| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 80.68% | 89.52% |
| CAGR﹪ | 12.64% | 13.73% |
| Sharpe | 0.78 | 1.96 |
| Prob. Sharpe Ratio | 95.94% | 100.0% |
| Smart Sharpe | 0.78 | 1.95 |
| Sortino | 1.13 | 3.02 |
| Smart Sortino | 1.13 | 3.01 |
| Sortino/√2 | 0.8 | 2.14 |
| Smart Sortino/√2 | 0.8 | 2.13 |
| Omega | 1.15 | 1.38 |
| Max Drawdown | -26.35% | -4.99% |
| Max DD Date | 2022-10-12 | 2022-08-12 |
| Max DD Period Start | 2022-01-04 | 2022-02-24 |
| Max DD Period End | 2023-12-18 | 2022-12-22 |
| Longest DD Days | 714 | 302 |
| Volatility (ann.) | 17.19% | 6.68% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.48 | 2.75 |
| Skew | 0.31 | -0.11 |
| Kurtosis | 8.99 | 0.53 |
| Ulcer Performance Index | 8.61 | 50.7 |
| Risk-Adjusted Return | 12.64% | 14.93% |
| Risk-Return Ratio | 0.05 | 0.12 |
| Avg. Return | 0.06% | 0.06% |
| Avg. Win | 0.8% | 0.4% |
| Avg. Loss | -0.79% | -0.37% |
| Win/Loss Ratio | 1.01 | 1.1 |
| Profit Ratio | 0.82 | 0.65 |
| Expected Daily | 0.05% | 0.05% |
| Expected Monthly | 0.97% | 1.05% |
| Expected Yearly | 10.36% | 11.24% |
| Kelly Criterion | 8.91% | 15.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.64% |
| Expected Shortfall (cVaR) | -2.58% | -0.87% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.38 |
| Gain/Pain (1M) | 0.79 | 4.41 |
| Payoff Ratio | 1.01 | 1.1 |
| Profit Factor | 1.15 | 1.38 |
| Common Sense Ratio | 1.15 | 1.62 |
| CPC Index | 0.63 | 0.84 |
| Tail Ratio | 1.0 | 1.18 |
| Outlier Win Ratio | 3.44 | 3.28 |
| Outlier Loss Ratio | 3.76 | 3.01 |
| MTD | 3.15% | 0.92% |
| 3M | 4.73% | 5.56% |
| 6M | 11.92% | 13.49% |
| YTD | 13.6% | 13.96% |
| 1Y | 22.27% | 23.68% |
| 3Y (ann.) | 22.32% | 21.45% |
| 5Y (ann.) | 12.85% | 14.23% |
| 10Y (ann.) | 12.64% | 13.73% |
| All-time (ann.) | 12.64% | 13.73% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -5.85% | -1.63% |
| Best Month | 10.51% | 4.28% |
| Worst Month | -10.5% | -1.96% |
| Best Year | 26.18% | 21.38% |
| Worst Year | -20.18% | -0.6% |
| Avg. Drawdown | -1.9% | -0.88% |
| Avg. Drawdown Days | 20 | 14 |
| Recovery Factor | 2.52 | 13.03 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.37 | 3.89 |
| Avg. Up Month | 3.97% | 1.98% |
| Avg. Down Month | -3.66% | -0.79% |
| Win Days | 54.16% | 55.5% |
| Win Month | 63.93% | 73.77% |
| Win Quarter | 66.67% | 85.71% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.05 |
| Alpha | - | 0.12 |
| Correlation | - | 13.98% |
| Treynor Ratio | - | 1647.05% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -0.60 | -0.08 | - |
| 2022 | -20.18 | 1.71 | -0.08 | + |
| 2023 | 26.18 | 14.58 | 0.56 | - |
| 2024 | 24.89 | 21.38 | 0.86 | - |
| 2025 | 17.72 | 18.27 | 1.03 | + |
| 2026 | 13.60 | 13.96 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-24 | 2022-12-22 | -4.99 | 302 |
| 2024-08-01 | 2024-10-09 | -4.07 | 70 |
| 2025-06-03 | 2025-08-05 | -3.60 | 64 |
| 2025-02-12 | 2025-03-20 | -3.50 | 37 |
| 2025-09-29 | 2025-12-03 | -3.24 | 66 |
| 2026-06-05 | 2026-08-03 | -2.97 | 60 |
| 2021-08-16 | 2022-02-22 | -2.81 | 191 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 2024-11-15 | 2024-12-04 | -2.36 | 20 |
| 2024-11-06 | 2024-11-13 | -2.23 | 8 |