Strategy Tearsheet

3 Feb, 2013 - 27 Oct, 2023

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	69.0%	50.0%
Cumulative Return	174.63%	404.39%
CAGR﹪	6.71%	10.97%
Sharpe	0.53	1.18
Prob. Sharpe Ratio	97.97%	100.0%
Smart Sharpe	0.52	1.18
Sortino	0.73	1.7
Smart Sortino	0.72	1.69
Sortino/√2	0.52	1.2
Smart Sortino/√2	0.51	1.19
Omega	1.38	1.38
Max Drawdown	-34.1%	-20.31%
Longest DD Days	662	335
Volatility (ann.)	14.31%	9.14%
R^2	0.02	0.02
Information Ratio	0.01	0.01
Calmar	0.2	0.54
Skew	-0.62	-1.28
Kurtosis	20.26	27.97
Expected Daily	0.03%	0.04%
Expected Monthly	0.79%	1.26%
Expected Yearly	9.62%	15.85%
Kelly Criterion	3.6%	13.14%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.45%	-0.9%
Expected Shortfall (cVaR)	-1.45%	-0.9%
Max Consecutive Wins	5	10
Max Consecutive Losses	5	6
Gain/Pain Ratio	0.13	0.38
Gain/Pain (1M)	0.74	2.51
Payoff Ratio	0.9	0.97
Profit Factor	1.13	1.38
Common Sense Ratio	1.11	1.71
CPC Index	0.55	0.77
Tail Ratio	0.98	1.24
Outlier Win Ratio	5.54	10.62
Outlier Loss Ratio	3.07	4.25
MTD	-3.89%	0.0%
3M	-9.84%	0.0%
6M	1.56%	9.19%
YTD	7.84%	26.05%
1Y	7.5%	34.23%
3Y (ann.)	2.92%	9.96%
5Y (ann.)	6.2%	12.29%
10Y (ann.)	6.01%	11.52%
All-time (ann.)	6.71%	10.97%
Best Day	9.06%	4.64%
Worst Day	-10.94%	-9.17%
Best Month	12.7%	11.74%
Worst Month	-16.61%	-10.05%
Best Year	28.79%	27.89%
Worst Year	-19.82%	5.13%
Avg. Drawdown	-1.74%	-1.5%
Avg. Drawdown Days	20	18
Recovery Factor	3.43	8.29
Ulcer Index	0.07	0.04
Serenity Index	1.0	2.97
Avg. Up Month	3.46%	3.56%
Avg. Down Month	-5.48%	-3.14%
Win Days	54.44%	57.22%
Win Month	65.89%	71.72%
Win Quarter	77.27%	80.49%
Win Year	72.73%	100.0%
Beta	-	0.09
Alpha	-	0.1
Correlation	-	14.44%
Treynor Ratio	-	4384.95%