InsiderTradingModel_Live Compared to SPY

18 Mar, 2023 - 10 Nov, 2023

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	5.25%	5.25%
Time in Market	82.0%	85.0%
Cumulative Return	13.82%	129.4%
CAGR﹪	14.75%	141.77%
Sharpe	1.06	6.04
Prob. Sharpe Ratio	72.84%	100.0%
Smart Sharpe	1.0	5.72
Sortino	1.6	14.35
Smart Sortino	1.52	13.59
Sortino/√2	1.13	10.14
Smart Sortino/√2	1.07	9.61
Omega	3.13	3.13
Max Drawdown	-9.97%	-4.41%
Longest DD Days	102	23
Volatility (ann.)	11.17%	16.75%
R^2	0.01	0.01
Information Ratio	0.29	0.29
Calmar	1.48	32.12
Skew	0.06	0.75
Kurtosis	0.3	1.01
Expected Daily	0.06%	0.42%
Expected Monthly	1.45%	9.66%
Expected Yearly	13.82%	129.4%
Kelly Criterion	12.26%	42.62%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.09%	-1.31%
Expected Shortfall (cVaR)	-1.09%	-1.31%
Max Consecutive Wins	5	6
Max Consecutive Losses	4	4
Gain/Pain Ratio	0.3	2.35
Gain/Pain (1M)	1.58	-
Payoff Ratio	1.03	1.26
Profit Factor	1.3	3.35
Common Sense Ratio	1.41	6.94
CPC Index	0.75	2.86
Tail Ratio	1.08	2.07
Outlier Win Ratio	5.97	3.29
Outlier Loss Ratio	2.72	2.47
MTD	5.36%	9.64%
3M	-0.79%	31.79%
6M	8.02%	91.35%
YTD	13.82%	129.4%
1Y	13.82%	129.4%
3Y (ann.)	14.75%	141.77%
5Y (ann.)	14.75%	141.77%
10Y (ann.)	14.75%	141.77%
All-time (ann.)	14.75%	141.77%
Best Day	1.99%	3.86%
Worst Day	-1.7%	-2.18%
Best Month	6.48%	19.75%
Worst Month	-4.73%	2.68%
Best Year	13.82%	129.4%
Worst Year	13.82%	129.4%
Avg. Drawdown	-1.7%	-1.37%
Avg. Drawdown Days	12	7
Recovery Factor	1.35	19.1
Ulcer Index	0.03	0.01
Serenity Index	0.27	28.25
Avg. Up Month	3.69%	11.6%
Avg. Down Month	-	-
Win Days	55.49%	68.05%
Win Month	66.67%	100.0%
Win Quarter	75.0%	100.0%
Win Year	100.0%	100.0%
Beta	-	0.13
Alpha	-	1.04
Correlation	-	8.72%
Treynor Ratio	-	949.54%