| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 85.23% | 104.09% |
| CAGR﹪ | 13.2% | 15.43% |
| Sharpe | 0.81 | 0.84 |
| Prob. Sharpe Ratio | 96.46% | 97.16% |
| Smart Sharpe | 0.79 | 0.82 |
| Sortino | 1.17 | 1.34 |
| Smart Sortino | 1.15 | 1.32 |
| Sortino/√2 | 0.83 | 0.95 |
| Smart Sortino/√2 | 0.81 | 0.93 |
| Omega | 1.15 | 1.17 |
| Max Drawdown | -24.5% | -26.95% |
| Max DD Date | 2022-10-12 | 2026-06-22 |
| Max DD Period Start | 2022-01-04 | 2026-03-09 |
| Max DD Period End | 2023-12-12 | 2026-07-27 |
| Longest DD Days | 708 | 788 |
| Volatility (ann.) | 17.21% | 19.35% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.54 | 0.57 |
| Skew | 0.31 | 0.79 |
| Kurtosis | 8.92 | 4.91 |
| Ulcer Performance Index | 10.07 | 11.96 |
| Risk-Adjusted Return | 13.2% | 15.74% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.05% | 0.06% |
| Avg. Win | 0.82% | 0.74% |
| Avg. Loss | -0.79% | -0.67% |
| Win/Loss Ratio | 1.03 | 1.1 |
| Profit Ratio | 0.82 | 1.06 |
| Expected Daily | 0.05% | 0.06% |
| Expected Monthly | 1.02% | 1.18% |
| Expected Yearly | 10.82% | 12.63% |
| Kelly Criterion | 9.78% | 4.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.94% |
| Expected Shortfall (cVaR) | -2.58% | -2.76% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.17 |
| Gain/Pain (1M) | 0.85 | 0.93 |
| Payoff Ratio | 1.03 | 1.1 |
| Profit Factor | 1.15 | 1.17 |
| Common Sense Ratio | 1.17 | 1.4 |
| CPC Index | 0.65 | 0.64 |
| Tail Ratio | 1.01 | 1.2 |
| Outlier Win Ratio | 3.43 | 4.62 |
| Outlier Loss Ratio | 3.76 | 3.79 |
| MTD | 3.15% | -2.86% |
| 3M | 4.73% | 13.54% |
| 6M | 11.92% | 3.96% |
| YTD | 13.6% | 3.73% |
| 1Y | 22.27% | 11.45% |
| 3Y (ann.) | 22.32% | 1.21% |
| 5Y (ann.) | 13.41% | 16.24% |
| 10Y (ann.) | 13.2% | 15.43% |
| All-time (ann.) | 13.2% | 15.43% |
| Best Day | 10.5% | 7.13% |
| Worst Day | -5.85% | -5.68% |
| Best Month | 10.51% | 29.45% |
| Worst Month | -9.24% | -9.8% |
| Best Year | 26.18% | 49.89% |
| Worst Year | -18.18% | -8.78% |
| Avg. Drawdown | -1.86% | -2.94% |
| Avg. Drawdown Days | 20 | 39 |
| Recovery Factor | 2.82 | 2.99 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 0.47 | 0.6 |
| Avg. Up Month | 3.29% | 6.17% |
| Avg. Down Month | -4.33% | -4.07% |
| Win Days | 54.2% | 50.04% |
| Win Month | 63.93% | 55.74% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.14 |
| Alpha | - | 0.18 |
| Correlation | - | -12.18% |
| Treynor Ratio | - | -760.64% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 18.04 | 2.43 | + |
| 2022 | -18.18 | 49.89 | -2.75 | + |
| 2023 | 26.18 | 16.56 | 0.63 | - |
| 2024 | 24.89 | -8.78 | -0.35 | - |
| 2025 | 17.72 | 4.58 | 0.26 | - |
| 2026 | 13.60 | 3.73 | 0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-09 | 2026-07-27 | -26.95 | 141 |
| 2024-01-08 | 2026-03-05 | -17.20 | 788 |
| 2022-06-09 | 2022-12-29 | -14.26 | 204 |
| 2026-07-30 | 2026-08-11 | -9.38 | 13 |
| 2021-10-05 | 2021-11-19 | -6.10 | 46 |
| 2023-04-10 | 2023-09-19 | -5.56 | 163 |
| 2021-08-17 | 2021-09-27 | -4.40 | 42 |
| 2021-11-24 | 2021-12-02 | -3.79 | 9 |
| 2023-11-06 | 2023-12-29 | -3.40 | 54 |
| 2023-02-03 | 2023-03-27 | -3.35 | 53 |