| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 52.0% |
| Cumulative Return | 79.25% | 38.84% |
| CAGR﹪ | 22.18% | 11.93% |
| Sharpe | 1.37 | 1.51 |
| Prob. Sharpe Ratio | 99.16% | 97.55% |
| Smart Sharpe | 0.85 | 0.94 |
| Sortino | 2.05 | 2.15 |
| Smart Sortino | 1.28 | 1.34 |
| Sortino/√2 | 1.45 | 1.52 |
| Smart Sortino/√2 | 0.9 | 0.95 |
| Omega | 1.29 | 2.94 |
| Max Drawdown | -18.76% | -8.8% |
| Max DD Date | 2025-04-08 | 2023-12-08 |
| Max DD Period Start | 2025-02-20 | 2023-12-08 |
| Max DD Period End | 2025-06-25 | 2024-08-29 |
| Longest DD Days | 126 | 266 |
| Volatility (ann.) | 15.46% | 7.67% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 1.18 | 1.36 |
| Skew | 0.9 | -0.34 |
| Kurtosis | 20.77 | 299.47 |
| Ulcer Performance Index | 23.32 | 14.7 |
| Risk-Adjusted Return | 22.18% | 22.93% |
| Risk-Return Ratio | 0.09 | 0.09 |
| Avg. Return | 0.12% | 0.09% |
| Avg. Win | 0.62% | 0.18% |
| Avg. Loss | -0.81% | -0.1% |
| Win/Loss Ratio | 0.76 | 1.8 |
| Profit Ratio | 0.73 | 0.01 |
| Expected Daily | 0.08% | 0.04% |
| Expected Monthly | 1.63% | 0.92% |
| Expected Yearly | 15.71% | 8.55% |
| Kelly Criterion | 0.95% | 81.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.52% | -0.75% |
| Expected Shortfall (cVaR) | -2.18% | -3.13% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 3 |
| Gain/Pain Ratio | 0.29 | 1.94 |
| Gain/Pain (1M) | 2.32 | 24.22 |
| Payoff Ratio | 0.76 | 1.8 |
| Profit Factor | 1.29 | 2.94 |
| Common Sense Ratio | 1.24 | 6.11 |
| CPC Index | 0.56 | 4.67 |
| Tail Ratio | 0.96 | 2.08 |
| Outlier Win Ratio | 3.22 | 5.9 |
| Outlier Loss Ratio | 3.76 | 0.7 |
| MTD | 3.15% | 0.52% |
| 3M | 4.73% | 3.13% |
| 6M | 11.92% | 4.25% |
| YTD | 13.6% | 4.91% |
| 1Y | 22.27% | 11.0% |
| 3Y (ann.) | 22.32% | 11.89% |
| 5Y (ann.) | 22.18% | 11.93% |
| 10Y (ann.) | 22.18% | 11.93% |
| All-time (ann.) | 22.18% | 11.93% |
| Best Day | 10.5% | 8.78% |
| Worst Day | -5.85% | -8.8% |
| Best Month | 10.51% | 2.67% |
| Worst Month | -5.57% | -1.39% |
| Best Year | 24.89% | 15.78% |
| Worst Year | 7.33% | 2.71% |
| Avg. Drawdown | -1.61% | -0.53% |
| Avg. Drawdown Days | 11 | 13 |
| Recovery Factor | 3.3 | 3.83 |
| Ulcer Index | 0.03 | 0.03 |
| Serenity Index | 1.82 | 0.87 |
| Avg. Up Month | 3.46% | 1.16% |
| Avg. Down Month | - | - |
| Win Days | 57.08% | 88.27% |
| Win Month | 69.44% | 94.44% |
| Win Quarter | 76.92% | 100.0% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.12 |
| Correlation | - | 0.24% |
| Treynor Ratio | - | 33106.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 7.33 | 2.71 | 0.37 | - |
| 2024 | 24.89 | 15.78 | 0.63 | - |
| 2025 | 17.72 | 11.30 | 0.64 | - |
| 2026 | 13.60 | 4.91 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-12-08 | 2024-08-29 | -8.80 | 266 |
| 2024-10-07 | 2024-10-22 | -2.94 | 16 |
| 2024-12-20 | 2024-12-20 | -0.28 | 1 |
| 2023-09-11 | 2023-09-18 | -0.18 | 8 |
| 2025-04-25 | 2025-05-06 | -0.18 | 12 |
| 2025-01-16 | 2025-01-22 | -0.09 | 7 |
| 2025-03-07 | 2025-03-07 | -0.09 | 1 |
| 2025-12-12 | 2025-12-12 | -0.09 | 1 |
| 2025-12-22 | 2025-12-22 | -0.09 | 1 |
| 2026-01-09 | 2026-01-09 | -0.09 | 1 |