| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 85.23% | 27.91% |
| CAGR﹪ | 13.2% | 5.08% |
| Sharpe | 0.81 | 1.28 |
| Prob. Sharpe Ratio | 96.46% | 99.79% |
| Smart Sharpe | 0.81 | 1.28 |
| Sortino | 1.17 | 1.92 |
| Smart Sortino | 1.17 | 1.92 |
| Sortino/√2 | 0.83 | 1.36 |
| Smart Sortino/√2 | 0.83 | 1.36 |
| Omega | 1.15 | 1.24 |
| Max Drawdown | -24.5% | -6.84% |
| Max DD Date | 2022-10-12 | 2022-10-07 |
| Max DD Period Start | 2022-01-04 | 2022-02-09 |
| Max DD Period End | 2023-12-12 | 2023-07-26 |
| Longest DD Days | 708 | 533 |
| Volatility (ann.) | 17.21% | 3.92% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.54 | 0.74 |
| Skew | 0.31 | -0.02 |
| Kurtosis | 8.92 | 0.65 |
| Ulcer Performance Index | 10.07 | 13.93 |
| Risk-Adjusted Return | 13.2% | 6.19% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.72% | 0.23% |
| Avg. Loss | -0.73% | -0.23% |
| Win/Loss Ratio | 0.99 | 0.99 |
| Profit Ratio | 0.82 | 0.4 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.02% | 0.4% |
| Expected Yearly | 10.82% | 4.19% |
| Kelly Criterion | 7.9% | 10.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.39% |
| Expected Shortfall (cVaR) | -2.58% | -0.52% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.24 |
| Gain/Pain (1M) | 0.85 | 1.58 |
| Payoff Ratio | 0.99 | 0.99 |
| Profit Factor | 1.15 | 1.24 |
| Common Sense Ratio | 1.17 | 1.45 |
| CPC Index | 0.62 | 0.67 |
| Tail Ratio | 1.01 | 1.17 |
| Outlier Win Ratio | 3.43 | 3.6 |
| Outlier Loss Ratio | 3.76 | 2.45 |
| MTD | 3.15% | -0.96% |
| 3M | 4.73% | 0.71% |
| 6M | 11.92% | 6.42% |
| YTD | 13.6% | 9.69% |
| 1Y | 22.27% | 9.53% |
| 3Y (ann.) | 22.32% | 7.21% |
| 5Y (ann.) | 13.41% | 5.09% |
| 10Y (ann.) | 13.2% | 5.08% |
| All-time (ann.) | 13.2% | 5.08% |
| Best Day | 10.5% | 0.94% |
| Worst Day | -5.85% | -0.93% |
| Best Month | 10.51% | 2.37% |
| Worst Month | -9.24% | -3.13% |
| Best Year | 26.18% | 9.85% |
| Worst Year | -18.18% | -2.56% |
| Avg. Drawdown | -1.86% | -0.66% |
| Avg. Drawdown Days | 20 | 21 |
| Recovery Factor | 2.82 | 3.65 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.59 |
| Avg. Up Month | 3.81% | 0.85% |
| Avg. Down Month | -6.33% | -1.27% |
| Win Days | 54.2% | 55.39% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.03 |
| Alpha | - | 0.05 |
| Correlation | - | -14.4% |
| Treynor Ratio | - | -850.74% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 1.63 | 0.22 | - |
| 2022 | -18.18 | -2.56 | 0.14 | + |
| 2023 | 26.18 | 9.85 | 0.38 | - |
| 2024 | 24.89 | 1.19 | 0.05 | - |
| 2025 | 17.72 | 5.93 | 0.33 | - |
| 2026 | 13.60 | 9.69 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-02-09 | 2023-07-26 | -6.84 | 533 |
| 2024-01-10 | 2024-09-04 | -3.63 | 239 |
| 2025-08-13 | 2025-11-28 | -2.83 | 108 |
| 2026-06-15 | 2026-07-16 | -2.08 | 32 |
| 2026-07-30 | 2026-08-11 | -1.80 | 13 |
| 2025-12-04 | 2026-01-20 | -1.53 | 48 |
| 2021-09-01 | 2021-11-02 | -1.49 | 63 |
| 2026-03-31 | 2026-04-23 | -1.34 | 24 |
| 2025-04-07 | 2025-04-16 | -1.26 | 10 |
| 2024-11-19 | 2024-12-12 | -1.26 | 24 |