| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 99.0% | 100.0% |
| Cumulative Return | -13.53% | 1.08% |
| CAGR﹪ | -44.1% | 4.4% |
| Sharpe | -2.34 | 0.53 |
| Prob. Sharpe Ratio | 13.06% | 60.52% |
| Smart Sharpe | -2.3 | 0.52 |
| Sortino | -3.04 | 0.85 |
| Smart Sortino | -2.99 | 0.84 |
| Sortino/√2 | -2.15 | 0.6 |
| Smart Sortino/√2 | -2.12 | 0.59 |
| Omega | 1.12 | 1.12 |
| Max Drawdown | -19.2% | -3.69% |
| Max DD Date | 2018-12-24 | 2018-10-11 |
| Max DD Period Start | 2018-10-02 | 2018-10-02 |
| Max DD Period End | 2018-12-31 | 2018-11-29 |
| Longest DD Days | 91 | 59 |
| Volatility (ann.) | 23.69% | 8.83% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | 0.19 | 0.19 |
| Calmar | -2.3 | 1.19 |
| Skew | 0.41 | 0.88 |
| Kurtosis | 1.48 | 4.45 |
| Expected Daily | -0.23% | 0.02% |
| Expected Monthly | -4.73% | 0.36% |
| Expected Yearly | -13.53% | 1.08% |
| Kelly Criterion | -25.56% | 14.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.67% | -0.9% |
| Expected Shortfall (cVaR) | -2.23% | -2.23% |
| Max Consecutive Wins | 3 | 9 |
| Max Consecutive Losses | 8 | 5 |
| Gain/Pain Ratio | -0.33 | 0.12 |
| Gain/Pain (1M) | -0.87 | 0.44 |
| Payoff Ratio | 0.86 | 1.01 |
| Profit Factor | 0.67 | 1.12 |
| Common Sense Ratio | 0.54 | 1.36 |
| CPC Index | 0.24 | 0.65 |
| Tail Ratio | 0.81 | 1.21 |
| Outlier Win Ratio | 2.49 | 8.67 |
| Outlier Loss Ratio | 1.95 | 6.42 |
| MTD | -8.8% | -0.01% |
| 3M | -13.53% | 1.08% |
| 6M | -13.53% | 1.08% |
| YTD | -13.53% | 1.08% |
| 1Y | -13.53% | 1.08% |
| 3Y (ann.) | -44.1% | 4.4% |
| 5Y (ann.) | -44.1% | 4.4% |
| 10Y (ann.) | -44.1% | 4.4% |
| All-time (ann.) | -44.1% | 4.4% |
| Best Day | 5.05% | 2.06% |
| Worst Day | -3.24% | -1.59% |
| Best Month | 1.85% | 3.87% |
| Worst Month | -8.8% | -2.67% |
| Best Year | -13.53% | 1.08% |
| Worst Year | -13.53% | 1.08% |
| Avg. Drawdown | -19.2% | -2.32% |
| Avg. Drawdown Days | 91 | 44 |
| Recovery Factor | 0.72 | 0.32 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | -0.17 | 0.09 |
| Avg. Up Month | 1.85% | 3.87% |
| Avg. Down Month | -7.86% | -1.34% |
| Win Days | 41.94% | 57.14% |
| Win Month | 33.33% | 33.33% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | - | 0.2 |
| Alpha | - | 0.16 |
| Correlation | - | 54.65% |
| Treynor Ratio | - | 5.31% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -13.53 | 1.08 | -0.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-10-02 | 2018-11-29 | -3.69 | 59 |
| 2018-12-04 | 2018-12-31 | -0.96 | 28 |