| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -33.4% | 0.0% |
| CAGR﹪ | -98.6% | 0.01% |
| Sharpe | -5.26 | 0.1 |
| Prob. Sharpe Ratio | 5.88% | 51.15% |
| Smart Sharpe | -3.31 | 0.06 |
| Sortino | -6.03 | 0.14 |
| Smart Sortino | -3.8 | 0.09 |
| Sortino/√2 | -4.26 | 0.1 |
| Smart Sortino/√2 | -2.69 | 0.06 |
| Omega | 1.02 | 1.02 |
| Max Drawdown | -33.72% | -6.42% |
| Max DD Date | 2020-03-23 | 2020-02-25 |
| Max DD Period Start | 2020-02-20 | 2020-02-20 |
| Max DD Period End | 2020-03-23 | 2020-03-05 |
| Longest DD Days | 33 | 15 |
| Volatility (ann.) | 75.28% | 19.88% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.34 | 0.34 |
| Calmar | -2.92 | 0.0 |
| Skew | 0.17 | -0.06 |
| Kurtosis | 0.03 | 1.08 |
| Expected Daily | -1.68% | 0.0% |
| Expected Monthly | -18.39% | 0.0% |
| Expected Yearly | -33.4% | 0.0% |
| Kelly Criterion | -48.53% | 25.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -9.37% | -2.05% |
| Expected Shortfall (cVaR) | -9.37% | -2.05% |
| Max Consecutive Wins | 1 | 9 |
| Max Consecutive Losses | 7 | 4 |
| Gain/Pain Ratio | -0.57 | 0.02 |
| Gain/Pain (1M) | -1.0 | 0.04 |
| Payoff Ratio | 0.91 | 1.01 |
| Profit Factor | 0.43 | 1.02 |
| Common Sense Ratio | 0.25 | 1.62 |
| CPC Index | 0.11 | 0.64 |
| Tail Ratio | 0.58 | 1.6 |
| Outlier Win Ratio | 1.28 | 7.0 |
| Outlier Loss Ratio | 1.72 | 5.47 |
| MTD | -24.3% | 5.37% |
| 3M | -33.4% | 0.0% |
| 6M | -33.4% | 0.0% |
| YTD | -33.4% | 0.0% |
| 1Y | -33.4% | 0.0% |
| 3Y (ann.) | -98.6% | 0.01% |
| 5Y (ann.) | -98.6% | 0.01% |
| 10Y (ann.) | -98.6% | 0.01% |
| All-time (ann.) | -98.6% | 0.01% |
| Best Day | 8.55% | 2.59% |
| Worst Day | -10.94% | -3.08% |
| Best Month | -12.02% | 5.37% |
| Worst Month | -24.3% | -5.1% |
| Best Year | -33.4% | 0.0% |
| Worst Year | -33.4% | 0.0% |
| Avg. Drawdown | -33.72% | -5.15% |
| Avg. Drawdown Days | 33 | 14 |
| Recovery Factor | 1.12 | 0.03 |
| Ulcer Index | 0.19 | 0.03 |
| Serenity Index | -0.29 | 0.01 |
| Avg. Up Month | - | - |
| Avg. Down Month | -12.02% | -5.1% |
| Win Days | 29.17% | 62.5% |
| Win Month | 0.0% | 50.0% |
| Win Quarter | 0.0% | 100.0% |
| Win Year | 0.0% | 100.0% |
| Beta | - | 0.06 |
| Alpha | - | 0.24 |
| Correlation | - | 21.54% |
| Treynor Ratio | - | 0.01% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | -33.40 | 0.00 | -0.00 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-03-05 | -6.42 | 15 |
| 2020-03-10 | 2020-03-23 | -3.88 | 14 |