| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 3.71% | 4.81% |
| CAGR﹪ | 49.02% | 67.38% |
| Sharpe | 2.29 | 9.39 |
| Prob. Sharpe Ratio | 74.64% | 99.82% |
| Smart Sharpe | 2.17 | 8.92 |
| Sortino | 3.52 | 23.43 |
| Smart Sortino | 3.34 | 22.25 |
| Sortino/√2 | 2.49 | 16.57 |
| Smart Sortino/√2 | 2.36 | 15.73 |
| Omega | 4.17 | 4.17 |
| Max Drawdown | -4.72% | -0.63% |
| Max DD Date | 2023-03-13 | 2023-03-28 |
| Max DD Period Start | 2023-03-07 | 2023-03-27 |
| Max DD Period End | 2023-03-29 | 2023-03-28 |
| Longest DD Days | 23 | 2 |
| Volatility (ann.) | 18.14% | 5.51% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 10.37 | 106.4 |
| Skew | -0.33 | -0.09 |
| Kurtosis | -1.0 | -0.71 |
| Expected Daily | 0.16% | 0.2% |
| Expected Monthly | 3.71% | 4.81% |
| Expected Yearly | 3.71% | 4.81% |
| Kelly Criterion | 15.23% | 54.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -0.37% |
| Expected Shortfall (cVaR) | -1.72% | -0.37% |
| Max Consecutive Wins | 3 | 6 |
| Max Consecutive Losses | 3 | 2 |
| Gain/Pain Ratio | 0.42 | 3.17 |
| Gain/Pain (1M) | - | - |
| Payoff Ratio | 0.86 | 1.97 |
| Profit Factor | 1.42 | 4.17 |
| Common Sense Ratio | 1.38 | 9.07 |
| CPC Index | 0.74 | 5.71 |
| Tail Ratio | 0.98 | 2.17 |
| Outlier Win Ratio | 1.39 | 3.3 |
| Outlier Loss Ratio | 1.09 | 5.19 |
| MTD | 3.71% | 4.81% |
| 3M | 3.71% | 4.81% |
| 6M | 3.71% | 4.81% |
| YTD | 3.71% | 4.81% |
| 1Y | 3.71% | 4.81% |
| 3Y (ann.) | 49.02% | 67.38% |
| 5Y (ann.) | 49.02% | 67.38% |
| 10Y (ann.) | 49.02% | 67.38% |
| All-time (ann.) | 49.02% | 67.38% |
| Best Day | 1.75% | 0.85% |
| Worst Day | -1.84% | -0.4% |
| Best Month | 3.71% | 4.81% |
| Worst Month | 3.71% | 4.81% |
| Best Year | 3.71% | 4.81% |
| Worst Year | 3.71% | 4.81% |
| Avg. Drawdown | -2.55% | -0.25% |
| Avg. Drawdown Days | 12 | 1 |
| Recovery Factor | 0.8 | 7.45 |
| Ulcer Index | 0.02 | 0.0 |
| Serenity Index | 0.43 | 23.3 |
| Avg. Up Month | 3.71% | 4.81% |
| Avg. Down Month | - | - |
| Win Days | 60.87% | 69.57% |
| Win Month | 100.0% | 100.0% |
| Win Quarter | 100.0% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.17 |
| Alpha | - | 0.45 |
| Correlation | - | 55.0% |
| Treynor Ratio | - | 28.84% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 3.71 | 4.81 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-27 | 2023-03-28 | -0.63 | 2 |
| 2023-03-01 | 2023-03-02 | -0.35 | 2 |
| 2023-03-22 | 2023-03-22 | -0.30 | 1 |
| 2023-03-07 | 2023-03-07 | -0.11 | 1 |
| 2023-03-09 | 2023-03-09 | -0.10 | 1 |
| 2023-03-20 | 2023-03-20 | -0.01 | 1 |