| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 80.74% | 92.78% |
| CAGR﹪ | 12.66% | 14.14% |
| Sharpe | 0.78 | 1.2 |
| Prob. Sharpe Ratio | 95.94% | 99.57% |
| Smart Sharpe | 0.78 | 1.2 |
| Sortino | 1.13 | 1.72 |
| Smart Sortino | 1.13 | 1.71 |
| Sortino/√2 | 0.8 | 1.21 |
| Smart Sortino/√2 | 0.8 | 1.21 |
| Omega | 1.15 | 1.24 |
| Max Drawdown | -24.5% | -13.57% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-04-29 |
| Max DD Period End | 2023-12-12 | 2025-08-22 |
| Longest DD Days | 708 | 481 |
| Volatility (ann.) | 17.21% | 11.55% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.52 | 1.04 |
| Skew | 0.32 | -0.31 |
| Kurtosis | 8.94 | 10.27 |
| Ulcer Performance Index | 9.5 | 20.04 |
| Risk-Adjusted Return | 12.66% | 15.2% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.65% | 0.51% |
| Avg. Loss | -0.75% | -0.56% |
| Win/Loss Ratio | 0.87 | 0.92 |
| Profit Ratio | 0.82 | 0.58 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.98% | 1.08% |
| Expected Yearly | 10.37% | 11.56% |
| Kelly Criterion | 1.68% | 8.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.14% |
| Expected Shortfall (cVaR) | -2.58% | -1.81% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.24 |
| Gain/Pain (1M) | 0.79 | 1.4 |
| Payoff Ratio | 0.87 | 0.92 |
| Profit Factor | 1.15 | 1.24 |
| Common Sense Ratio | 1.16 | 1.29 |
| CPC Index | 0.54 | 0.64 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.43 | 3.23 |
| Outlier Loss Ratio | 3.76 | 3.37 |
| MTD | 3.15% | 0.09% |
| 3M | 4.73% | -0.38% |
| 6M | 11.92% | 3.42% |
| YTD | 13.6% | 10.66% |
| 1Y | 19.31% | 23.52% |
| 3Y (ann.) | 21.35% | 11.19% |
| 5Y (ann.) | 12.86% | 14.38% |
| 10Y (ann.) | 12.66% | 14.14% |
| All-time (ann.) | 12.66% | 14.14% |
| Best Day | 10.5% | 6.54% |
| Worst Day | -5.85% | -5.97% |
| Best Month | 10.51% | 8.46% |
| Worst Month | -9.24% | -5.89% |
| Best Year | 26.18% | 35.38% |
| Worst Year | -18.18% | 0.45% |
| Avg. Drawdown | -1.84% | -1.91% |
| Avg. Drawdown Days | 21 | 27 |
| Recovery Factor | 2.72 | 5.08 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.45 | 1.11 |
| Avg. Up Month | 3.22% | 2.62% |
| Avg. Down Month | -0.9% | -2.78% |
| Win Days | 54.12% | 56.16% |
| Win Month | 62.3% | 65.57% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.08 |
| Alpha | - | 0.15 |
| Correlation | - | -12.09% |
| Treynor Ratio | - | -1143.73% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 0.45 | 0.06 | - |
| 2022 | -18.18 | 35.38 | -1.95 | + |
| 2023 | 26.18 | 2.05 | 0.08 | - |
| 2024 | 24.89 | 8.15 | 0.33 | - |
| 2025 | 14.87 | 16.06 | 1.08 | + |
| 2026 | 13.60 | 10.66 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-04-29 | 2025-08-22 | -13.57 | 481 |
| 2022-10-21 | 2023-09-22 | -10.52 | 337 |
| 2022-06-15 | 2022-09-19 | -8.23 | 97 |
| 2023-11-01 | 2024-02-21 | -7.36 | 113 |
| 2021-10-22 | 2022-01-25 | -6.70 | 96 |
| 2026-06-04 | 2026-08-11 | -5.14 | 69 |
| 2022-09-28 | 2022-10-13 | -3.77 | 16 |
| 2022-05-09 | 2022-06-03 | -3.40 | 26 |
| 2022-02-15 | 2022-03-01 | -3.31 | 15 |
| 2026-04-08 | 2026-04-28 | -3.02 | 21 |