| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 73.0% |
| Cumulative Return | 85.23% | 16.71% |
| CAGR﹪ | 13.2% | 3.16% |
| Sharpe | 0.81 | 1.22 |
| Prob. Sharpe Ratio | 96.46% | 99.55% |
| Smart Sharpe | 0.72 | 1.09 |
| Sortino | 1.17 | 1.71 |
| Smart Sortino | 1.05 | 1.53 |
| Sortino/√2 | 0.83 | 1.21 |
| Smart Sortino/√2 | 0.74 | 1.08 |
| Omega | 1.15 | 1.26 |
| Max Drawdown | -24.5% | -7.4% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2021-11-02 |
| Max DD Period End | 2023-12-12 | 2024-03-15 |
| Longest DD Days | 708 | 865 |
| Volatility (ann.) | 17.21% | 2.58% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.54 | 0.43 |
| Skew | 0.31 | -0.91 |
| Kurtosis | 8.92 | 8.01 |
| Ulcer Performance Index | 10.07 | 6.52 |
| Risk-Adjusted Return | 13.2% | 4.32% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.94% | 0.16% |
| Avg. Loss | -1.09% | -0.18% |
| Win/Loss Ratio | 0.86 | 0.9 |
| Profit Ratio | 0.82 | 0.26 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 1.02% | 0.25% |
| Expected Yearly | 10.82% | 2.61% |
| Kelly Criterion | 1.11% | 9.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.25% |
| Expected Shortfall (cVaR) | -2.58% | -0.44% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.15 | 0.26 |
| Gain/Pain (1M) | 0.85 | 1.15 |
| Payoff Ratio | 0.86 | 0.9 |
| Profit Factor | 1.15 | 1.26 |
| Common Sense Ratio | 1.17 | 1.29 |
| CPC Index | 0.54 | 0.65 |
| Tail Ratio | 1.01 | 1.03 |
| Outlier Win Ratio | 3.43 | 4.81 |
| Outlier Loss Ratio | 3.76 | 2.94 |
| MTD | 3.15% | 0.0% |
| 3M | 4.73% | 0.76% |
| 6M | 11.92% | 2.4% |
| YTD | 13.6% | 3.35% |
| 1Y | 22.27% | 5.88% |
| 3Y (ann.) | 22.32% | 5.52% |
| 5Y (ann.) | 13.41% | 3.17% |
| 10Y (ann.) | 13.2% | 3.16% |
| All-time (ann.) | 13.2% | 3.16% |
| Best Day | 10.5% | 0.78% |
| Worst Day | -5.85% | -1.35% |
| Best Month | 10.51% | 1.46% |
| Worst Month | -9.24% | -2.1% |
| Best Year | 26.18% | 8.02% |
| Worst Year | -18.18% | -3.29% |
| Avg. Drawdown | -1.86% | -0.35% |
| Avg. Drawdown Days | 20 | 25 |
| Recovery Factor | 2.82 | 2.11 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 0.18 |
| Avg. Up Month | 4.13% | 0.76% |
| Avg. Down Month | -4.48% | -0.97% |
| Win Days | 54.2% | 56.92% |
| Win Month | 63.93% | 71.67% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.07 |
| Alpha | - | 0.02 |
| Correlation | - | 46.39% |
| Treynor Ratio | - | 240.22% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 0.23 | 0.03 | - |
| 2022 | -18.18 | -3.29 | 0.18 | + |
| 2023 | 26.18 | 4.51 | 0.17 | - |
| 2024 | 24.89 | 3.19 | 0.13 | - |
| 2025 | 17.72 | 8.02 | 0.45 | - |
| 2026 | 13.60 | 3.35 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-02 | 2024-03-15 | -7.40 | 865 |
| 2024-10-17 | 2025-02-06 | -1.78 | 113 |
| 2024-04-04 | 2024-06-27 | -1.00 | 85 |
| 2021-08-13 | 2021-08-30 | -0.66 | 18 |
| 2025-04-03 | 2025-04-16 | -0.64 | 14 |
| 2026-07-16 | 2026-08-11 | -0.60 | 27 |
| 2021-09-07 | 2021-09-21 | -0.49 | 15 |
| 2026-02-04 | 2026-03-31 | -0.46 | 56 |
| 2021-09-28 | 2021-10-11 | -0.41 | 14 |
| 2024-09-03 | 2024-09-13 | -0.41 | 11 |