| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 80.68% | 20.17% |
| CAGR﹪ | 12.64% | 3.77% |
| Sharpe | 0.78 | 0.51 |
| Prob. Sharpe Ratio | 95.94% | 86.69% |
| Smart Sharpe | 0.73 | 0.48 |
| Sortino | 1.13 | 0.68 |
| Smart Sortino | 1.06 | 0.64 |
| Sortino/√2 | 0.8 | 0.48 |
| Smart Sortino/√2 | 0.75 | 0.46 |
| Omega | 1.15 | 1.09 |
| Max Drawdown | -26.35% | -14.59% |
| Max DD Date | 2022-10-12 | 2025-06-24 |
| Max DD Period Start | 2022-01-04 | 2022-09-28 |
| Max DD Period End | 2023-12-18 | 2026-05-11 |
| Longest DD Days | 714 | 1322 |
| Volatility (ann.) | 17.19% | 7.94% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.26 |
| Skew | 0.31 | -0.85 |
| Kurtosis | 8.99 | 4.15 |
| Ulcer Performance Index | 8.61 | 2.84 |
| Risk-Adjusted Return | 12.64% | 4.1% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.65% | 0.4% |
| Avg. Loss | -0.75% | -0.46% |
| Win/Loss Ratio | 0.86 | 0.87 |
| Profit Ratio | 0.82 | 0.59 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.97% | 0.3% |
| Expected Yearly | 10.36% | 3.11% |
| Kelly Criterion | 1.16% | 0.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.81% |
| Expected Shortfall (cVaR) | -2.58% | -1.19% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.09 |
| Gain/Pain (1M) | 0.79 | 0.43 |
| Payoff Ratio | 0.86 | 0.87 |
| Profit Factor | 1.15 | 1.09 |
| Common Sense Ratio | 1.15 | 1.05 |
| CPC Index | 0.54 | 0.51 |
| Tail Ratio | 1.0 | 0.96 |
| Outlier Win Ratio | 3.44 | 3.29 |
| Outlier Loss Ratio | 3.76 | 3.19 |
| MTD | 3.15% | 0.35% |
| 3M | 4.73% | -1.61% |
| 6M | 11.92% | 0.87% |
| YTD | 13.6% | 5.25% |
| 1Y | 22.27% | 12.79% |
| 3Y (ann.) | 22.32% | 1.41% |
| 5Y (ann.) | 12.85% | 4.04% |
| 10Y (ann.) | 12.64% | 3.77% |
| All-time (ann.) | 12.64% | 3.77% |
| Best Day | 10.5% | 1.63% |
| Worst Day | -5.85% | -3.84% |
| Best Month | 10.51% | 5.98% |
| Worst Month | -10.5% | -4.75% |
| Best Year | 26.18% | 17.38% |
| Worst Year | -20.18% | -3.27% |
| Avg. Drawdown | -1.9% | -2.43% |
| Avg. Drawdown Days | 20 | 98 |
| Recovery Factor | 2.52 | 1.37 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.37 | 0.11 |
| Avg. Up Month | 3.62% | 1.51% |
| Avg. Down Month | -2.53% | -1.77% |
| Win Days | 54.16% | 53.5% |
| Win Month | 63.93% | 57.38% |
| Win Quarter | 66.67% | 47.62% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.0 |
| Alpha | - | 0.04 |
| Correlation | - | 0.7% |
| Treynor Ratio | - | 6236.07% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -2.13 | -0.29 | - |
| 2022 | -20.18 | 17.38 | -0.86 | + |
| 2023 | 26.18 | -3.27 | -0.13 | - |
| 2024 | 24.89 | 1.12 | 0.04 | - |
| 2025 | 17.72 | 1.61 | 0.09 | - |
| 2026 | 13.60 | 5.25 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-28 | 2026-05-11 | -14.59 | 1322 |
| 2022-06-15 | 2022-09-19 | -5.88 | 97 |
| 2021-11-26 | 2022-03-02 | -5.23 | 97 |
| 2026-05-14 | 2026-08-11 | -4.66 | 90 |
| 2022-05-09 | 2022-06-03 | -2.38 | 26 |
| 2021-08-13 | 2021-09-24 | -1.88 | 43 |
| 2021-10-27 | 2021-11-23 | -1.68 | 28 |
| 2022-03-28 | 2022-04-04 | -1.49 | 8 |
| 2022-03-09 | 2022-03-21 | -1.35 | 13 |
| 2022-04-20 | 2022-04-27 | -1.21 | 8 |