Continuous-weight Max Sortino (Compounded)

31 Jan, 1996 - 31 Jul, 2026 (matched dates)

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%
Cumulative Return	1,933.88%	2,104.96%
CAGR﹪	10.35%	10.64%
Sharpe	0.73	1.44
Prob. Sharpe Ratio	99.99%	100.0%
Smart Sharpe	0.66	1.32
Sortino	1.11	2.81
Smart Sortino	1.02	2.57
Sortino/√2	0.79	1.99
Smart Sortino/√2	0.72	1.82
Omega	1.7	2.92
Max Drawdown	-50.78%	-8.1%
Max DD Date	2009-02-28	2004-04-30
Max DD Period Start	2007-11-30	2004-04-30
Max DD Period End	2012-02-29	2004-08-31
Longest DD Days	2223	704
Volatility (ann.)	15.22%	7.24%
R^2	0.2	0.2
Information Ratio	-0.01	-0.01
Calmar	0.2	1.31
Skew	-0.53	-0.05
Kurtosis	0.82	1.27
Ulcer Performance Index	131.84	916.79
Risk-Adjusted Return	691.33%	736.46%
Risk-Return Ratio	0.21	0.42
Avg. Return	0.92%	0.87%
Avg. Win	3.52%	2.06%
Avg. Loss	-3.89%	-1.69%
Win/Loss Ratio	0.9	1.22
Profit Ratio	0.51	0.66
Expected Daily	0.82%	0.85%
Expected Monthly	0.82%	0.85%
Expected Yearly	10.21%	10.49%
Kelly Criterion	25.16%	41.43%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.31%	-2.57%
Expected Shortfall (cVaR)	-9.08%	-3.81%
Max Consecutive Wins	15	12
Max Consecutive Losses	5	3
Gain/Pain Ratio	0.7	1.92
Gain/Pain (1M)	0.7	1.92
Payoff Ratio	0.9	1.22
Profit Factor	1.7	2.92
Common Sense Ratio	1.81	5.53
CPC Index	0.99	2.41
Tail Ratio	1.06	1.89
Outlier Win Ratio	2.93	3.09
Outlier Loss Ratio	2.86	2.77
MTD	-1.05%	-2.09%
3M	13.91%	-1.67%
6M	8.94%	7.79%
YTD	8.94%	7.79%
1Y	20.92%	16.32%
3Y (ann.)	18.77%	11.51%
5Y (ann.)	12.51%	8.98%
10Y (ann.)	15.13%	9.3%
All-time (ann.)	10.35%	10.64%
Best Day	12.7%	8.78%
Worst Day	-16.52%	-8.1%
Best Month	12.7%	8.78%
Worst Month	-16.52%	-8.1%
Best Year	33.48%	26.99%
Worst Year	-36.79%	-4.05%
Avg. Drawdown	-7.01%	-2.21%
Avg. Drawdown Days	140	63
Recovery Factor	6.66	39.32
Ulcer Index	0.15	0.02
Serenity Index	2.76	46.0
Avg. Up Month	3.52%	2.06%
Avg. Down Month	-3.89%	-1.69%
Win Days	64.48%	67.85%
Win Month	64.48%	67.85%
Win Quarter	72.36%	78.05%
Win Year	80.65%	96.77%
Beta	-	0.21
Alpha	-	0.08
Correlation	-	45.1%
Treynor Ratio	-	9811.18%