| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -24.06% | -4.58% |
| CAGR﹪ | -29.8% | -5.85% |
| Sharpe | -1.34 | -0.62 |
| Prob. Sharpe Ratio | 11.68% | 29.14% |
| Smart Sharpe | -1.29 | -0.6 |
| Sortino | -1.76 | -0.84 |
| Smart Sortino | -1.7 | -0.8 |
| Sortino/√2 | -1.24 | -0.59 |
| Smart Sortino/√2 | -1.2 | -0.57 |
| Omega | 0.9 | 0.9 |
| Max Drawdown | -24.5% | -7.11% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2022-04-05 |
| Max DD Period End | 2022-10-12 | 2022-10-12 |
| Longest DD Days | 282 | 191 |
| Volatility (ann.) | 24.17% | 9.04% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | -1.22 | -0.82 |
| Skew | -0.17 | -0.25 |
| Kurtosis | -0.05 | 1.33 |
| Expected Daily | -0.14% | -0.02% |
| Expected Monthly | -2.71% | -0.47% |
| Expected Yearly | -24.06% | -4.58% |
| Kelly Criterion | -12.37% | -2.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.63% | -0.96% |
| Expected Shortfall (cVaR) | -2.52% | -2.52% |
| Max Consecutive Wins | 4 | 5 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | -0.19 | -0.1 |
| Gain/Pain (1M) | -0.65 | -0.36 |
| Payoff Ratio | 1.01 | 1.02 |
| Profit Factor | 0.81 | 0.9 |
| Common Sense Ratio | 0.69 | 0.81 |
| CPC Index | 0.35 | 0.44 |
| Tail Ratio | 0.85 | 0.9 |
| Outlier Win Ratio | 1.82 | 5.47 |
| Outlier Loss Ratio | 2.29 | 6.38 |
| MTD | -0.17% | -0.29% |
| 3M | -6.82% | 0.09% |
| 6M | -18.26% | -5.39% |
| YTD | -24.06% | -4.58% |
| 1Y | -24.06% | -4.58% |
| 3Y (ann.) | -29.8% | -5.85% |
| 5Y (ann.) | -29.8% | -5.85% |
| 10Y (ann.) | -29.8% | -5.85% |
| All-time (ann.) | -29.8% | -5.85% |
| Best Day | 3.18% | 1.65% |
| Worst Day | -4.35% | -1.88% |
| Best Month | 9.21% | 3.75% |
| Worst Month | -9.24% | -4.28% |
| Best Year | -24.06% | -4.58% |
| Worst Year | -24.06% | -4.58% |
| Avg. Drawdown | -24.5% | -4.58% |
| Avg. Drawdown Days | 282 | 92 |
| Recovery Factor | 1.03 | 0.62 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | -0.18 | -0.04 |
| Avg. Up Month | 4.4% | 1.98% |
| Avg. Down Month | -5.97% | -2.04% |
| Win Days | 43.59% | 48.47% |
| Win Month | 30.0% | 40.0% |
| Win Quarter | 0.0% | 50.0% |
| Win Year | 0.0% | 0.0% |
| Beta | - | 0.28 |
| Alpha | - | 0.03 |
| Correlation | - | 74.68% |
| Treynor Ratio | - | -16.39% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -24.06 | -4.58 | 0.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-05 | 2022-10-12 | -7.11 | 191 |
| 2022-01-03 | 2022-03-25 | -5.18 | 82 |
| 2022-03-30 | 2022-04-01 | -1.46 | 3 |