Tearsheet (generated by QuantStats)

Key Performance Metrics

Metric	benchmark	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	71.0%

Cumulative Return	2,964.41%	861.93%
CAGR﹪	10.78%	7.0%

Sharpe	0.64	0.46
Prob. Sharpe Ratio	99.99%	99.55%
Smart Sharpe	0.6	0.43
Sortino	0.92	0.63
Smart Sortino	0.86	0.59
Sortino/√2	0.65	0.45
Smart Sortino/√2	0.61	0.42
Omega	1.13	1.11

Max Drawdown	-55.19%	-71.53%
Max DD Date	2009-03-09	2009-03-02
Max DD Period Start	2007-10-10	1999-05-14
Max DD Period End	2012-08-15	2020-05-29
Longest DD Days	2404	7687
Volatility (ann.)	18.56%	18.74%
R^2	0.58	0.58
Information Ratio	-0.02	-0.02
Calmar	0.2	0.1
Skew	-0.01	-0.39
Kurtosis	11.84	11.12
Ulcer Performance Index	205.02	24.33
Risk-Adjusted Return	10.78%	9.86%
Risk-Return Ratio	0.04	0.03

Avg. Return	0.04%	0.05%
Avg. Win	0.74%	0.9%
Avg. Loss	-0.8%	-0.98%
Win/Loss Ratio	0.92	0.92
Profit Ratio	0.77	0.24

Expected Daily	0.04%	0.03%
Expected Monthly	0.85%	0.56%
Expected Yearly	10.59%	6.88%
Kelly Criterion	5.24%	5.33%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.88%	-1.91%
Expected Shortfall (cVaR)	-2.86%	-3.17%

Max Consecutive Wins	14	12
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.13	0.11
Gain/Pain (1M)	0.83	0.6

Payoff Ratio	0.92	0.92
Profit Factor	1.13	1.11
Common Sense Ratio	1.06	1.05
CPC Index	0.57	0.56
Tail Ratio	0.94	0.95
Outlier Win Ratio	4.26	6.59
Outlier Loss Ratio	3.95	3.91

MTD	-1.05%	0.0%
3M	4.57%	5.68%
6M	7.78%	15.67%
YTD	8.94%	18.07%
1Y	17.8%	20.93%
3Y (ann.)	20.83%	27.53%
5Y (ann.)	12.34%	13.99%
10Y (ann.)	14.89%	18.0%
All-time (ann.)	10.78%	7.0%

Best Day	14.52%	11.62%
Worst Day	-10.94%	-10.56%
Best Month	12.7%	16.32%
Worst Month	-16.52%	-21.09%
Best Year	38.05%	42.85%
Worst Year	-36.79%	-30.78%

Avg. Drawdown	-1.88%	-2.35%
Avg. Drawdown Days	25	60
Recovery Factor	7.25	3.99
Ulcer Index	0.14	0.35
Serenity Index	0.87	0.14

Avg. Up Month	3.35%	3.96%
Avg. Down Month	-3.68%	-4.55%
Win Days	54.48%	54.63%
Win Month	65.17%	63.06%
Win Quarter	73.33%	66.92%
Win Year	82.35%	79.41%

Beta	-	0.77
Alpha	-	-0.01
Correlation	-	76.26%
Treynor Ratio	-	1119.35%

EOY Returns vs Benchmark

Year	benchmark	Strategy	Multiplier	Won
1993	8.71	9.86	1.13	+
1994	0.40	4.28	10.78	+
1995	38.05	42.36	1.11	+
1996	22.50	16.77	0.75	-
1997	33.48	34.61	1.03	+
1998	28.69	8.73	0.30	-
1999	20.39	2.00	0.10	-
2000	-9.74	-23.52	2.41	-
2001	-11.76	-12.20	1.04	-
2002	-21.58	-30.78	1.43	-
2003	28.18	8.56	0.30	-
2004	10.70	11.92	1.11	+
2005	4.83	7.07	1.46	+
2006	15.85	10.40	0.66	-
2007	5.15	12.29	2.39	+
2008	-36.79	-28.53	0.78	+
2009	26.35	-15.43	-0.59	-
2010	15.06	5.18	0.34	-
2011	1.89	-3.56	-1.88	-
2012	15.99	12.38	0.77	-
2013	32.31	21.69	0.67	-
2014	13.46	5.31	0.39	-
2015	1.23	3.14	2.55	+
2016	12.00	0.65	0.05	-
2017	21.71	13.01	0.60	-
2018	-4.57	12.42	-2.72	+
2019	31.22	13.77	0.44	-
2020	18.33	42.85	2.34	+
2021	28.73	33.92	1.18	+
2022	-18.18	-24.91	1.37	-
2023	26.18	29.39	1.12	+
2024	24.89	20.26	0.81	-
2025	17.72	29.08	1.64	+
2026	8.94	18.07	2.02	+

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
1999-05-14	2020-05-29	-71.53	7687
2022-01-04	2024-01-22	-28.32	749
1998-07-21	1999-01-05	-19.03	169
2025-01-24	2025-05-09	-14.67	106
1997-08-07	1998-01-30	-13.84	177
1999-01-11	1999-04-01	-10.04	81
2020-09-03	2020-11-06	-9.44	65
1997-02-19	1997-05-01	-9.07	72
2024-07-17	2024-09-18	-8.41	64
1994-08-31	1995-01-26	-8.12	149

recessionalert-sp500-seasonal-four_cycle-lbexpanding-lag1 (Compounded)
1 Feb, 1993 - 24 Jul, 2026

Benchmark: BENCHMARK • Periods/Year: 252 • RF: 0.0% | Generated by QuantStats (v. 0.0.81)

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

recessionalert-sp500-seasonal-four_cycle-lbexpanding-lag1 (Compounded) 1 Feb, 1993 - 24 Jul, 2026

Benchmark: BENCHMARK • Periods/Year: 252 • RF: 0.0% | Generated by QuantStats (v. 0.0.81)

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

recessionalert-sp500-seasonal-four_cycle-lbexpanding-lag1 (Compounded)
1 Feb, 1993 - 24 Jul, 2026