| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 57.61% | 22.91% |
| CAGR﹪ | 10.5% | 4.63% |
| Sharpe | 0.66 | 0.78 |
| Prob. Sharpe Ratio | 92.08% | 94.27% |
| Smart Sharpe | 0.54 | 0.65 |
| Sortino | 0.95 | 1.09 |
| Smart Sortino | 0.79 | 0.9 |
| Sortino/√2 | 0.67 | 0.77 |
| Smart Sortino/√2 | 0.56 | 0.64 |
| Omega | 1.12 | 1.23 |
| Max Drawdown | -24.5% | -8.8% |
| Max DD Date | 2022-10-12 | 2025-04-11 |
| Max DD Period Start | 2022-01-04 | 2024-12-19 |
| Max DD Period End | 2023-12-12 | 2025-12-31 |
| Longest DD Days | 708 | 758 |
| Volatility (ann.) | 17.53% | 6.01% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.43 | 0.53 |
| Skew | 0.36 | -1.2 |
| Kurtosis | 9.01 | 103.91 |
| Ulcer Performance Index | 6.42 | 5.56 |
| Risk-Adjusted Return | 10.5% | 5.94% |
| Risk-Return Ratio | 0.04 | 0.05 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.83% | 0.23% |
| Avg. Loss | -0.95% | -0.25% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.83 | 0.29 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.75% | 0.34% |
| Expected Yearly | 7.88% | 3.5% |
| Kelly Criterion | 0.55% | 11.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -0.6% |
| Expected Shortfall (cVaR) | -2.64% | -1.4% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.12 | 0.23 |
| Gain/Pain (1M) | 0.61 | 1.56 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.12 | 1.23 |
| Common Sense Ratio | 1.14 | 1.27 |
| CPC Index | 0.53 | 0.65 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.41 | 5.23 |
| Outlier Loss Ratio | 3.73 | 2.87 |
| MTD | 3.15% | 0.78% |
| 3M | 3.91% | 3.38% |
| 6M | 13.36% | 5.35% |
| YTD | 12.43% | 5.93% |
| 1Y | 11.88% | 9.39% |
| 3Y (ann.) | 18.56% | 8.86% |
| 5Y (ann.) | 10.68% | 4.65% |
| 10Y (ann.) | 10.5% | 4.63% |
| All-time (ann.) | 10.5% | 4.63% |
| Best Day | 10.5% | 5.43% |
| Worst Day | -5.85% | -6.0% |
| Best Month | 9.21% | 2.13% |
| Worst Month | -9.24% | -2.24% |
| Best Year | 26.18% | 7.8% |
| Worst Year | -18.18% | -4.62% |
| Avg. Drawdown | -2.19% | -1.0% |
| Avg. Drawdown Days | 29 | 45 |
| Recovery Factor | 2.14 | 2.44 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 0.33 | 0.24 |
| Avg. Up Month | 3.81% | 1.03% |
| Avg. Down Month | -4.33% | -0.88% |
| Win Days | 53.66% | 57.89% |
| Win Month | 60.66% | 67.21% |
| Win Quarter | 61.9% | 80.95% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.09 |
| Alpha | - | 0.04 |
| Correlation | - | 25.9% |
| Treynor Ratio | - | 257.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -0.21 | -0.03 | - |
| 2022 | -18.18 | -4.62 | 0.25 | + |
| 2023 | 26.18 | 7.80 | 0.30 | - |
| 2024 | 24.89 | 7.14 | 0.29 | - |
| 2025 | 1.21 | 5.56 | 4.62 | + |
| 2026 | 12.43 | 5.93 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-19 | 2025-12-31 | -8.80 | 378 |
| 2021-11-16 | 2023-12-13 | -8.59 | 758 |
| 2023-12-18 | 2024-03-18 | -3.33 | 92 |
| 2024-07-16 | 2024-09-18 | -2.61 | 65 |
| 2026-01-28 | 2026-04-02 | -1.08 | 65 |
| 2024-11-11 | 2024-11-27 | -0.98 | 17 |
| 2026-06-02 | 2026-06-12 | -0.97 | 11 |
| 2026-07-16 | 2026-08-03 | -0.95 | 19 |
| 2021-08-13 | 2021-08-24 | -0.93 | 12 |
| 2024-04-12 | 2024-05-06 | -0.91 | 25 |