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

3 Sep, 2020 - 25 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	100.0%	100.0%
Time in Market	100.0%	100.0%
Cumulative Return	17.77%	54.59%
CAGR﹪	4.59%	12.7%
Sharpe	-1.88	-3.13
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-1.57	-2.62
Sortino	-2.25	-3.82
Smart Sortino	-1.88	-3.19
Sortino/√2	-1.59	-2.7
Smart Sortino/√2	-1.33	-2.26
Omega	0.69	0.69
Max Drawdown	-51.52%	-24.49%
Longest DD Days	911	708
Volatility (ann.)	31.72%	17.63%
R^2	0.03	0.03
Information Ratio	-0.01	-0.01
Calmar	0.09	0.52
Skew	-1.89	-0.05
Kurtosis	17.29	2.41
Expected Daily	0.02%	0.05%
Expected Monthly	0.37%	0.99%
Expected Yearly	3.33%	9.1%
Kelly Criterion	-6.78%	6.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.25%	-1.77%
Expected Shortfall (cVaR)	-3.25%	-1.77%
Max Consecutive Wins	11	8
Max Consecutive Losses	8	6
Gain/Pain Ratio	0.06	0.15
Gain/Pain (1M)	0.25	0.7
Payoff Ratio	0.74	1.08
Profit Factor	1.06	1.15
Common Sense Ratio	1.07	1.21
CPC Index	0.43	0.64
Tail Ratio	1.01	1.05
Outlier Win Ratio	3.11	4.53
Outlier Loss Ratio	3.32	5.86
MTD	4.5%	-3.85%
3M	5.1%	4.07%
6M	9.76%	19.76%
YTD	9.75%	6.3%
1Y	22.11%	23.95%
3Y (ann.)	-3.7%	8.2%
5Y (ann.)	4.59%	12.7%
10Y (ann.)	4.59%	12.7%
All-time (ann.)	4.59%	12.7%
Best Day	9.37%	5.55%
Worst Day	-20.76%	-4.55%
Best Month	20.05%	10.95%
Worst Month	-36.45%	-9.21%
Best Year	19.36%	29.88%
Worst Year	-33.65%	-18.32%
Avg. Drawdown	-4.6%	-1.66%
Avg. Drawdown Days	48	17
Recovery Factor	0.34	2.23
Ulcer Index	0.31	0.1
Serenity Index	-0.1	-0.3
Avg. Up Month	5.61%	4.03%
Avg. Down Month	-9.56%	-3.48%
Win Days	54.43%	51.55%
Win Month	63.64%	61.36%
Win Quarter	68.75%	62.5%
Win Year	80.0%	80.0%
Beta	0.33	-
Alpha	0.05	-
Correlation	18.55%	-
Treynor Ratio	-246.33%	-