| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 186.03% | 170.73% |
| CAGR﹪ | 16.58% | 15.65% |
| Sharpe | 0.87 | 0.84 |
| Prob. Sharpe Ratio | 98.78% | 98.39% |
| Smart Sharpe | 0.87 | 0.83 |
| Sortino | 1.23 | 1.17 |
| Smart Sortino | 1.23 | 1.16 |
| Sortino/√2 | 0.87 | 0.82 |
| Smart Sortino/√2 | 0.87 | 0.82 |
| Omega | 1.18 | 1.16 |
| Max Drawdown | -33.72% | -43.01% |
| Max DD Date | 2020-03-23 | 2020-03-23 |
| Max DD Period Start | 2020-02-20 | 2020-01-03 |
| Max DD Period End | 2020-08-07 | 2020-12-03 |
| Longest DD Days | 708 | 837 |
| Volatility (ann.) | 19.9% | 19.7% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.49 | 0.36 |
| Skew | -0.27 | -0.75 |
| Kurtosis | 13.63 | 9.76 |
| Ulcer Performance Index | 22.68 | 16.9 |
| Risk-Adjusted Return | 16.58% | 15.65% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.07% |
| Avg. Win | 0.92% | 0.97% |
| Avg. Loss | -1.03% | -1.06% |
| Win/Loss Ratio | 0.9 | 0.91 |
| Profit Ratio | 0.76 | 0.74 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.26% | 1.19% |
| Expected Yearly | 14.04% | 13.26% |
| Kelly Criterion | 5.82% | 6.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -1.98% |
| Expected Shortfall (cVaR) | -3.28% | -3.14% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.16 |
| Gain/Pain (1M) | 1.12 | 0.83 |
| Payoff Ratio | 0.9 | 0.91 |
| Profit Factor | 1.18 | 1.16 |
| Common Sense Ratio | 1.14 | 1.19 |
| CPC Index | 0.59 | 0.59 |
| Tail Ratio | 0.97 | 1.02 |
| Outlier Win Ratio | 3.76 | 3.79 |
| Outlier Loss Ratio | 4.05 | 3.69 |
| 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.) | 16.58% | 15.65% |
| All-time (ann.) | 16.58% | 15.65% |
| Best Day | 10.5% | 8.19% |
| Worst Day | -10.94% | -11.08% |
| Best Month | 12.7% | 16.06% |
| Worst Month | -12.49% | -22.19% |
| Best Year | 28.73% | 49.37% |
| Worst Year | -18.18% | -11.47% |
| Avg. Drawdown | -1.77% | -2.55% |
| Avg. Drawdown Days | 15 | 24 |
| Recovery Factor | 3.52 | 2.63 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.94 | 0.54 |
| Avg. Up Month | 4.28% | 4.66% |
| Avg. Down Month | -4.08% | -4.91% |
| Win Days | 55.45% | 55.24% |
| Win Month | 65.48% | 64.29% |
| Win Quarter | 72.41% | 75.86% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.77 |
| Alpha | - | 0.03 |
| Correlation | - | 78.06% |
| Treynor Ratio | - | 220.92% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 8.90 | 12.05 | 1.35 | + |
| 2020 | 18.33 | 5.01 | 0.27 | - |
| 2021 | 28.73 | 15.80 | 0.55 | - |
| 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 |
|---|---|---|---|
| 2020-01-03 | 2020-12-03 | -43.01 | 336 |
| 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 |
| 2021-06-08 | 2021-09-02 | -7.37 | 87 |
| 2026-05-27 | 2026-08-06 | -6.28 | 72 |
| 2021-01-15 | 2021-02-05 | -4.73 | 22 |
| 2024-08-28 | 2024-09-18 | -4.65 | 22 |