| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 203.08% | 40.47% |
| CAGR﹪ | 16.74% | 4.86% |
| Sharpe | 0.89 | 1.15 |
| Prob. Sharpe Ratio | 99.03% | 99.89% |
| Smart Sharpe | 0.88 | 1.14 |
| Sortino | 1.25 | 1.7 |
| Smart Sortino | 1.25 | 1.7 |
| Sortino/√2 | 0.89 | 1.2 |
| Smart Sortino/√2 | 0.88 | 1.2 |
| Omega | 1.19 | 1.21 |
| Max Drawdown | -33.72% | -6.84% |
| Max DD Date | 2020-03-23 | 2022-10-07 |
| Max DD Period Start | 2020-02-20 | 2022-02-09 |
| Max DD Period End | 2020-08-07 | 2023-07-26 |
| Longest DD Days | 708 | 533 |
| Volatility (ann.) | 19.68% | 4.22% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.5 | 0.71 |
| Skew | -0.29 | -0.01 |
| Kurtosis | 13.7 | 1.97 |
| Ulcer Performance Index | 25.26 | 22.58 |
| Risk-Adjusted Return | 16.74% | 5.85% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.06% | 0.02% |
| Avg. Win | 0.74% | 0.23% |
| Avg. Loss | -0.84% | -0.24% |
| Win/Loss Ratio | 0.89 | 0.96 |
| Profit Ratio | 0.76 | 0.42 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.28% | 0.39% |
| Expected Yearly | 14.87% | 4.34% |
| Kelly Criterion | 5.25% | 7.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.42% |
| Expected Shortfall (cVaR) | -3.23% | -0.58% |
| Max Consecutive Wins | 11 | 8 |
| Max Consecutive Losses | 7 | 7 |
| Gain/Pain Ratio | 0.19 | 0.21 |
| Gain/Pain (1M) | 1.16 | 1.44 |
| Payoff Ratio | 0.89 | 0.96 |
| Profit Factor | 1.19 | 1.21 |
| Common Sense Ratio | 1.14 | 1.27 |
| CPC Index | 0.58 | 0.64 |
| Tail Ratio | 0.96 | 1.04 |
| Outlier Win Ratio | 3.69 | 4.18 |
| Outlier Loss Ratio | 4.08 | 2.7 |
| 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.) | 16.74% | 4.86% |
| All-time (ann.) | 16.74% | 4.86% |
| Best Day | 10.5% | 1.57% |
| Worst Day | -10.94% | -1.24% |
| Best Month | 12.7% | 2.85% |
| Worst Month | -12.49% | -3.13% |
| Best Year | 28.73% | 9.85% |
| Worst Year | -18.18% | -2.56% |
| Avg. Drawdown | -1.77% | -0.7% |
| Avg. Drawdown Days | 15 | 23 |
| Recovery Factor | 3.7 | 5.06 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.01 | 1.08 |
| Avg. Up Month | 3.99% | 0.91% |
| Avg. Down Month | -5.18% | -1.23% |
| Win Days | 55.41% | 54.88% |
| Win Month | 66.67% | 65.52% |
| Win Quarter | 76.67% | 76.67% |
| Win Year | 87.5% | 87.5% |
| Beta | - | -0.03 |
| Alpha | - | 0.05 |
| Correlation | - | -15.44% |
| Treynor Ratio | - | -1223.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 2.69 | 0.16 | - |
| 2020 | 18.33 | 4.83 | 0.26 | - |
| 2021 | 28.73 | 3.68 | 0.13 | - |
| 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 |
| 2020-02-28 | 2020-04-29 | -3.21 | 62 |
| 2025-08-13 | 2025-11-28 | -2.83 | 108 |
| 2020-07-13 | 2020-11-23 | -2.75 | 134 |
| 2019-07-30 | 2019-11-04 | -2.65 | 98 |
| 2026-06-15 | 2026-07-16 | -2.08 | 32 |
| 2020-12-15 | 2021-03-12 | -2.03 | 88 |
| 2021-05-24 | 2021-11-04 | -1.92 | 165 |
| 2026-07-30 | 2026-08-11 | -1.80 | 13 |