| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 205.7% | 237.92% |
| CAGR﹪ | 16.87% | 18.52% |
| Sharpe | 0.89 | 0.93 |
| Prob. Sharpe Ratio | 99.07% | 99.46% |
| Smart Sharpe | 0.83 | 0.87 |
| Sortino | 1.26 | 1.52 |
| Smart Sortino | 1.18 | 1.42 |
| Sortino/√2 | 0.89 | 1.07 |
| Smart Sortino/√2 | 0.83 | 1.0 |
| Omega | 1.19 | 1.18 |
| Max Drawdown | -33.72% | -26.95% |
| Max DD Date | 2020-03-23 | 2026-06-22 |
| Max DD Period Start | 2020-02-20 | 2026-03-09 |
| Max DD Period End | 2020-08-07 | 2026-07-27 |
| Longest DD Days | 708 | 788 |
| Volatility (ann.) | 19.67% | 20.62% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.5 | 0.69 |
| Skew | -0.29 | 0.99 |
| Kurtosis | 13.7 | 6.3 |
| Ulcer Performance Index | 25.6 | 27.09 |
| Risk-Adjusted Return | 16.87% | 18.9% |
| Risk-Return Ratio | 0.06 | 0.06 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.86% | 0.92% |
| Avg. Loss | -0.9% | -0.79% |
| Win/Loss Ratio | 0.95 | 1.17 |
| Profit Ratio | 0.76 | 1.1 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.29% | 1.41% |
| Expected Yearly | 14.99% | 16.44% |
| Kelly Criterion | 8.75% | 6.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -2.06% |
| Expected Shortfall (cVaR) | -3.23% | -2.84% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.18 |
| Gain/Pain (1M) | 1.17 | 1.08 |
| Payoff Ratio | 0.95 | 1.17 |
| Profit Factor | 1.19 | 1.18 |
| Common Sense Ratio | 1.14 | 1.52 |
| CPC Index | 0.63 | 0.69 |
| Tail Ratio | 0.96 | 1.28 |
| Outlier Win Ratio | 3.69 | 4.15 |
| Outlier Loss Ratio | 4.08 | 3.56 |
| 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.) | 16.87% | 18.52% |
| All-time (ann.) | 16.87% | 18.52% |
| Best Day | 10.5% | 11.47% |
| Worst Day | -10.94% | -5.68% |
| Best Month | 12.7% | 29.45% |
| Worst Month | -12.49% | -10.59% |
| Best Year | 28.73% | 63.76% |
| Worst Year | -18.18% | -8.78% |
| Avg. Drawdown | -1.77% | -3.74% |
| Avg. Drawdown Days | 15 | 41 |
| Recovery Factor | 3.73 | 5.08 |
| Ulcer Index | 0.08 | 0.09 |
| Serenity Index | 1.02 | 1.12 |
| Avg. Up Month | 3.97% | 6.12% |
| Avg. Down Month | -4.71% | -4.39% |
| Win Days | 55.43% | 49.63% |
| Win Month | 66.67% | 58.62% |
| Win Quarter | 76.67% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | -0.03 |
| Alpha | - | 0.2 |
| Correlation | - | -2.69% |
| Treynor Ratio | - | -8436.39% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 7.05 | 0.43 | - |
| 2020 | 18.33 | 11.50 | 0.63 | - |
| 2021 | 28.73 | 63.76 | 2.22 | + |
| 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 |
| 2019-11-06 | 2020-06-05 | -18.32 | 213 |
| 2024-01-08 | 2026-03-05 | -17.20 | 788 |
| 2021-05-18 | 2021-12-15 | -16.64 | 212 |
| 2020-06-09 | 2020-11-06 | -15.29 | 151 |
| 2022-06-09 | 2022-12-29 | -14.26 | 204 |
| 2020-12-07 | 2021-01-05 | -10.52 | 30 |
| 2019-07-02 | 2019-09-09 | -9.53 | 70 |
| 2026-07-30 | 2026-08-11 | -9.38 | 13 |
| 2021-03-09 | 2021-03-26 | -6.45 | 18 |