What is Consistency Score and how is it calculated?

Consistency Score is an in-house developed measurement to assess the risk and consistency of returns of a trading strategy.

This metric aims to quantify the consistency of returns of any given trading strategy by considering factors such as Average Monthly Returns, Realized Maximum Drawdown and the 90th percentile of Realized Drawdown over the course of the runtime.

This score is also bound to a range of 0 to 100. 100 representing the best possible theoretical score, this assumes a strategy has no drawdown.

It's important to note that this score only allows the direct comparison of strategies with similar returns and is aimed to provide insights into the consistency of returns, the time between equity peaks (by considering time spent in drawdowns), and maximum realized drawdown itself.

How is Consistency Score calculated?

Consistency Score % = (Avg Monthly % * abs(1-Realized MDD)² * abs(1-90th Percentile Realized MDD)^3) / Avg Monthly % Return