AKSP USD[Strategy] vs ^SP500TR USD[Benchmark]

5 Apr, 2019 - 25 Feb, 2022

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	95.0%	100.0%
Cumulative Return	40.24%	59.23%
CAGR﹪	12.39%	17.43%
Sharpe	-2.37	-2.18
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-2.14	-1.96
Sortino	-2.87	-2.72
Smart Sortino	-2.58	-2.45
Sortino/√2	-2.03	-1.92
Smart Sortino/√2	-1.83	-1.73
Omega	0.62	0.62
Max Drawdown	-35.32%	-33.79%
Longest DD Days	186	172
Volatility (ann.)	23.01%	23.0%
R^2	0.32	0.32
Information Ratio	-0.01	-0.01
Calmar	0.35	0.52
Skew	-1.27	-0.61
Kurtosis	14.75	16.24
Expected Daily	0.05%	0.07%
Expected Monthly	0.97%	1.34%
Expected Yearly	8.82%	12.33%
Kelly Criterion	3.96%	3.58%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.33%	-2.31%
Expected Shortfall (cVaR)	-2.33%	-2.31%
Max Consecutive Wins	8	7
Max Consecutive Losses	7	6
Gain/Pain Ratio	0.14	0.19
Gain/Pain (1M)	0.76	1.18
Payoff Ratio	0.81	0.81
Profit Factor	1.14	1.19
Common Sense Ratio	1.14	1.04
CPC Index	0.53	0.55
Tail Ratio	1.0	0.88
Outlier Win Ratio	4.92	4.78
Outlier Loss Ratio	4.24	4.75
MTD	-8.93%	-2.77%
3M	-13.03%	-6.4%
6M	-8.87%	-1.57%
YTD	-14.82%	-8.04%
1Y	5.71%	13.29%
3Y (ann.)	12.39%	17.43%
5Y (ann.)	12.39%	17.43%
10Y (ann.)	12.39%	17.43%
All-time (ann.)	12.39%	17.43%
Best Day	8.16%	9.39%
Worst Day	-12.73%	-11.98%
Best Month	11.28%	12.82%
Worst Month	-10.09%	-12.35%
Best Year	28.04%	29.88%
Worst Year	-14.82%	-8.04%
Avg. Drawdown	-2.4%	-1.78%
Avg. Drawdown Days	13	11
Recovery Factor	1.14	1.75
Ulcer Index	0.07	0.06
Serenity Index	-1.02	-0.77
Avg. Up Month	4.12%	4.35%
Avg. Down Month	-5.61%	-4.85%
Win Days	56.99%	56.78%
Win Month	68.57%	68.57%
Win Quarter	83.33%	83.33%
Win Year	75.0%	75.0%
Beta	0.56	-
Alpha	0.04	-
Correlation	56.41%	-
Treynor Ratio	-105.87%	-