| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 80.68% | 67.2% |
| CAGR﹪ | 12.64% | 10.9% |
| Sharpe | 0.78 | 1.13 |
| Prob. Sharpe Ratio | 95.94% | 99.35% |
| Smart Sharpe | 0.77 | 1.12 |
| Sortino | 1.13 | 1.64 |
| Smart Sortino | 1.12 | 1.62 |
| Sortino/√2 | 0.8 | 1.16 |
| Smart Sortino/√2 | 0.79 | 1.15 |
| Omega | 1.15 | 1.21 |
| Max Drawdown | -26.35% | -11.36% |
| Max DD Date | 2022-10-12 | 2022-09-27 |
| Max DD Period Start | 2022-01-04 | 2022-06-08 |
| Max DD Period End | 2023-12-18 | 2023-10-16 |
| Longest DD Days | 714 | 496 |
| Volatility (ann.) | 17.19% | 9.59% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.48 | 0.96 |
| Skew | 0.31 | -0.21 |
| Kurtosis | 8.99 | 4.89 |
| Ulcer Performance Index | 8.61 | 23.34 |
| Risk-Adjusted Return | 12.64% | 11.47% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.88% | 0.52% |
| Avg. Loss | -0.93% | -0.53% |
| Win/Loss Ratio | 0.95 | 0.98 |
| Profit Ratio | 0.82 | 0.67 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 0.97% | 0.85% |
| Expected Yearly | 10.36% | 8.94% |
| Kelly Criterion | 5.78% | 9.03% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.95% |
| Expected Shortfall (cVaR) | -2.58% | -1.35% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 10 |
| Gain/Pain Ratio | 0.15 | 0.21 |
| Gain/Pain (1M) | 0.79 | 1.4 |
| Payoff Ratio | 0.95 | 0.98 |
| Profit Factor | 1.15 | 1.21 |
| Common Sense Ratio | 1.15 | 1.18 |
| CPC Index | 0.59 | 0.65 |
| Tail Ratio | 1.0 | 0.98 |
| Outlier Win Ratio | 3.44 | 3.53 |
| Outlier Loss Ratio | 3.76 | 3.34 |
| MTD | 3.15% | 1.12% |
| 3M | 4.73% | 5.54% |
| 6M | 11.92% | 4.78% |
| YTD | 13.6% | 8.88% |
| 1Y | 22.27% | 16.7% |
| 3Y (ann.) | 22.32% | 14.35% |
| 5Y (ann.) | 12.85% | 11.28% |
| 10Y (ann.) | 12.64% | 10.9% |
| All-time (ann.) | 12.64% | 10.9% |
| Best Day | 10.5% | 4.33% |
| Worst Day | -5.85% | -4.36% |
| Best Month | 10.51% | 6.97% |
| Worst Month | -10.5% | -6.43% |
| Best Year | 26.18% | 14.67% |
| Worst Year | -20.18% | 4.46% |
| Avg. Drawdown | -1.9% | -1.26% |
| Avg. Drawdown Days | 20 | 17 |
| Recovery Factor | 2.52 | 4.73 |
| Ulcer Index | 0.09 | 0.03 |
| Serenity Index | 0.37 | 1.54 |
| Avg. Up Month | 4.11% | 2.58% |
| Avg. Down Month | -4.51% | -2.21% |
| Win Days | 54.16% | 54.98% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.43 |
| Alpha | - | 0.05 |
| Correlation | - | 77.6% |
| Treynor Ratio | - | 155.12% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 7.64 | 1.03 | + |
| 2022 | -20.18 | 5.14 | -0.25 | + |
| 2023 | 26.18 | 4.46 | 0.17 | - |
| 2024 | 24.89 | 13.27 | 0.53 | - |
| 2025 | 17.72 | 14.67 | 0.83 | - |
| 2026 | 13.60 | 8.88 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2023-10-16 | -11.36 | 496 |
| 2025-02-20 | 2025-05-30 | -9.33 | 100 |
| 2026-03-02 | 2026-06-11 | -6.47 | 102 |
| 2024-12-02 | 2025-02-14 | -4.90 | 75 |
| 2024-08-01 | 2024-08-16 | -3.87 | 16 |
| 2021-11-26 | 2021-12-22 | -3.82 | 27 |
| 2022-04-21 | 2022-05-26 | -3.56 | 36 |
| 2023-10-18 | 2023-11-13 | -3.42 | 27 |
| 2022-01-18 | 2022-02-01 | -3.40 | 15 |
| 2025-11-13 | 2025-11-25 | -3.29 | 13 |