
| Percentile | Sharpe |
|---|---|
| p5 | 0.42 |
| p25 | 0.74 |
| p50 | 0.96 |
| p75 | 1.18 |
| p95 | 1.42 |
OVERFIT FLAGS
- 1. intraday_cost_sensitivity
Cost Breakdown