SPY - SMA Crossover vs Buy and Hold
15 Sep, 2014 - 5 Jul, 2024

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

Long period: 50 days.

Short period: 20 days.

Conditions:

Entry 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%	69.0%

Cumulative Return	178.44%	76.47%
CAGR﹪	7.47%	4.08%

Sharpe	0.57	0.4
Prob. Sharpe Ratio	86.75%	78.49%
Smart Sharpe	0.55	0.38
Sortino	0.79	0.53
Smart Sortino	0.76	0.52
Sortino/√2	0.56	0.38
Smart Sortino/√2	0.54	0.37
Omega	1.09	1.09

Max Drawdown	-34.1%	-28.46%
Longest DD Days	745	1037
Volatility (ann.)	17.74%	11.19%
R^2	0.4	0.4
Information Ratio	-0.03	-0.03
Calmar	0.22	0.14
Skew	-0.54	-0.98
Kurtosis	12.65	7.66

Expected Daily	0.04%	0.02%
Expected Monthly	0.86%	0.48%
Expected Yearly	9.76%	5.3%
Kelly Criterion	5.56%	6.4%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.79%	-1.13%
Expected Shortfall (cVaR)	-1.79%	-1.13%

Max Consecutive Wins	10	8
Max Consecutive Losses	8	7
Gain/Pain Ratio	0.14	0.13
Gain/Pain (1M)	0.78	0.63

Payoff Ratio	0.94	0.94
Profit Factor	1.14	1.13
Common Sense Ratio	1.07	1.22
CPC Index	0.58	0.58
Tail Ratio	0.94	1.08
Outlier Win Ratio	3.06	6.98
Outlier Loss Ratio	3.72	4.52

MTD	1.88%	1.88%
3M	8.07%	3.16%
6M	18.65%	13.27%
YTD	16.65%	11.35%
1Y	24.94%	16.4%
3Y (ann.)	5.68%	-1.37%
5Y (ann.)	9.38%	4.44%
10Y (ann.)	7.47%	4.08%
All-time (ann.)	7.47%	4.08%

Best Day	9.06%	4.33%
Worst Day	-10.94%	-5.76%
Best Month	12.7%	10.88%
Worst Month	-13.0%	-9.03%
Best Year	28.79%	20.42%
Worst Year	-19.48%	-22.48%

Avg. Drawdown	-1.8%	-1.81%
Avg. Drawdown Days	21	35
Recovery Factor	3.46	2.21
Ulcer Index	0.08	0.1
Serenity Index	1.13	0.22

Avg. Up Month	3.28%	2.51%
Avg. Down Month	-3.41%	-3.37%
Win Days	54.26%	54.67%
Win Month	66.39%	65.35%
Win Quarter	75.61%	63.41%
Win Year	72.73%	72.73%

Beta	-	0.4
Alpha	-	0.02
Correlation	-	63.05%
Treynor Ratio	-	187.14%

EOY Returns vs Benchmark

Year	benchmark_returns	Strategy	Multiplier	Won
2014	3.22	-2.56	-0.80	-
2015	-0.81	-1.91	2.35	-
2016	9.64	8.43	0.87	-
2017	19.38	17.03	0.88	-
2018	-6.35	2.13	-0.34	+
2019	28.79	8.50	0.30	-
2020	16.16	18.53	1.15	+
2021	27.04	20.42	0.76	-
2022	-19.48	-22.48	1.15	-
2023	24.29	6.58	0.27	-
2024	16.65	11.35	0.68	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2021-09-03	2024-07-05	-28.46	1037
2020-02-20	2020-06-05	-12.44	107
2020-09-03	2020-12-03	-11.64	92
2019-05-06	2019-12-31	-10.86	240
2018-01-29	2018-08-24	-10.10	208
2014-09-19	2016-06-07	-7.93	628
2018-09-21	2019-04-11	-7.29	203
2020-06-09	2020-07-17	-7.16	39
2016-06-09	2016-07-07	-6.01	29
2021-02-16	2021-03-10	-4.06	23