| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -36.8% | 8.42% |
| CAGR﹪ | -36.68% | 8.39% |
| Sharpe | -0.9 | 1.36 |
| Prob. Sharpe Ratio | 18.81% | 91.07% |
| Smart Sharpe | -0.79 | 1.19 |
| Sortino | -1.26 | 2.02 |
| Smart Sortino | -1.1 | 1.76 |
| Sortino/√2 | -0.89 | 1.43 |
| Smart Sortino/√2 | -0.78 | 1.25 |
| Omega | 1.25 | 1.25 |
| Max Drawdown | - | -2.68% |
| Max DD Date | - | 2008-09-23 |
| Max DD Period Start | - | 2008-07-16 |
| Max DD Period End | - | 2008-11-28 |
| Longest DD Days | - | - |
| Volatility (ann.) | 41.29% | 6.08% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | -0.77 | 3.13 |
| Skew | 0.57 | -0.19 |
| Kurtosis | 6.51 | 0.81 |
| Expected Daily | -0.18% | 0.03% |
| Expected Monthly | -3.75% | 0.68% |
| Expected Yearly | -36.8% | 8.42% |
| Kelly Criterion | 11.27% | 2.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.43% | -0.6% |
| Expected Shortfall (cVaR) | -2.91% | -2.91% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | -0.16 | 0.25 |
| Gain/Pain (1M) | -0.79 | 6.25 |
| Payoff Ratio | 1.3 | 0.9 |
| Profit Factor | 0.84 | 1.25 |
| Common Sense Ratio | 0.69 | 1.64 |
| CPC Index | 0.54 | 0.61 |
| Tail Ratio | 0.82 | 1.31 |
| Outlier Win Ratio | 2.41 | 12.4 |
| Outlier Loss Ratio | 2.33 | 15.3 |
| MTD | 0.98% | 2.37% |
| 3M | -18.32% | 4.34% |
| 6M | -28.25% | 4.21% |
| YTD | -36.8% | 8.42% |
| 1Y | -36.8% | 8.42% |
| 3Y (ann.) | -36.68% | 8.39% |
| 5Y (ann.) | -36.68% | 8.39% |
| 10Y (ann.) | -36.68% | 8.39% |
| All-time (ann.) | -36.68% | 8.39% |
| Best Day | 14.52% | 1.01% |
| Worst Day | -9.84% | -1.31% |
| Best Month | 4.77% | 2.6% |
| Worst Month | -16.52% | -0.71% |
| Best Year | -36.8% | 8.42% |
| Worst Year | -36.8% | 8.42% |
| Avg. Drawdown | - | -0.76% |
| Avg. Drawdown Days | - | - |
| Recovery Factor | 0.79 | 3.08 |
| Ulcer Index | 0.2 | 0.01 |
| Serenity Index | -0.13 | 0.86 |
| Avg. Up Month | 1.25% | 1.88% |
| Avg. Down Month | -12.97% | -0.28% |
| Win Days | 49.8% | 53.75% |
| Win Month | 33.33% | 66.67% |
| Win Quarter | 0.0% | 75.0% |
| Win Year | 0.0% | 100.0% |
| Beta | - | -0.04 |
| Alpha | - | 0.07 |
| Correlation | - | -26.98% |
| Treynor Ratio | - | -212.07% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -36.80 | 8.42 | -0.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-16 | 2008-11-28 | -2.68 | 136 |
| 2008-01-23 | 2008-03-07 | -2.37 | 45 |
| 2008-03-18 | 2008-05-14 | -2.22 | 58 |
| 2008-03-11 | 2008-03-14 | -1.22 | 4 |
| 2008-05-16 | 2008-06-03 | -0.86 | 19 |
| 2008-01-09 | 2008-01-14 | -0.67 | 6 |
| 2008-06-05 | 2008-06-25 | -0.59 | 21 |
| 2008-07-08 | 2008-07-08 | -0.46 | 1 |
| 2008-12-05 | 2008-12-08 | -0.45 | 4 |
| 2008-12-31 | 2008-12-31 | -0.34 | 1 |