Strategy Tearsheet

31 Oct, 2023 - 1 Mar, 2024

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	70.0%
Cumulative Return	23.4%	48.26%
CAGR﹪	54.4%	125.55%
Sharpe	5.78	3.95
Prob. Sharpe Ratio	99.97%	99.12%
Smart Sharpe	5.61	3.84
Sortino	11.39	7.31
Smart Sortino	11.06	7.1
Sortino/√2	8.06	5.17
Smart Sortino/√2	7.82	5.02
Omega	2.23	2.23
Max Drawdown	-1.97%	-9.08%
Longest DD Days	21	22
Volatility (ann.)	11.04%	31.16%
R^2	0.57	0.57
Information Ratio	0.16	0.16
Calmar	27.56	13.82
Skew	0.13	0.39
Kurtosis	0.79	1.59
Expected Daily	0.25%	0.47%
Expected Monthly	3.57%	6.78%
Expected Yearly	11.09%	21.76%
Kelly Criterion	42.92%	31.71%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.89%	-2.74%
Expected Shortfall (cVaR)	-0.89%	-2.74%
Max Consecutive Wins	7	6
Max Consecutive Losses	4	6
Gain/Pain Ratio	1.7	1.23
Gain/Pain (1M)	-	-
Payoff Ratio	1.4	0.92
Profit Factor	2.7	2.23
Common Sense Ratio	5.12	4.66
CPC Index	2.52	1.39
Tail Ratio	1.9	2.08
Outlier Win Ratio	6.48	3.42
Outlier Loss Ratio	6.31	1.61
MTD	0.94%	0.0%
3M	12.37%	29.46%
6M	23.4%	48.26%
YTD	7.9%	13.37%
1Y	23.4%	48.26%
3Y (ann.)	54.4%	125.55%
5Y (ann.)	54.4%	125.55%
10Y (ann.)	54.4%	125.55%
All-time (ann.)	54.4%	125.55%
Best Day	2.07%	6.18%
Worst Day	-1.63%	-4.55%
Best Month	9.13%	14.2%
Worst Month	0.63%	0.0%
Best Year	14.37%	30.77%
Worst Year	7.9%	13.37%
Avg. Drawdown	-0.8%	-3.18%
Avg. Drawdown Days	4	5
Recovery Factor	10.77	4.52
Ulcer Index	0.01	0.03
Serenity Index	25.35	6.53
Avg. Up Month	4.14%	8.31%
Avg. Down Month	-	-
Win Days	66.67%	67.24%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-	2.13
Alpha	-	-0.13
Correlation	-	75.57%
Treynor Ratio	-	22.61%