| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 96.0% |
| Cumulative Return | 154.84% | 109.24% |
| CAGR﹪ | 15.41% | 11.97% |
| Sharpe | 0.81 | 1.02 |
| Prob. Sharpe Ratio | 97.95% | 99.44% |
| Smart Sharpe | 0.8 | 1.01 |
| Sortino | 1.14 | 1.41 |
| Smart Sortino | 1.13 | 1.4 |
| Sortino/√2 | 0.81 | 1.0 |
| Smart Sortino/√2 | 0.8 | 0.99 |
| Omega | 1.17 | 1.19 |
| Max Drawdown | -33.72% | -17.66% |
| Max DD Date | 2020-03-23 | 2025-04-08 |
| Max DD Period Start | 2020-02-20 | 2024-07-17 |
| Max DD Period End | 2020-08-07 | 2025-12-24 |
| Longest DD Days | 708 | 526 |
| Volatility (ann.) | 20.29% | 11.8% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.46 | 0.68 |
| Skew | -0.26 | -0.73 |
| Kurtosis | 13.15 | 3.89 |
| Ulcer Performance Index | 18.43 | 23.52 |
| Risk-Adjusted Return | 15.41% | 12.47% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.9% | 0.61% |
| Avg. Loss | -0.98% | -0.66% |
| Win/Loss Ratio | 0.92 | 0.93 |
| Profit Ratio | 0.78 | 0.65 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.18% | 0.93% |
| Expected Yearly | 14.3% | 11.12% |
| Kelly Criterion | 5.91% | 7.72% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.04% | -1.17% |
| Expected Shortfall (cVaR) | -3.38% | -1.82% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.17 | 0.19 |
| Gain/Pain (1M) | 0.98 | 1.52 |
| Payoff Ratio | 0.92 | 0.93 |
| Profit Factor | 1.17 | 1.19 |
| Common Sense Ratio | 1.15 | 1.17 |
| CPC Index | 0.59 | 0.62 |
| Tail Ratio | 0.99 | 0.98 |
| Outlier Win Ratio | 3.69 | 3.25 |
| Outlier Loss Ratio | 4.05 | 3.42 |
| MTD | 3.15% | 2.14% |
| 3M | 4.73% | 0.06% |
| 6M | 11.92% | 10.01% |
| YTD | 13.6% | 15.96% |
| 1Y | 22.27% | 28.08% |
| 3Y (ann.) | 22.32% | 11.6% |
| 5Y (ann.) | 13.41% | 9.16% |
| 10Y (ann.) | 15.41% | 11.97% |
| All-time (ann.) | 15.41% | 11.97% |
| Best Day | 10.5% | 3.51% |
| Worst Day | -10.94% | -4.99% |
| Best Month | 12.7% | 8.39% |
| Worst Month | -12.49% | -5.31% |
| Best Year | 28.73% | 20.06% |
| Worst Year | -18.18% | 3.71% |
| Avg. Drawdown | -1.9% | -1.73% |
| Avg. Drawdown Days | 16 | 23 |
| Recovery Factor | 3.17 | 4.44 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.83 | 1.04 |
| Avg. Up Month | 4.24% | 2.55% |
| Avg. Down Month | -3.7% | -2.38% |
| Win Days | 54.96% | 55.46% |
| Win Month | 65.0% | 66.25% |
| Win Quarter | 74.07% | 77.78% |
| Win Year | 85.71% | 100.0% |
| Beta | - | 0.35 |
| Alpha | - | 0.06 |
| Correlation | - | 60.03% |
| Treynor Ratio | - | 312.95% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 18.33 | 16.31 | 0.89 | - |
| 2021 | 28.73 | 20.06 | 0.70 | - |
| 2022 | -18.18 | 3.71 | -0.20 | + |
| 2023 | 26.18 | 5.76 | 0.22 | - |
| 2024 | 24.89 | 13.15 | 0.53 | - |
| 2025 | 17.72 | 4.12 | 0.23 | - |
| 2026 | 13.60 | 15.96 | 1.17 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-07-17 | 2025-12-24 | -17.66 | 526 |
| 2020-02-13 | 2020-04-24 | -9.33 | 72 |
| 2021-11-26 | 2022-03-03 | -8.49 | 98 |
| 2022-06-09 | 2023-09-13 | -7.55 | 462 |
| 2026-05-19 | 2026-08-11 | -7.24 | 85 |
| 2020-09-03 | 2020-11-09 | -5.45 | 68 |
| 2021-07-06 | 2021-07-23 | -4.57 | 18 |
| 2026-01-30 | 2026-02-24 | -4.43 | 26 |
| 2022-04-20 | 2022-06-03 | -4.28 | 45 |
| 2022-03-09 | 2022-03-18 | -3.71 | 10 |