| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 198.3% | 89.46% |
| CAGR﹪ | 16.49% | 9.34% |
| Sharpe | 0.87 | 0.87 |
| Prob. Sharpe Ratio | 98.96% | 98.94% |
| Smart Sharpe | 0.87 | 0.87 |
| Sortino | 1.24 | 1.22 |
| Smart Sortino | 1.23 | 1.21 |
| Sortino/√2 | 0.88 | 0.86 |
| Smart Sortino/√2 | 0.87 | 0.86 |
| Omega | 1.18 | 1.17 |
| Max Drawdown | -33.72% | -13.57% |
| Max DD Date | 2020-03-23 | 2024-08-05 |
| Max DD Period Start | 2020-02-20 | 2024-04-29 |
| Max DD Period End | 2020-08-07 | 2025-08-22 |
| Longest DD Days | 708 | 890 |
| Volatility (ann.) | 19.67% | 10.91% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.49 | 0.69 |
| Skew | -0.29 | -0.39 |
| Kurtosis | 13.72 | 9.61 |
| Ulcer Performance Index | 24.6 | 14.93 |
| Risk-Adjusted Return | 16.49% | 10.15% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.7% | 0.48% |
| Avg. Loss | -0.76% | -0.57% |
| Win/Loss Ratio | 0.93 | 0.85 |
| Profit Ratio | 0.76 | 0.54 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.26% | 0.74% |
| Expected Yearly | 14.64% | 8.32% |
| Kelly Criterion | 7.17% | 3.61% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.09% |
| Expected Shortfall (cVaR) | -3.23% | -1.7% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.17 |
| Gain/Pain (1M) | 1.12 | 0.9 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 1.18 | 1.17 |
| Common Sense Ratio | 1.14 | 1.18 |
| CPC Index | 0.61 | 0.55 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.7 | 3.47 |
| Outlier Loss Ratio | 4.08 | 3.33 |
| 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.) | 16.49% | 9.34% |
| All-time (ann.) | 16.49% | 9.34% |
| Best Day | 10.5% | 6.54% |
| Worst Day | -10.94% | -5.97% |
| Best Month | 12.7% | 8.46% |
| Worst Month | -12.49% | -5.89% |
| Best Year | 28.73% | 35.38% |
| Worst Year | -18.18% | -1.47% |
| Avg. Drawdown | -1.76% | -1.9% |
| Avg. Drawdown Days | 16 | 38 |
| Recovery Factor | 3.65 | 5.02 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 0.99 | 0.69 |
| Avg. Up Month | 3.33% | 2.32% |
| Avg. Down Month | -2.18% | -2.14% |
| Win Days | 55.38% | 55.72% |
| Win Month | 65.52% | 60.92% |
| Win Quarter | 76.67% | 56.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.11 |
| Correlation | - | -12.22% |
| Treynor Ratio | - | -1320.88% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 0.61 | 0.04 | - |
| 2020 | 18.33 | -0.41 | -0.02 | - |
| 2021 | 28.73 | -1.47 | -0.05 | - |
| 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 |
| 2019-09-04 | 2022-02-09 | -12.57 | 890 |
| 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 |
| 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 |