SPY - RSI 14 DAYS vs Buy and Hold
17 Oct, 2014 - 5 Jul, 2024

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

Period: 14 days.

Overbought: 70

Oversold: 30

Conditions

Entry at the current day close price.

Entry only if we go from oversold to the "trade zone" (RSI crosses > 30)

Exit only if we go from the "trade zone" to overbought (RSI crosses > 70)

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%	43.0%

Cumulative Return	197.76%	101.85%
CAGR﹪	8.06%	5.11%

Sharpe	0.61	0.43
Prob. Sharpe Ratio	89.31%	77.65%
Smart Sharpe	0.51	0.36
Sortino	0.85	0.61
Smart Sortino	0.71	0.51
Sortino/√2	0.6	0.43
Smart Sortino/√2	0.5	0.36
Omega	1.13	1.13

Max Drawdown	-34.1%	-28.74%
Longest DD Days	745	694
Volatility (ann.)	17.75%	14.77%
R^2	0.69	0.69
Information Ratio	-0.03	-0.03
Calmar	0.24	0.18
Skew	-0.55	-0.42
Kurtosis	12.73	27.01

Expected Daily	0.04%	0.03%
Expected Monthly	0.93%	0.6%
Expected Yearly	10.43%	6.59%
Kelly Criterion	10.12%	8.12%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.79%	-1.5%
Expected Shortfall (cVaR)	-1.79%	-1.5%

Max Consecutive Wins	10	8
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.15	0.18
Gain/Pain (1M)	0.83	1.19

Payoff Ratio	1.03	1.03
Profit Factor	1.15	1.18
Common Sense Ratio	1.08	1.34
CPC Index	0.64	0.65
Tail Ratio	0.94	1.14
Outlier Win Ratio	3.67	9.72
Outlier Loss Ratio	4.06	3.28

MTD	1.91%	0.0%
3M	8.1%	0.0%
6M	18.7%	0.0%
YTD	16.69%	0.0%
1Y	24.98%	6.93%
3Y (ann.)	5.69%	5.06%
5Y (ann.)	9.39%	4.9%
10Y (ann.)	8.06%	5.11%
All-time (ann.)	8.06%	5.11%

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%	20.51%
Worst Year	-19.48%	0.0%

Avg. Drawdown	-1.72%	-3.3%
Avg. Drawdown Days	20	38
Recovery Factor	3.65	2.81
Ulcer Index	0.08	0.04
Serenity Index	1.19	2.13

Avg. Up Month	3.95%	3.74%
Avg. Down Month	-4.78%	-3.96%
Win Days	54.43%	53.42%
Win Month	66.95%	68.97%
Win Quarter	77.5%	82.61%
Win Year	72.73%	100.0%

Beta	-	0.69
Alpha	-	-0.01
Correlation	-	83.12%
Treynor Ratio	-	144.42%

EOY Returns vs Benchmark

Year	benchmark_returns	Strategy	Multiplier	Won
2014	10.35	9.72	0.94	-
2015	-0.81	8.86	-10.91	+
2016	9.64	8.26	0.86	-
2017	19.38	0.00	0.00	-
2018	-6.35	0.05	-0.01	+
2019	28.79	20.51	0.71	-
2020	16.16	5.10	0.32	-
2021	27.04	0.00	0.00	-
2022	-19.48	2.50	-0.13	+
2023	24.29	20.20	0.83	-
2024	16.69	0.00	0.00	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2020-03-05	2022-01-27	-28.74	694
2022-03-30	2022-11-21	-20.73	237
2018-11-08	2019-08-05	-16.61	271
2015-11-04	2016-06-03	-13.34	213
2022-02-10	2022-03-28	-9.02	47
2018-03-12	2018-06-11	-7.67	92
2022-12-01	2023-01-31	-7.61	62
2023-02-03	2023-05-17	-7.54	104
2015-09-17	2015-10-07	-6.08	21
2016-06-09	2016-07-07	-6.01	29