Golden Ratio (Compounded)

31 Aug, 2001 - 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	856.36%	779.19%
CAGR﹪	9.45%	9.08%
Sharpe	0.68	1.07
Prob. Sharpe Ratio	99.94%	100.0%
Smart Sharpe	0.63	0.98
Sortino	1.03	1.81
Smart Sortino	0.94	1.66
Sortino/√2	0.73	1.28
Smart Sortino/√2	0.67	1.18
Omega	1.66	2.24
Max Drawdown	-50.78%	-16.75%
Max DD Date	2009-02-28	2022-09-30
Max DD Period Start	2007-11-30	2022-01-31
Max DD Period End	2012-02-29	2023-11-30
Longest DD Days	1553	669
Volatility (ann.)	14.95%	8.46%
R^2	0.61	0.61
Information Ratio	-0.03	-0.03
Calmar	0.19	0.54
Skew	-0.52	-0.41
Kurtosis	0.98	1.7
Ulcer Performance Index	69.63	210.96
Risk-Adjusted Return	566.38%	520.91%
Risk-Return Ratio	0.2	0.31
Avg. Return	0.85%	0.76%
Avg. Win	3.62%	2.27%
Avg. Loss	-4.42%	-2.29%
Win/Loss Ratio	0.82	0.99
Profit Ratio	0.45	0.61
Expected Daily	0.76%	0.73%
Expected Monthly	0.76%	0.73%
Expected Yearly	9.07%	8.72%
Kelly Criterion	23.57%	31.0%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.25%	-3.26%
Expected Shortfall (cVaR)	-8.89%	-4.93%
Max Consecutive Wins	15	11
Max Consecutive Losses	5	4
Gain/Pain Ratio	0.66	1.24
Gain/Pain (1M)	0.66	1.24
Payoff Ratio	0.82	0.99
Profit Factor	1.66	2.24
Common Sense Ratio	1.68	3.05
CPC Index	0.89	1.46
Tail Ratio	1.01	1.36
Outlier Win Ratio	3.23	3.05
Outlier Loss Ratio	2.8	3.38
MTD	-1.05%	-0.89%
3M	13.91%	3.52%
6M	8.94%	5.55%
YTD	8.94%	5.55%
1Y	20.92%	18.25%
3Y (ann.)	18.77%	13.6%
5Y (ann.)	12.51%	8.04%
10Y (ann.)	15.13%	9.62%
All-time (ann.)	9.45%	9.08%
Best Day	12.7%	9.27%
Worst Day	-16.52%	-10.44%
Best Month	12.7%	9.27%
Worst Month	-16.52%	-10.44%
Best Year	32.31%	21.86%
Worst Year	-36.79%	-13.85%
Avg. Drawdown	-6.69%	-2.89%
Avg. Drawdown Days	135	74
Recovery Factor	5.02	13.56
Ulcer Index	0.12	0.04
Serenity Index	2.82	13.86
Avg. Up Month	3.62%	2.27%
Avg. Down Month	-4.42%	-2.29%
Win Days	65.55%	65.67%
Win Month	65.55%	65.67%
Win Quarter	72.28%	72.28%
Win Year	80.77%	84.62%
Beta	-	0.44
Alpha	-	0.05
Correlation	-	77.94%
Treynor Ratio	-	1766.83%