Strategy Tearsheet

30 Dec, 2015 - 31 Dec, 2020

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	98.64%	114.04%
CAGR﹪	9.92%	11.06%
Sharpe	0.82	0.78
Prob. Sharpe Ratio	96.35%	95.72%
Smart Sharpe	0.67	0.63
Sortino	1.13	1.1
Smart Sortino	0.92	0.9
Sortino/√2	0.8	0.78
Smart Sortino/√2	0.65	0.63
Omega	1.19	1.19
Max Drawdown	-33.7%	-40.87%
Longest DD Days	203	208
Volatility (ann.)	18.86%	23.02%
R^2	0.87	0.87
Information Ratio	0.02	0.02
Calmar	0.29	0.27
Skew	-0.77	-0.09
Kurtosis	18.27	26.37
Expected Daily	0.05%	0.06%
Expected Monthly	1.13%	1.26%
Expected Yearly	12.12%	13.52%
Kelly Criterion	8.15%	6.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.89%	-2.31%
Expected Shortfall (cVaR)	-1.89%	-2.31%
Max Consecutive Wins	11	11
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.19	0.19
Gain/Pain (1M)	1.25	1.26
Payoff Ratio	0.9	0.91
Profit Factor	1.19	1.19
Common Sense Ratio	1.01	1.06
CPC Index	0.61	0.6
Tail Ratio	0.85	0.89
Outlier Win Ratio	4.96	4.09
Outlier Loss Ratio	5.02	4.35
MTD	3.71%	3.15%
3M	12.97%	10.73%
6M	23.83%	25.06%
YTD	18.37%	27.06%
1Y	18.66%	27.26%
3Y (ann.)	8.36%	8.61%
5Y (ann.)	11.17%	12.76%
10Y (ann.)	9.92%	11.06%
All-time (ann.)	9.92%	11.06%
Best Day	9.06%	15.9%
Worst Day	-10.94%	-12.6%
Best Month	12.7%	12.87%
Worst Month	-12.46%	-12.69%
Best Year	31.22%	28.21%
Worst Year	-4.56%	-5.53%
Avg. Drawdown	-1.53%	-2.39%
Avg. Drawdown Days	14	20
Recovery Factor	2.3	2.19
Ulcer Index	0.06	0.07
Serenity Index	1.46	1.51
Avg. Up Month	3.26%	3.74%
Avg. Down Month	-5.01%	-5.69%
Win Days	56.4%	55.19%
Win Month	75.41%	72.13%
Win Quarter	80.95%	80.95%
Win Year	66.67%	66.67%
Beta	-	1.14
Alpha	-	0.0
Correlation	-	93.1%
Treynor Ratio	-	100.35%