| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -4.41% | 2.48% |
| CAGR﹪ | -12.52% | 7.53% |
| Sharpe | -0.26 | 0.84 |
| Prob. Sharpe Ratio | 44.11% | 68.6% |
| Smart Sharpe | -0.23 | 0.77 |
| Sortino | -0.34 | 1.24 |
| Smart Sortino | -0.31 | 1.14 |
| Sortino/√2 | -0.24 | 0.88 |
| Smart Sortino/√2 | -0.22 | 0.81 |
| Omega | 1.18 | 1.18 |
| Max Drawdown | -18.37% | -3.4% |
| Max DD Date | 2011-10-03 | 2011-07-14 |
| Max DD Period Start | 2011-07-08 | 2011-07-08 |
| Max DD Period End | 2011-10-31 | 2011-07-21 |
| Longest DD Days | 116 | 68 |
| Volatility (ann.) | 32.16% | 9.09% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | -0.68 | 2.21 |
| Skew | -0.41 | -0.15 |
| Kurtosis | 0.75 | 6.26 |
| Expected Daily | -0.05% | 0.03% |
| Expected Monthly | -1.12% | 0.61% |
| Expected Yearly | -4.41% | 2.48% |
| Kelly Criterion | 11.69% | 4.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.37% | -0.91% |
| Expected Shortfall (cVaR) | -3.37% | -0.91% |
| Max Consecutive Wins | 5 | 5 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | -0.04 | 0.18 |
| Gain/Pain (1M) | -0.21 | 3.23 |
| Payoff Ratio | 1.2 | 1.13 |
| Profit Factor | 0.96 | 1.18 |
| Common Sense Ratio | 0.97 | 1.3 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 1.01 | 1.1 |
| Outlier Win Ratio | 2.21 | 7.97 |
| Outlier Loss Ratio | 2.09 | 10.18 |
| MTD | 10.91% | 0.49% |
| 3M | -2.46% | 3.41% |
| 6M | -4.41% | 2.48% |
| YTD | -4.41% | 2.48% |
| 1Y | -4.41% | 2.48% |
| 3Y (ann.) | -12.52% | 7.53% |
| 5Y (ann.) | -12.52% | 7.53% |
| 10Y (ann.) | -12.52% | 7.53% |
| All-time (ann.) | -12.52% | 7.53% |
| Best Day | 4.65% | 2.1% |
| Worst Day | -6.51% | -2.38% |
| Best Month | 10.91% | 1.59% |
| Worst Month | -6.94% | -0.9% |
| Best Year | -4.41% | 2.48% |
| Worst Year | -4.41% | 2.48% |
| Avg. Drawdown | -9.22% | -2.29% |
| Avg. Drawdown Days | 58 | 27 |
| Recovery Factor | 0.15 | 0.76 |
| Ulcer Index | 0.11 | 0.02 |
| Serenity Index | -0.03 | 0.3 |
| Avg. Up Month | 10.91% | 0.49% |
| Avg. Down Month | -2.0% | -0.9% |
| Win Days | 51.76% | 49.41% |
| Win Month | 25.0% | 75.0% |
| Win Quarter | 50.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | - | 0.01 |
| Alpha | - | 0.08 |
| Correlation | - | 2.31% |
| Treynor Ratio | - | 379.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2011 | -4.41 | 2.48 | -0.56 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-07-08 | 2011-07-21 | -3.40 | 14 |
| 2011-07-25 | 2011-09-30 | -3.35 | 68 |
| 2011-10-04 | 2011-10-27 | -2.14 | 24 |
| 2011-07-05 | 2011-07-05 | -0.27 | 1 |