| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 85.23% | 96.7% |
| CAGR﹪ | 13.2% | 14.58% |
| Sharpe | 0.81 | 0.87 |
| Prob. Sharpe Ratio | 96.46% | 97.3% |
| Smart Sharpe | 0.79 | 0.85 |
| Sortino | 1.17 | 1.26 |
| Smart Sortino | 1.15 | 1.24 |
| Sortino/√2 | 0.83 | 0.89 |
| Smart Sortino/√2 | 0.81 | 0.87 |
| Omega | 1.15 | 1.16 |
| Max Drawdown | -24.5% | -28.08% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2021-09-07 |
| Max DD Period End | 2023-12-12 | 2023-12-22 |
| Longest DD Days | 708 | 837 |
| Volatility (ann.) | 17.21% | 17.46% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.54 | 0.52 |
| Skew | 0.31 | -0.05 |
| Kurtosis | 8.92 | 4.32 |
| Ulcer Performance Index | 10.07 | 11.53 |
| Risk-Adjusted Return | 13.2% | 14.72% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.87% | 0.93% |
| Avg. Loss | -0.94% | -0.98% |
| Win/Loss Ratio | 0.93 | 0.95 |
| Profit Ratio | 0.82 | 0.77 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 1.02% | 1.12% |
| Expected Yearly | 10.82% | 11.94% |
| Kelly Criterion | 4.91% | 7.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.75% |
| Expected Shortfall (cVaR) | -2.58% | -2.45% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.16 |
| Gain/Pain (1M) | 0.85 | 0.84 |
| Payoff Ratio | 0.93 | 0.95 |
| Profit Factor | 1.15 | 1.16 |
| Common Sense Ratio | 1.17 | 1.17 |
| CPC Index | 0.58 | 0.6 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.43 | 3.59 |
| Outlier Loss Ratio | 3.76 | 3.48 |
| MTD | 3.15% | 4.75% |
| 3M | 4.73% | 1.44% |
| 6M | 11.92% | 3.47% |
| YTD | 13.6% | 18.33% |
| 1Y | 22.27% | 35.49% |
| 3Y (ann.) | 22.32% | 28.78% |
| 5Y (ann.) | 13.41% | 14.64% |
| 10Y (ann.) | 13.2% | 14.58% |
| All-time (ann.) | 13.2% | 14.58% |
| Best Day | 10.5% | 7.52% |
| Worst Day | -5.85% | -7.56% |
| Best Month | 10.51% | 12.82% |
| Worst Month | -9.24% | -10.69% |
| Best Year | 26.18% | 49.37% |
| Worst Year | -18.18% | -11.47% |
| Avg. Drawdown | -1.86% | -2.42% |
| Avg. Drawdown Days | 20 | 26 |
| Recovery Factor | 2.82 | 2.68 |
| Ulcer Index | 0.08 | 0.08 |
| Serenity Index | 0.47 | 0.48 |
| Avg. Up Month | 4.05% | 4.22% |
| Avg. Down Month | -4.12% | -4.37% |
| Win Days | 54.2% | 54.68% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.75 |
| Alpha | - | 0.05 |
| Correlation | - | 73.75% |
| Treynor Ratio | - | 129.27% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -1.00 | -0.14 | - |
| 2022 | -18.18 | -11.47 | 0.63 | + |
| 2023 | 26.18 | 16.85 | 0.64 | - |
| 2024 | 24.89 | 8.67 | 0.35 | - |
| 2025 | 17.72 | 49.37 | 2.79 | + |
| 2026 | 13.60 | 18.33 | 1.35 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-07 | 2023-12-22 | -28.08 | 837 |
| 2025-03-20 | 2025-04-25 | -14.17 | 37 |
| 2026-03-02 | 2026-05-12 | -13.19 | 72 |
| 2024-09-27 | 2025-03-04 | -8.17 | 159 |
| 2024-07-17 | 2024-08-16 | -8.10 | 31 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2024-08-28 | 2024-09-18 | -4.65 | 22 |
| 2023-12-28 | 2024-02-29 | -4.39 | 64 |
| 2024-06-04 | 2024-07-10 | -4.21 | 37 |
| 2024-04-10 | 2024-05-08 | -4.00 | 29 |