Trading Strategy Performance Analysis

Oct 2016 - Mar 2025 • 150 Trades • 8.35 Year Period

Overview

Trading Period

8.35 Years

Oct 2016 - Mar 2025

Duration-Weighted CAGR

8.33%

vs 8% benchmark

Time-Weighted CAGR

24.62%

Weighted by holding period

Win Rate

93.3%

140 of 150 trades profitable

Avg Holding Period

2.44 Years

891 days on average

Return Distribution

Performance by Holding Period

CAGR vs. Benchmark

Notable Trades by Return & Holding Period

Highest CAGR trades (mostly short-term)

Negative return trades

Highest absolute return trades

Notable long-term trades

Performance Extremes

Top Performers

Best Trade: SSB (304.1% CAGR)

Avg Holding Period: 93 days (0.25 years)

Top 10 avg CAGR: 201.0%

Worst Performers

Worst Trade: MED (-55.6% CAGR)

Avg Holding Period: 1,441 days (3.95 years)

Bottom 10 avg CAGR: -4.2%

-0.45

Correlation between holding period and CAGR

(Negative correlation indicates shorter trades tend to perform better)

Analysis Summary

Duration-weighted CAGR of 8.33% slightly outperforms the 8% market benchmark
Time-weighted CAGR of 24.62% shows strong performance when weighted by holding period
Strong negative correlation (-0.45) between holding period and CAGR - shorter trades significantly outperform longer ones
Short-term trades (under 1 year) show dramatically higher CAGRs (85.64%) but represent only ~5% of total capital deployment time
Longer-term trades (5+ years) have modest CAGRs (3.00%) but represent the bulk of capital deployment time (157.62 years)
The 3-5 year holding period showed the highest absolute returns (42.30%) with reasonable CAGRs (4.43%)
Strategy shows good downside protection with only 10 of 150 trades (6.7%) showing negative returns

Strategic Recommendation

Consider increasing allocation to short-term trades (less than 1 year) to boost overall strategy performance. Given the strong negative correlation between holding period and CAGR, shorter trades could significantly enhance returns while maintaining your proven downside protection.