| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 90.64% | 127.16% |
| CAGR﹪ | 15.62% | 20.27% |
| Sharpe | 0.92 | 1.4 |
| Prob. Sharpe Ratio | 97.45% | 99.81% |
| Smart Sharpe | 0.9 | 1.38 |
| Sortino | 1.35 | 2.01 |
| Smart Sortino | 1.32 | 1.97 |
| Sortino/√2 | 0.95 | 1.42 |
| Smart Sortino/√2 | 0.93 | 1.39 |
| Omega | 1.18 | 1.26 |
| Max Drawdown | -22.09% | -16.45% |
| Max DD Date | 2022-10-12 | 2025-04-04 |
| Max DD Period Start | 2022-03-30 | 2025-01-24 |
| Max DD Period End | 2023-07-17 | 2025-07-30 |
| Longest DD Days | 475 | 450 |
| Volatility (ann.) | 17.43% | 13.83% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.71 | 1.23 |
| Skew | 0.35 | -0.54 |
| Kurtosis | 9.45 | 2.36 |
| Ulcer Performance Index | 12.2 | 25.15 |
| Risk-Adjusted Return | 15.62% | 20.48% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.88% | 0.75% |
| Avg. Loss | -0.94% | -0.77% |
| Win/Loss Ratio | 0.94 | 0.97 |
| Profit Ratio | 0.83 | 0.71 |
| Expected Daily | 0.06% | 0.07% |
| Expected Monthly | 1.18% | 1.5% |
| Expected Yearly | 13.77% | 17.83% |
| Kelly Criterion | 5.56% | 11.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.74% | -1.36% |
| Expected Shortfall (cVaR) | -2.71% | -2.04% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.18 | 0.26 |
| Gain/Pain (1M) | 1.05 | 2.13 |
| Payoff Ratio | 0.94 | 0.97 |
| Profit Factor | 1.18 | 1.26 |
| Common Sense Ratio | 1.23 | 1.35 |
| CPC Index | 0.6 | 0.69 |
| Tail Ratio | 1.04 | 1.07 |
| Outlier Win Ratio | 3.43 | 3.16 |
| Outlier Loss Ratio | 3.83 | 3.41 |
| MTD | 3.15% | -1.82% |
| 3M | 4.73% | 1.09% |
| 6M | 11.92% | 18.46% |
| YTD | 13.6% | 22.1% |
| 1Y | 22.27% | 37.07% |
| 3Y (ann.) | 22.32% | 29.33% |
| 5Y (ann.) | 15.62% | 20.27% |
| 10Y (ann.) | 15.62% | 20.27% |
| All-time (ann.) | 15.62% | 20.27% |
| Best Day | 10.5% | 3.72% |
| Worst Day | -5.85% | -4.64% |
| Best Month | 10.51% | 11.19% |
| Worst Month | -9.24% | -8.12% |
| Best Year | 26.18% | 35.54% |
| Worst Year | -9.53% | -3.04% |
| Avg. Drawdown | -1.96% | -1.91% |
| Avg. Drawdown Days | 18 | 18 |
| Recovery Factor | 3.23 | 5.25 |
| Ulcer Index | 0.07 | 0.05 |
| Serenity Index | 0.62 | 1.31 |
| Avg. Up Month | 3.97% | 3.75% |
| Avg. Down Month | -5.37% | -3.18% |
| Win Days | 54.29% | 56.56% |
| Win Month | 67.27% | 70.91% |
| Win Quarter | 73.68% | 78.95% |
| Win Year | 80.0% | 80.0% |
| Beta | - | 0.57 |
| Alpha | - | 0.1 |
| Correlation | - | 71.97% |
| Treynor Ratio | - | 222.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2022 | -9.53 | -3.04 | 0.32 | + |
| 2023 | 26.18 | 17.54 | 0.67 | - |
| 2024 | 24.89 | 35.54 | 1.43 | + |
| 2025 | 17.72 | 20.44 | 1.15 | + |
| 2026 | 13.60 | 22.10 | 1.63 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-24 | 2025-07-30 | -16.45 | 188 |
| 2022-04-21 | 2023-07-14 | -14.28 | 450 |
| 2024-07-11 | 2024-09-18 | -7.41 | 70 |
| 2026-02-26 | 2026-04-06 | -4.85 | 40 |
| 2023-10-12 | 2023-11-08 | -4.78 | 28 |
| 2024-04-08 | 2024-05-07 | -4.66 | 30 |
| 2025-11-11 | 2025-11-26 | -4.40 | 16 |
| 2024-12-09 | 2025-01-17 | -4.20 | 40 |
| 2022-03-28 | 2022-04-19 | -3.66 | 23 |
| 2022-03-04 | 2022-03-14 | -3.56 | 11 |