Torobot Performance

5 Jan, 2007 - 13 Feb, 2026

Key Performance Metrics

Metric	SPY	Strategy
Risk-Free Rate	4.0%	4.0%
Time in Market	97.0%	90.0%
Cumulative Return	584.45%	16,021.45%
CAGR﹪	10.21%	29.29%
Sharpe	0.4	1.05
Prob. Sharpe Ratio	43.64%	99.55%
Smart Sharpe	0.39	1.04
Sortino	0.55	1.58
Smart Sortino	0.55	1.56
Sortino/√2	0.39	1.11
Smart Sortino/√2	0.39	1.1
Omega	1.22	1.22
Max Drawdown	-55.19%	-29.98%
Max DD Date	2009-03-09	2008-10-02
Max DD Period Start	2007-10-10	2007-10-24
Max DD Period End	2012-08-15	2009-06-03
Longest DD Days	1772	589
Volatility (ann.)	19.37%	23.35%
R^2	0.27	0.27
Information Ratio	0.05	0.05
Calmar	0.18	0.98
Skew	0.0	0.29
Kurtosis	15.21	6.15
Expected Daily	0.04%	0.1%
Expected Monthly	0.84%	2.23%
Expected Yearly	10.09%	28.93%
Kelly Criterion	3.36%	8.63%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.96%	-2.31%
Expected Shortfall (cVaR)	-3.39%	-3.39%
Max Consecutive Wins	14	12
Max Consecutive Losses	8	8
Gain/Pain Ratio	0.13	0.26
Gain/Pain (1M)	0.79	2.03
Payoff Ratio	0.86	0.96
Profit Factor	1.13	1.26
Common Sense Ratio	1.04	1.37
CPC Index	0.54	0.67
Tail Ratio	0.92	1.09
Outlier Win Ratio	5.16	4.03
Outlier Loss Ratio	4.61	3.52
MTD	-1.48%	-1.71%
3M	0.06%	12.63%
6M	6.69%	24.01%
YTD	-0.02%	8.88%
1Y	14.32%	55.46%
3Y (ann.)	22.2%	60.65%
5Y (ann.)	12.86%	33.86%
10Y (ann.)	15.15%	37.95%
All-time (ann.)	10.21%	29.29%
Best Day	14.52%	13.43%
Worst Day	-10.94%	-9.46%
Best Month	12.7%	28.33%
Worst Month	-16.52%	-13.39%
Best Year	32.31%	83.76%
Worst Year	-36.79%	-15.15%
Avg. Drawdown	-1.78%	-3.02%
Avg. Drawdown Days	22	20
Recovery Factor	4.16	18.76
Ulcer Index	0.13	0.08
Serenity Index	0.69	3.57
Avg. Up Month	3.54%	5.62%
Avg. Down Month	-4.04%	-4.26%
Win Days	55.25%	55.24%
Win Month	66.09%	67.25%
Win Quarter	74.03%	74.03%
Win Year	80.0%	90.0%
Beta	-	0.62
Alpha	-	0.21
Correlation	-	51.84%
Treynor Ratio	-	25630.71%