| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 78.0% |
| Cumulative Return | 160.12% | 31.81% |
| CAGR﹪ | 15.21% | 4.18% |
| Sharpe | 0.81 | 0.71 |
| Prob. Sharpe Ratio | 98.11% | 95.71% |
| Smart Sharpe | 0.77 | 0.67 |
| Sortino | 1.14 | 0.92 |
| Smart Sortino | 1.08 | 0.87 |
| Sortino/√2 | 0.81 | 0.65 |
| Smart Sortino/√2 | 0.76 | 0.61 |
| Omega | 1.17 | 1.2 |
| Max Drawdown | -33.72% | -19.28% |
| Max DD Date | 2020-03-23 | 2020-03-24 |
| Max DD Period Start | 2020-02-20 | 2020-02-24 |
| Max DD Period End | 2020-08-07 | 2021-02-08 |
| Longest DD Days | 708 | 758 |
| Volatility (ann.) | 20.0% | 6.05% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.45 | 0.22 |
| Skew | -0.27 | -2.29 |
| Kurtosis | 13.56 | 80.44 |
| Ulcer Performance Index | 19.11 | 6.53 |
| Risk-Adjusted Return | 15.21% | 5.35% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.86% | 0.22% |
| Avg. Loss | -1.1% | -0.28% |
| Win/Loss Ratio | 0.78 | 0.81 |
| Profit Ratio | 0.77 | 0.25 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.1% | 0.32% |
| Expected Yearly | 12.69% | 3.51% |
| Kelly Criterion | -2.6% | 9.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.01% | -0.61% |
| Expected Shortfall (cVaR) | -3.33% | -1.48% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.17 | 0.2 |
| Gain/Pain (1M) | 0.97 | 0.89 |
| Payoff Ratio | 0.78 | 0.81 |
| Profit Factor | 1.17 | 1.2 |
| Common Sense Ratio | 1.12 | 1.22 |
| CPC Index | 0.5 | 0.58 |
| Tail Ratio | 0.96 | 1.01 |
| Outlier Win Ratio | 3.77 | 5.29 |
| Outlier Loss Ratio | 4.04 | 3.12 |
| 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.) | 15.21% | 4.18% |
| All-time (ann.) | 15.21% | 4.18% |
| Best Day | 10.5% | 5.43% |
| Worst Day | -10.94% | -6.0% |
| Best Month | 12.7% | 3.05% |
| Worst Month | -12.49% | -14.39% |
| Best Year | 28.73% | 7.8% |
| Worst Year | -18.18% | -4.62% |
| Avg. Drawdown | -1.92% | -1.23% |
| Avg. Drawdown Days | 19 | 46 |
| Recovery Factor | 3.24 | 1.5 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.84 | 0.17 |
| Avg. Up Month | 4.12% | 1.2% |
| Avg. Down Month | -4.73% | -1.65% |
| Win Days | 55.15% | 59.48% |
| Win Month | 64.37% | 68.97% |
| Win Quarter | 73.33% | 76.67% |
| Win Year | 87.5% | 75.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.03 |
| Correlation | - | 33.34% |
| Treynor Ratio | - | 315.24% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.81 | 0.17 | - |
| 2020 | 18.33 | -1.10 | -0.06 | - |
| 2021 | 28.73 | 5.24 | 0.18 | - |
| 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 |
|---|---|---|---|
| 2020-02-24 | 2021-02-08 | -19.28 | 351 |
| 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 | 2024-10-10 | -2.61 | 87 |
| 2021-02-23 | 2021-04-09 | -1.99 | 46 |
| 2021-07-13 | 2021-11-04 | -1.92 | 115 |
| 2019-08-02 | 2019-12-11 | -1.64 | 132 |
| 2026-01-28 | 2026-04-02 | -1.08 | 65 |
| 2024-11-11 | 2024-11-27 | -0.98 | 17 |