Metric | SPY | Strategy |
---|---|---|
Risk-Free Rate | 0.0% | 0.0% |
Time in Market | 100.0% | 70.0% |
Cumulative Return | 23.4% | 48.26% |
CAGR﹪ | 54.4% | 125.55% |
Sharpe | 5.78 | 3.95 |
Prob. Sharpe Ratio | 99.97% | 99.12% |
Smart Sharpe | 5.61 | 3.84 |
Sortino | 11.39 | 7.31 |
Smart Sortino | 11.06 | 7.1 |
Sortino/√2 | 8.06 | 5.17 |
Smart Sortino/√2 | 7.82 | 5.02 |
Omega | 2.23 | 2.23 |
Max Drawdown | -1.97% | -9.08% |
Longest DD Days | 21 | 22 |
Volatility (ann.) | 11.04% | 31.16% |
R^2 | 0.57 | 0.57 |
Information Ratio | 0.16 | 0.16 |
Calmar | 27.56 | 13.82 |
Skew | 0.13 | 0.39 |
Kurtosis | 0.79 | 1.59 |
Expected Daily | 0.25% | 0.47% |
Expected Monthly | 3.57% | 6.78% |
Expected Yearly | 11.09% | 21.76% |
Kelly Criterion | 42.92% | 31.71% |
Risk of Ruin | 0.0% | 0.0% |
Daily Value-at-Risk | -0.89% | -2.74% |
Expected Shortfall (cVaR) | -0.89% | -2.74% |
Max Consecutive Wins | 7 | 6 |
Max Consecutive Losses | 4 | 6 |
Gain/Pain Ratio | 1.7 | 1.23 |
Gain/Pain (1M) | - | - |
Payoff Ratio | 1.4 | 0.92 |
Profit Factor | 2.7 | 2.23 |
Common Sense Ratio | 5.12 | 4.66 |
CPC Index | 2.52 | 1.39 |
Tail Ratio | 1.9 | 2.08 |
Outlier Win Ratio | 6.48 | 3.42 |
Outlier Loss Ratio | 6.31 | 1.61 |
MTD | 0.94% | 0.0% |
3M | 12.37% | 29.46% |
6M | 23.4% | 48.26% |
YTD | 7.9% | 13.37% |
1Y | 23.4% | 48.26% |
3Y (ann.) | 54.4% | 125.55% |
5Y (ann.) | 54.4% | 125.55% |
10Y (ann.) | 54.4% | 125.55% |
All-time (ann.) | 54.4% | 125.55% |
Best Day | 2.07% | 6.18% |
Worst Day | -1.63% | -4.55% |
Best Month | 9.13% | 14.2% |
Worst Month | 0.63% | 0.0% |
Best Year | 14.37% | 30.77% |
Worst Year | 7.9% | 13.37% |
Avg. Drawdown | -0.8% | -3.18% |
Avg. Drawdown Days | 4 | 5 |
Recovery Factor | 10.77 | 4.52 |
Ulcer Index | 0.01 | 0.03 |
Serenity Index | 25.35 | 6.53 |
Avg. Up Month | 4.14% | 8.31% |
Avg. Down Month | - | - |
Win Days | 66.67% | 67.24% |
Win Month | 100.0% | 100.0% |
Win Quarter | 100.0% | 100.0% |
Win Year | 100.0% | 100.0% |
Beta | - | 2.13 |
Alpha | - | -0.13 |
Correlation | - | 75.57% |
Treynor Ratio | - | 22.61% |
Year | SPY | Strategy | Multiplier | Won |
---|---|---|---|---|
2023 | 14.37 | 30.77 | 2.14 | + |
2024 | 7.90 | 13.37 | 1.69 | + |
Started | Recovered | Drawdown | Days |
---|---|---|---|
2023-12-28 | 2024-01-18 | -9.08 | 22 |
2024-02-13 | 2024-02-21 | -4.87 | 9 |
2023-12-20 | 2023-12-22 | -4.15 | 3 |
2024-01-30 | 2024-02-01 | -3.90 | 3 |
2023-12-04 | 2023-12-04 | -2.11 | 1 |
2024-02-05 | 2024-02-06 | -1.95 | 2 |
2023-12-06 | 2023-12-06 | -1.42 | 1 |
2024-01-26 | 2024-01-26 | -0.95 | 1 |
2024-02-08 | 2024-02-08 | -0.19 | 1 |