MLTrader Compared to SPY

18 Dec, 2023 - 30 Dec, 2023

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	82.0%	82.0%
Cumulative Return	1.27%	0.09%
CAGR﹪	30.46%	1.89%
Sharpe	3.05	7.94
Prob. Sharpe Ratio	70.3%	91.76%
Smart Sharpe	2.36	6.12
Sortino	4.35	16.04
Smart Sortino	3.35	12.38
Sortino/√2	3.07	11.34
Smart Sortino/√2	2.37	8.75
Omega	3.95	3.95
Max Drawdown	-1.39%	-0.03%
Longest DD Days	4	3
Volatility (ann.)	9.65%	0.26%
R^2	0.03	0.03
Information Ratio	-0.18	-0.18
Calmar	21.98	71.8
Skew	-1.45	-0.58
Kurtosis	3.51	1.09
Expected Daily	0.12%	0.01%
Expected Monthly	1.27%	0.09%
Expected Yearly	1.27%	0.09%
Kelly Criterion	58.6%	72.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.88%	-0.02%
Expected Shortfall (cVaR)	-0.88%	-0.02%
Max Consecutive Wins	3	3
Max Consecutive Losses	1	1
Gain/Pain Ratio	0.77	2.95
Gain/Pain (1M)	-	-
Payoff Ratio	1.16	4.49
Profit Factor	1.77	3.95
Common Sense Ratio	1.64	7.76
CPC Index	1.59	13.79
Tail Ratio	0.93	1.96
Outlier Win Ratio	1.44	35.76
Outlier Loss Ratio	0.78	43.08
MTD	1.27%	0.09%
3M	1.27%	0.09%
6M	1.27%	0.09%
YTD	1.27%	0.09%
1Y	1.27%	0.09%
3Y (ann.)	30.46%	1.89%
5Y (ann.)	30.46%	1.89%
10Y (ann.)	30.46%	1.89%
All-time (ann.)	30.46%	1.89%
Best Day	0.95%	0.03%
Worst Day	-1.39%	-0.03%
Best Month	1.27%	0.09%
Worst Month	1.27%	0.09%
Best Year	1.27%	0.09%
Worst Year	1.27%	0.09%
Avg. Drawdown	-0.84%	-0.02%
Avg. Drawdown Days	3	2
Recovery Factor	0.93	3.39
Ulcer Index	0.0	0.0
Serenity Index	1.7	10.55
Avg. Up Month	1.27%	0.09%
Avg. Down Month	-	-
Win Days	77.78%	77.78%
Win Month	100.0%	100.0%
Win Quarter	100.0%	100.0%
Win Year	100.0%	100.0%
Beta	-	-0.0
Alpha	-	0.02
Correlation	-	-16.76%
Treynor Ratio	-	-19.94%