| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 80.68% | 18.82% |
| CAGR﹪ | 12.64% | 3.53% |
| Sharpe | 0.78 | 0.96 |
| Prob. Sharpe Ratio | 95.94% | 98.37% |
| Smart Sharpe | 0.74 | 0.92 |
| Sortino | 1.13 | 1.42 |
| Smart Sortino | 1.08 | 1.35 |
| Sortino/√2 | 0.8 | 1.0 |
| Smart Sortino/√2 | 0.76 | 0.96 |
| Omega | 1.15 | 1.17 |
| Max Drawdown | -26.35% | -6.77% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2021-12-17 |
| Max DD Period End | 2023-12-18 | 2023-11-21 |
| Longest DD Days | 714 | 705 |
| Volatility (ann.) | 17.19% | 3.68% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.48 | 0.52 |
| Skew | 0.31 | -0.04 |
| Kurtosis | 8.99 | 1.2 |
| Ulcer Performance Index | 8.61 | 7.88 |
| Risk-Adjusted Return | 12.64% | 4.31% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.85% | 0.22% |
| Avg. Loss | -0.87% | -0.24% |
| Win/Loss Ratio | 0.97 | 0.92 |
| Profit Ratio | 0.82 | 0.44 |
| Expected Daily | 0.05% | 0.01% |
| Expected Monthly | 0.97% | 0.28% |
| Expected Yearly | 10.36% | 2.92% |
| Kelly Criterion | 6.96% | 2.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.37% |
| Expected Shortfall (cVaR) | -2.58% | -0.48% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.79 | 0.74 |
| Payoff Ratio | 0.97 | 0.92 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.15 | 1.2 |
| CPC Index | 0.6 | 0.58 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.44 | 3.85 |
| Outlier Loss Ratio | 3.76 | 2.75 |
| MTD | 3.15% | 0.1% |
| 3M | 4.73% | 1.76% |
| 6M | 11.92% | -0.55% |
| YTD | 13.6% | 1.36% |
| 1Y | 22.27% | 3.96% |
| 3Y (ann.) | 22.32% | 5.98% |
| 5Y (ann.) | 12.85% | 3.69% |
| 10Y (ann.) | 12.64% | 3.53% |
| All-time (ann.) | 12.64% | 3.53% |
| Best Day | 10.5% | 0.96% |
| Worst Day | -5.85% | -1.04% |
| Best Month | 10.51% | 3.05% |
| Worst Month | -10.5% | -2.96% |
| Best Year | 26.18% | 6.82% |
| Worst Year | -20.18% | -3.23% |
| Avg. Drawdown | -1.9% | -0.81% |
| Avg. Drawdown Days | 20 | 41 |
| Recovery Factor | 2.52 | 2.6 |
| Ulcer Index | 0.09 | 0.02 |
| Serenity Index | 0.37 | 0.33 |
| Avg. Up Month | 3.91% | 1.14% |
| Avg. Down Month | -4.86% | -1.38% |
| Win Days | 54.16% | 53.47% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 57.14% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.06 |
| Alpha | - | 0.03 |
| Correlation | - | 27.46% |
| Treynor Ratio | - | 319.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 1.46 | 0.20 | - |
| 2022 | -20.18 | -3.23 | 0.16 | + |
| 2023 | 26.18 | 6.44 | 0.25 | - |
| 2024 | 24.89 | 6.82 | 0.27 | - |
| 2025 | 17.72 | 5.00 | 0.28 | - |
| 2026 | 13.60 | 1.36 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-17 | 2023-11-21 | -6.77 | 705 |
| 2026-03-02 | 2026-08-11 | -5.09 | 163 |
| 2025-03-04 | 2025-06-30 | -2.87 | 119 |
| 2024-10-02 | 2025-02-21 | -2.79 | 143 |
| 2025-07-02 | 2025-11-11 | -2.00 | 133 |
| 2021-08-17 | 2021-12-02 | -1.70 | 108 |
| 2024-04-05 | 2024-06-17 | -1.56 | 74 |
| 2024-06-26 | 2024-07-10 | -0.97 | 15 |
| 2025-11-28 | 2025-12-12 | -0.95 | 15 |
| 2024-08-05 | 2024-08-12 | -0.86 | 8 |