Deflated Sharpe
1.42
Lopez de Prado
Prob Sharpe
0.94
p > 0
Sortino
2.18
Downside-adj
CAGR
24.6%
Max DD
-8.4%
Win Rate
61%
Equity Curve
Drawdown
Regime Conditional
| Regime | Sharpe | Max DD | Trades |
|---|---|---|---|
| Risk-On | 1.74 | -4.2% | 812 |
| Neutral | 1.18 | -5.6% | 524 |
| Risk-Off | 0.62 | -7.8% | 312 |
| Stress | -0.24 | -8.4% | 194 |
Lens Attribution
Monte Carlo Sharpe / 10,000 paths
| Percentile | Sharpe |
|---|---|
| p5 | 0.84 |
| p25 | 1.12 |
| p50 | 1.42 |
| p75 | 1.72 |
| p95 | 2.18 |
Cost Breakdown