| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 77.0% |
| Cumulative Return | 205.7% | 38.47% |
| CAGR﹪ | 16.87% | 4.65% |
| Sharpe | 0.89 | 0.93 |
| Prob. Sharpe Ratio | 99.07% | 98.75% |
| Smart Sharpe | 0.76 | 0.79 |
| Sortino | 1.26 | 1.26 |
| Smart Sortino | 1.08 | 1.07 |
| Sortino/√2 | 0.89 | 0.89 |
| Smart Sortino/√2 | 0.76 | 0.76 |
| Omega | 1.19 | 1.23 |
| Max Drawdown | -33.72% | -11.58% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2020-02-21 |
| Max DD Period End | 2020-08-07 | 2020-06-03 |
| Longest DD Days | 708 | 597 |
| Volatility (ann.) | 19.67% | 5.02% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.5 | 0.4 |
| Skew | -0.29 | -3.01 |
| Kurtosis | 13.7 | 69.83 |
| Ulcer Performance Index | 25.6 | 25.97 |
| Risk-Adjusted Return | 16.87% | 6.03% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.99% | 0.24% |
| Avg. Loss | -1.12% | -0.26% |
| Win/Loss Ratio | 0.89 | 0.9 |
| Profit Ratio | 0.76 | 0.31 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.29% | 0.37% |
| Expected Yearly | 14.99% | 4.15% |
| Kelly Criterion | 5.11% | 7.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.5% |
| Expected Shortfall (cVaR) | -3.23% | -1.06% |
| Max Consecutive Wins | 11 | 6 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.19 | 0.23 |
| Gain/Pain (1M) | 1.17 | 1.66 |
| Payoff Ratio | 0.89 | 0.9 |
| Profit Factor | 1.19 | 1.23 |
| Common Sense Ratio | 1.14 | 1.6 |
| CPC Index | 0.58 | 0.63 |
| Tail Ratio | 0.96 | 1.3 |
| Outlier Win Ratio | 3.69 | 5.16 |
| Outlier Loss Ratio | 4.08 | 3.33 |
| MTD | 3.15% | 0.38% |
| 3M | 4.73% | 1.42% |
| 6M | 11.92% | 3.08% |
| YTD | 13.6% | 3.37% |
| 1Y | 22.27% | 5.75% |
| 3Y (ann.) | 22.32% | 6.87% |
| 5Y (ann.) | 13.41% | 4.5% |
| 10Y (ann.) | 16.87% | 4.65% |
| All-time (ann.) | 16.87% | 4.65% |
| Best Day | 10.5% | 2.7% |
| Worst Day | -10.94% | -5.6% |
| Best Month | 12.7% | 4.24% |
| Worst Month | -12.49% | -5.06% |
| Best Year | 28.73% | 8.43% |
| Worst Year | -18.18% | 0.01% |
| Avg. Drawdown | -1.77% | -0.55% |
| Avg. Drawdown Days | 15 | 18 |
| Recovery Factor | 3.73 | 2.89 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 1.02 | 1.76 |
| Avg. Up Month | 4.4% | 0.94% |
| Avg. Down Month | -5.15% | -0.87% |
| Win Days | 55.43% | 56.4% |
| Win Month | 66.67% | 69.77% |
| Win Quarter | 76.67% | 83.33% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.02 |
| Correlation | - | 70.83% |
| Treynor Ratio | - | 212.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.73 | 0.23 | - |
| 2020 | 18.33 | 6.30 | 0.34 | - |
| 2021 | 28.73 | 1.94 | 0.07 | - |
| 2022 | -18.18 | 0.01 | -0.00 | + |
| 2023 | 26.18 | 5.37 | 0.21 | - |
| 2024 | 24.89 | 4.28 | 0.17 | - |
| 2025 | 17.72 | 8.43 | 0.48 | - |
| 2026 | 13.60 | 3.37 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-21 | 2020-06-03 | -11.58 | 104 |
| 2021-06-14 | 2023-01-31 | -5.18 | 597 |
| 2023-02-03 | 2023-08-28 | -3.46 | 207 |
| 2025-02-20 | 2025-04-23 | -3.33 | 63 |
| 2020-06-09 | 2020-08-03 | -1.93 | 56 |
| 2023-09-05 | 2023-11-20 | -1.83 | 77 |
| 2026-01-23 | 2026-02-17 | -1.53 | 26 |
| 2024-02-27 | 2024-05-01 | -1.49 | 65 |
| 2024-10-18 | 2024-12-18 | -1.36 | 62 |
| 2024-05-08 | 2024-07-22 | -1.29 | 76 |