Standard Metrics
- VaR (95%): Value at Risk. The maximum daily loss expected with 95% confidence.
- CVaR (Expected Shortfall): The average loss given that the loss exceeds VaR (Tail Risk).
- Calmar Ratio: Annualized Return / Max Drawdown. Higher is better.
- Win Rate: Percentage of days with positive returns.
Decision Confidence Rating
A composite score (0-100%) indicating how safe it is to approve this strategy. It penalizes for high fragility, tail risk, and regime dependence.
Regime Dependence Map
Visualizes performance (Sharpe Ratio) across 4 market regimes. Ideally, a strategy should be "All Weather" (positive in all green/red quadrants).
- Bull / Low Vol: Standard growth environment.
- Bear / High Vol: Crash/Crisis environment (Most critical).
Fragility Score
Measures how much performance degrades when assumptions (like weights) are slightly perturbed. High score = High Fragility.
Tail Amplification
Ratio of the strategy's tail risk (CVaR) to the generic market (SPY). Values > 1.0 mean your downside is worse than the market.
Assumption Sensitivity
Identifies the primary driver of variance. Helps pinpoint "what matters most" in your model's stability.