Metric | SPY | Strategy |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 69.0% | 50.0% |
Cumulative Return | 174.63% | 404.39% |
CAGR﹪ | 6.71% | 10.97% |
Sharpe | 0.53 | 1.18 |
Prob. Sharpe Ratio | 97.97% | 100.0% |
Smart Sharpe | 0.52 | 1.18 |
Sortino | 0.73 | 1.7 |
Smart Sortino | 0.72 | 1.69 |
Sortino/√2 | 0.52 | 1.2 |
Smart Sortino/√2 | 0.51 | 1.19 |
Omega | 1.38 | 1.38 |
Max Drawdown | -34.1% | -20.31% |
Longest DD Days | 662 | 335 |
Volatility (ann.) | 14.31% | 9.14% |
R^2 | 0.02 | 0.02 |
Information Ratio | 0.01 | 0.01 |
Calmar | 0.2 | 0.54 |
Skew | -0.62 | -1.28 |
Kurtosis | 20.26 | 27.97 |
Expected Daily | 0.03% | 0.04% |
Expected Monthly | 0.79% | 1.26% |
Expected Yearly | 9.62% | 15.85% |
Kelly Criterion | 3.6% | 13.14% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -1.45% | -0.9% |
Expected Shortfall (cVaR) | -1.45% | -0.9% |
Max Consecutive Wins | 5 | 10 |
Max Consecutive Losses | 5 | 6 |
Gain/Pain Ratio | 0.13 | 0.38 |
Gain/Pain (1M) | 0.74 | 2.51 |
Payoff Ratio | 0.9 | 0.97 |
Profit Factor | 1.13 | 1.38 |
Common Sense Ratio | 1.11 | 1.71 |
CPC Index | 0.55 | 0.77 |
Tail Ratio | 0.98 | 1.24 |
Outlier Win Ratio | 5.54 | 10.62 |
Outlier Loss Ratio | 3.07 | 4.25 |
MTD | -3.89% | 0.0% |
3M | -9.84% | 0.0% |
6M | 1.56% | 9.19% |
YTD | 7.84% | 26.05% |
1Y | 7.5% | 34.23% |
3Y (ann.) | 2.92% | 9.96% |
5Y (ann.) | 6.2% | 12.29% |
10Y (ann.) | 6.01% | 11.52% |
All-time (ann.) | 6.71% | 10.97% |
Best Day | 9.06% | 4.64% |
Worst Day | -10.94% | -9.17% |
Best Month | 12.7% | 11.74% |
Worst Month | -16.61% | -10.05% |
Best Year | 28.79% | 27.89% |
Worst Year | -19.82% | 5.13% |
Avg. Drawdown | -1.74% | -1.5% |
Avg. Drawdown Days | 20 | 18 |
Recovery Factor | 3.43 | 8.29 |
Ulcer Index | 0.07 | 0.04 |
Serenity Index | 1.0 | 2.97 |
Avg. Up Month | 3.46% | 3.56% |
Avg. Down Month | -5.48% | -3.14% |
Win Days | 54.44% | 57.22% |
Win Month | 65.89% | 71.72% |
Win Quarter | 77.27% | 80.49% |
Win Year | 72.73% | 100.0% |
Beta | - | 0.09 |
Alpha | - | 0.1 |
Correlation | - | 14.44% |
Treynor Ratio | - | 4384.95% |
Year | SPY | Strategy | Multiplier | Won |
---|---|---|---|---|
2013 | 23.51 | 6.97 | 0.30 | - |
2014 | 11.29 | 19.34 | 1.71 | + |
2015 | -0.81 | 6.19 | -7.62 | + |
2016 | 10.48 | 24.32 | 2.32 | + |
2017 | 19.33 | 16.31 | 0.84 | - |
2018 | -7.01 | 11.37 | -1.62 | + |
2019 | 28.79 | 23.96 | 0.83 | - |
2020 | 16.16 | 27.89 | 1.73 | + |
2021 | 27.04 | 9.18 | 0.34 | - |
2022 | -19.82 | 5.13 | -0.26 | + |
2023 | 7.84 | 26.05 | 3.32 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2020-02-21 | 2020-07-20 | -20.31 | 151 |
2015-08-01 | 2015-12-01 | -12.54 | 123 |
2021-09-03 | 2022-08-03 | -10.13 | 335 |
2018-12-05 | 2019-01-23 | -7.20 | 50 |
2023-02-10 | 2023-04-01 | -7.17 | 51 |
2022-09-13 | 2022-11-12 | -6.80 | 61 |
2017-06-27 | 2017-11-06 | -6.02 | 133 |
2018-04-19 | 2018-05-29 | -6.00 | 41 |
2019-09-09 | 2020-01-01 | -5.50 | 115 |
2021-01-27 | 2021-04-02 | -5.31 | 66 |