| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 82.28% | 24.23% |
| CAGR﹪ | 12.89% | 4.48% |
| Sharpe | 0.79 | 0.5 |
| Prob. Sharpe Ratio | 96.14% | 86.56% |
| Smart Sharpe | 0.72 | 0.46 |
| Sortino | 1.15 | 0.69 |
| Smart Sortino | 1.04 | 0.62 |
| Sortino/√2 | 0.81 | 0.48 |
| Smart Sortino/√2 | 0.74 | 0.44 |
| Omega | 1.15 | 1.09 |
| Max Drawdown | -24.5% | -21.65% |
| Max DD Date | 2022-10-12 | 2025-05-14 |
| Max DD Period Start | 2022-01-04 | 2024-04-16 |
| Max DD Period End | 2023-12-12 | 2026-01-26 |
| Longest DD Days | 708 | 651 |
| Volatility (ann.) | 17.22% | 9.65% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.53 | 0.21 |
| Skew | 0.32 | -0.63 |
| Kurtosis | 8.94 | 2.9 |
| Ulcer Performance Index | 9.7 | 2.79 |
| Risk-Adjusted Return | 12.89% | 4.87% |
| Risk-Return Ratio | 0.05 | 0.03 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.65% | 0.48% |
| Avg. Loss | -0.77% | -0.55% |
| Win/Loss Ratio | 0.84 | 0.87 |
| Profit Ratio | 0.82 | 0.57 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.99% | 0.36% |
| Expected Yearly | 10.52% | 3.68% |
| Kelly Criterion | -0.52% | 2.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.98% |
| Expected Shortfall (cVaR) | -2.58% | -1.51% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.09 |
| Gain/Pain (1M) | 0.83 | 0.41 |
| Payoff Ratio | 0.84 | 0.87 |
| Profit Factor | 1.15 | 1.09 |
| Common Sense Ratio | 1.16 | 1.12 |
| CPC Index | 0.52 | 0.52 |
| Tail Ratio | 1.01 | 1.03 |
| Outlier Win Ratio | 3.43 | 3.51 |
| Outlier Loss Ratio | 3.76 | 3.38 |
| MTD | 1.7% | 1.63% |
| 3M | 3.07% | -0.36% |
| 6M | 10.14% | 1.59% |
| YTD | 11.79% | 9.86% |
| 1Y | 20.33% | 24.52% |
| 3Y (ann.) | 21.81% | 4.38% |
| 5Y (ann.) | 13.09% | 4.72% |
| 10Y (ann.) | 12.89% | 4.48% |
| All-time (ann.) | 12.89% | 4.48% |
| Best Day | 10.5% | 2.15% |
| Worst Day | -5.85% | -4.17% |
| Best Month | 10.51% | 7.93% |
| Worst Month | -9.24% | -5.73% |
| Best Year | 26.18% | 16.85% |
| Worst Year | -18.18% | -3.98% |
| Avg. Drawdown | -1.86% | -3.51% |
| Avg. Drawdown Days | 20 | 79 |
| Recovery Factor | 2.75 | 1.11 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.45 | 0.09 |
| Avg. Up Month | 3.8% | 2.39% |
| Avg. Down Month | -2.68% | -1.98% |
| Win Days | 54.17% | 54.4% |
| Win Month | 62.3% | 50.82% |
| Win Quarter | 66.67% | 42.86% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.03 |
| Alpha | - | 0.04 |
| Correlation | - | 4.75% |
| Treynor Ratio | - | 909.29% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -3.55 | -0.48 | - |
| 2022 | -18.18 | 16.85 | -0.93 | + |
| 2023 | 26.18 | -3.98 | -0.15 | - |
| 2024 | 24.89 | 1.99 | 0.08 | - |
| 2025 | 17.72 | 2.47 | 0.14 | - |
| 2026 | 11.79 | 9.86 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-16 | 2026-01-26 | -21.65 | 651 |
| 2022-09-28 | 2024-04-12 | -12.34 | 563 |
| 2021-11-17 | 2022-03-03 | -7.41 | 107 |
| 2022-07-15 | 2022-09-14 | -5.66 | 62 |
| 2026-06-04 | 2026-08-11 | -4.44 | 69 |
| 2026-03-02 | 2026-05-08 | -3.35 | 68 |
| 2022-06-15 | 2022-07-13 | -2.95 | 29 |
| 2026-01-30 | 2026-02-06 | -2.45 | 8 |
| 2021-09-16 | 2021-10-11 | -2.32 | 26 |
| 2022-05-09 | 2022-06-08 | -2.24 | 31 |