SPY - Bollinger Bands (2.2, 1.2) vs Buy and Hold
8 Aug, 2014 - 5 Jul, 2024

Benchmark is BENCHMARK_RETURNS | Generated by QuantStats (v. 0.0.62)

STD deviation above: 2.2

STD deviation below: 1.2

Conditions:

Entry at the current day close price.

Exist at the current day close price.

Only long positions.

Only one entry at a time.

No commissions.

1000 Eur available.

Key Performance Metrics

Metric	benchmark_returns	Strategy
Risk-Free Rate	2.0%	2.0%
Time in Market	100.0%	71.0%

Cumulative Return	190.34%	177.87%
CAGR﹪	7.7%	7.38%

Sharpe	0.59	0.6
Prob. Sharpe Ratio	88.14%	89.32%
Smart Sharpe	0.51	0.52
Sortino	0.81	0.84
Smart Sortino	0.71	0.73
Sortino/√2	0.58	0.59
Smart Sortino/√2	0.5	0.52
Omega	1.14	1.14

Max Drawdown	-34.1%	-34.1%
Longest DD Days	745	840
Volatility (ann.)	17.66%	16.2%
R^2	0.84	0.84
Information Ratio	-0.01	-0.01
Calmar	0.23	0.22
Skew	-0.55	-0.49
Kurtosis	12.76	18.07

Expected Daily	0.04%	0.04%
Expected Monthly	0.89%	0.86%
Expected Yearly	10.17%	9.74%
Kelly Criterion	7.87%	8.19%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.78%	-1.63%
Expected Shortfall (cVaR)	-1.78%	-1.63%

Max Consecutive Wins	10	10
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.14	0.18
Gain/Pain (1M)	0.81	1.04

Payoff Ratio	0.99	0.99
Profit Factor	1.14	1.18
Common Sense Ratio	1.08	1.17
CPC Index	0.61	0.63
Tail Ratio	0.94	1.0
Outlier Win Ratio	3.67	5.8
Outlier Loss Ratio	4.14	3.83

MTD	1.91%	0.0%
3M	8.1%	7.45%
6M	18.7%	7.45%
YTD	16.69%	7.45%
1Y	24.98%	11.39%
3Y (ann.)	5.69%	3.75%
5Y (ann.)	9.39%	8.88%
10Y (ann.)	7.7%	7.38%
All-time (ann.)	7.7%	7.38%

Best Day	9.06%	9.06%
Worst Day	-10.94%	-10.94%
Best Month	12.7%	12.7%
Worst Month	-13.0%	-13.0%
Best Year	28.79%	28.75%
Worst Year	-19.48%	-15.63%

Avg. Drawdown	-1.74%	-1.97%
Avg. Drawdown Days	20	24
Recovery Factor	3.58	3.38
Ulcer Index	0.08	0.07
Serenity Index	1.18	1.27

Avg. Up Month	3.55%	3.14%
Avg. Down Month	-4.36%	-3.95%
Win Days	54.28%	54.44%
Win Month	66.67%	72.64%
Win Quarter	78.05%	74.36%
Win Year	72.73%	81.82%

Beta	-	0.84
Alpha	-	0.01
Correlation	-	91.73%
Treynor Ratio	-	208.97%

EOY Returns vs Benchmark

Year	benchmark_returns	Strategy	Multiplier	Won
2014	7.60	9.08	1.20	+
2015	-0.81	-0.81	1.00	+
2016	9.64	9.96	1.03	+
2017	19.38	8.68	0.45	-
2018	-6.35	0.08	-0.01	+
2019	28.79	25.81	0.90	-
2020	16.16	28.75	1.78	+
2021	27.04	23.08	0.85	-
2022	-19.48	-15.63	0.80	+
2023	24.29	18.80	0.77	-
2024	16.69	7.45	0.45	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2020-02-20	2020-08-20	-34.10	183
2022-01-04	2024-04-22	-24.59	840
2018-11-08	2019-03-12	-16.61	125
2015-05-22	2016-07-07	-14.35	413
2018-03-12	2018-07-05	-7.67	116
2014-09-25	2014-10-30	-6.66	36
2019-05-06	2019-06-19	-6.62	45
2019-07-29	2019-10-25	-6.02	89
2018-10-18	2018-11-06	-5.92	20
2020-09-16	2020-10-06	-5.15	21