| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 198.2% | 43.57% |
| CAGR﹪ | 16.48% | 5.18% |
| Sharpe | 0.87 | 0.69 |
| Prob. Sharpe Ratio | 98.96% | 96.48% |
| Smart Sharpe | 0.83 | 0.65 |
| Sortino | 1.24 | 0.94 |
| Smart Sortino | 1.17 | 0.89 |
| Sortino/√2 | 0.87 | 0.66 |
| Smart Sortino/√2 | 0.83 | 0.63 |
| Omega | 1.18 | 1.12 |
| Max Drawdown | -33.72% | -14.59% |
| Max DD Date | 2020-03-23 | 2025-06-24 |
| Max DD Period Start | 2020-02-20 | 2022-09-28 |
| Max DD Period End | 2020-08-07 | 2026-05-11 |
| Longest DD Days | 714 | 1322 |
| Volatility (ann.) | 19.66% | 7.78% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.35 |
| Skew | -0.29 | -0.78 |
| Kurtosis | 13.76 | 3.6 |
| Ulcer Performance Index | 22.77 | 6.98 |
| Risk-Adjusted Return | 16.48% | 5.69% |
| Risk-Return Ratio | 0.06 | 0.04 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.7% | 0.39% |
| Avg. Loss | -0.82% | -0.46% |
| Win/Loss Ratio | 0.85 | 0.84 |
| Profit Ratio | 0.76 | 0.54 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.26% | 0.42% |
| Expected Yearly | 14.63% | 4.62% |
| Kelly Criterion | 3.15% | 1.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.79% |
| Expected Shortfall (cVaR) | -3.23% | -1.15% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.12 |
| Gain/Pain (1M) | 1.12 | 0.63 |
| Payoff Ratio | 0.85 | 0.84 |
| Profit Factor | 1.18 | 1.12 |
| Common Sense Ratio | 1.13 | 1.05 |
| CPC Index | 0.56 | 0.52 |
| Tail Ratio | 0.96 | 0.93 |
| Outlier Win Ratio | 3.7 | 3.33 |
| Outlier Loss Ratio | 4.08 | 3.25 |
| 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.) | 16.48% | 5.18% |
| All-time (ann.) | 16.48% | 5.18% |
| Best Day | 10.5% | 1.97% |
| Worst Day | -10.94% | -3.84% |
| Best Month | 12.7% | 5.98% |
| Worst Month | -12.49% | -4.75% |
| Best Year | 28.73% | 17.38% |
| Worst Year | -20.18% | -3.27% |
| Avg. Drawdown | -1.8% | -2.07% |
| Avg. Drawdown Days | 16 | 86 |
| Recovery Factor | 3.65 | 2.63 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.86 | 0.23 |
| Avg. Up Month | 3.96% | 1.7% |
| Avg. Down Month | -2.31% | -1.46% |
| Win Days | 55.41% | 55.0% |
| Win Month | 66.67% | 56.32% |
| Win Quarter | 76.67% | 53.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.0 |
| Alpha | - | 0.05 |
| Correlation | - | 1.06% |
| Treynor Ratio | - | 10419.04% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.81 | 0.29 | - |
| 2020 | 18.33 | 7.92 | 0.43 | - |
| 2021 | 28.73 | 3.37 | 0.12 | - |
| 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 |
| 2019-09-04 | 2020-12-16 | -7.58 | 470 |
| 2022-06-15 | 2022-09-19 | -5.88 | 97 |
| 2021-05-10 | 2022-03-03 | -5.75 | 298 |
| 2026-05-14 | 2026-08-11 | -4.66 | 90 |
| 2021-01-15 | 2021-02-08 | -2.54 | 25 |
| 2021-02-25 | 2021-04-23 | -2.53 | 58 |
| 2019-07-05 | 2019-07-26 | -2.43 | 22 |
| 2022-05-09 | 2022-06-03 | -2.38 | 26 |
| 2019-06-19 | 2019-07-01 | -1.86 | 13 |