| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 198.2% | 89.3% |
| CAGR﹪ | 16.48% | 9.32% |
| Sharpe | 0.87 | 1.43 |
| Prob. Sharpe Ratio | 98.96% | 99.99% |
| Smart Sharpe | 0.85 | 1.39 |
| Sortino | 1.24 | 2.13 |
| Smart Sortino | 1.21 | 2.07 |
| Sortino/√2 | 0.87 | 1.5 |
| Smart Sortino/√2 | 0.85 | 1.47 |
| Omega | 1.18 | 1.27 |
| Max Drawdown | -33.72% | -8.8% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-06-13 |
| Max DD Period End | 2020-08-07 | 2021-03-04 |
| Longest DD Days | 714 | 631 |
| Volatility (ann.) | 19.66% | 6.39% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.49 | 1.06 |
| Skew | -0.29 | -0.19 |
| Kurtosis | 13.76 | 1.31 |
| Ulcer Performance Index | 22.77 | 28.76 |
| Risk-Adjusted Return | 16.48% | 10.24% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.07% | 0.04% |
| Avg. Win | 0.83% | 0.37% |
| Avg. Loss | -0.89% | -0.35% |
| Win/Loss Ratio | 0.93 | 1.08 |
| Profit Ratio | 0.76 | 0.62 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.26% | 0.74% |
| Expected Yearly | 14.63% | 8.3% |
| Kelly Criterion | 7.35% | 11.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.63% |
| Expected Shortfall (cVaR) | -3.23% | -0.87% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.18 | 0.27 |
| Gain/Pain (1M) | 1.12 | 2.02 |
| Payoff Ratio | 0.93 | 1.08 |
| Profit Factor | 1.18 | 1.27 |
| Common Sense Ratio | 1.13 | 1.45 |
| CPC Index | 0.61 | 0.74 |
| Tail Ratio | 0.96 | 1.15 |
| Outlier Win Ratio | 3.7 | 3.54 |
| Outlier Loss Ratio | 4.08 | 3.0 |
| 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.) | 16.48% | 9.32% |
| All-time (ann.) | 16.48% | 9.32% |
| Best Day | 10.5% | 1.36% |
| Worst Day | -10.94% | -2.2% |
| Best Month | 12.7% | 4.28% |
| Worst Month | -12.49% | -3.21% |
| Best Year | 28.73% | 21.38% |
| Worst Year | -20.18% | -4.2% |
| Avg. Drawdown | -1.8% | -0.98% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.65 | 7.42 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.86 | 1.29 |
| Avg. Up Month | 4.17% | 1.76% |
| Avg. Down Month | -4.5% | -1.34% |
| Win Days | 55.41% | 54.24% |
| Win Month | 66.67% | 67.82% |
| Win Quarter | 76.67% | 66.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.04 |
| Alpha | - | 0.08 |
| Correlation | - | 11.54% |
| Treynor Ratio | - | 2380.19% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -4.20 | -0.26 | - |
| 2020 | 18.33 | 0.29 | 0.02 | - |
| 2021 | 28.73 | 3.34 | 0.12 | - |
| 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 |
|---|---|---|---|
| 2019-06-13 | 2021-03-04 | -8.80 | 631 |
| 2021-05-14 | 2023-02-01 | -7.53 | 629 |
| 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 |
| 2026-02-03 | 2026-02-25 | -2.69 | 23 |
| 2021-03-31 | 2021-05-05 | -2.46 | 36 |
| 2024-11-15 | 2024-12-03 | -2.36 | 19 |