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

5 May, 2021 - 12 Mar, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	-16.25%	29.92%
CAGR﹪	-6.02%	9.6%
Sharpe	-1.64	-3.28
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.56	-3.13
Sortino	-4.43	-3.76
Smart Sortino	-4.22	-3.58
Sortino/√2	-3.13	-2.66
Smart Sortino/√2	-2.98	-2.53
Omega	0.54	0.54
Max Drawdown	-41.97%	-21.43%
Longest DD Days	475	708
Volatility (ann.)	42.98%	17.0%
R^2	0.16	0.16
Information Ratio	-0.02	-0.02
Calmar	-0.14	0.45
Skew	17.93	-2.74
Kurtosis	383.18	35.1
Expected Daily	-0.03%	0.05%
Expected Monthly	-0.63%	0.94%
Expected Yearly	-4.34%	6.76%
Kelly Criterion	-26.26%	10.54%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-4.46%	-1.71%
Expected Shortfall (cVaR)	-4.46%	-1.71%
Max Consecutive Wins	7	8
Max Consecutive Losses	10	5
Gain/Pain Ratio	-0.01	0.16
Gain/Pain (1M)	-0.03	0.73
Payoff Ratio	0.73	1.08
Profit Factor	0.99	1.16
Common Sense Ratio	0.83	1.19
CPC Index	0.34	0.67
Tail Ratio	0.84	1.02
Outlier Win Ratio	2.73	3.52
Outlier Loss Ratio	2.94	3.36
MTD	-2.29%	1.59%
3M	-1.28%	12.38%
6M	5.02%	16.23%
YTD	-3.51%	8.82%
1Y	-18.73%	36.16%
3Y (ann.)	-6.02%	9.6%
5Y (ann.)	-6.02%	9.6%
10Y (ann.)	-6.02%	9.6%
All-time (ann.)	-6.02%	9.6%
Best Day	57.66%	5.55%
Worst Day	-7.27%	-12.48%
Best Month	56.15%	9.13%
Worst Month	-14.41%	-10.74%
Best Year	13.6%	26.29%
Worst Year	-22.79%	-18.32%
Avg. Drawdown	-5.02%	-1.72%
Avg. Drawdown Days	59	26
Recovery Factor	-0.39	1.4
Ulcer Index	0.22	0.09
Serenity Index	-0.34	-0.54
Avg. Up Month	2.17%	4.0%
Avg. Down Month	-7.92%	-3.35%
Win Days	46.57%	53.62%
Win Month	39.29%	64.29%
Win Quarter	40.0%	70.0%
Win Year	25.0%	75.0%
Beta	-1.01	-
Alpha	0.13	-
Correlation	-40.04%	-
Treynor Ratio	114.82%	-