| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 80.0% |
| Cumulative Return | 85.23% | 26.87% |
| CAGR﹪ | 13.2% | 4.9% |
| Sharpe | 0.81 | 1.4 |
| Prob. Sharpe Ratio | 96.46% | 99.9% |
| Smart Sharpe | 0.77 | 1.34 |
| Sortino | 1.17 | 2.04 |
| Smart Sortino | 1.13 | 1.96 |
| Sortino/√2 | 0.83 | 1.44 |
| Smart Sortino/√2 | 0.8 | 1.38 |
| Omega | 1.15 | 1.32 |
| Max Drawdown | -24.5% | -7.52% |
| Max DD Date | 2022-10-12 | 2022-06-17 |
| Max DD Period Start | 2022-01-04 | 2022-01-05 |
| Max DD Period End | 2023-12-12 | 2023-06-01 |
| Longest DD Days | 708 | 513 |
| Volatility (ann.) | 17.21% | 3.46% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.54 | 0.65 |
| Skew | 0.31 | -0.06 |
| Kurtosis | 8.92 | 11.49 |
| Ulcer Performance Index | 10.07 | 12.32 |
| Risk-Adjusted Return | 13.2% | 6.13% |
| Risk-Return Ratio | 0.05 | 0.09 |
| Avg. Return | 0.07% | 0.02% |
| Avg. Win | 0.93% | 0.18% |
| Avg. Loss | -1.07% | -0.2% |
| Win/Loss Ratio | 0.87 | 0.91 |
| Profit Ratio | 0.82 | 0.3 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.02% | 0.39% |
| Expected Yearly | 10.82% | 4.05% |
| Kelly Criterion | 1.58% | 14.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.34% |
| Expected Shortfall (cVaR) | -2.58% | -0.57% |
| Max Consecutive Wins | 10 | 7 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.32 |
| Gain/Pain (1M) | 0.85 | 2.01 |
| Payoff Ratio | 0.87 | 0.91 |
| Profit Factor | 1.15 | 1.32 |
| Common Sense Ratio | 1.17 | 1.6 |
| CPC Index | 0.54 | 0.71 |
| Tail Ratio | 1.01 | 1.21 |
| Outlier Win Ratio | 3.43 | 5.09 |
| Outlier Loss Ratio | 3.76 | 3.7 |
| MTD | 3.15% | 0.37% |
| 3M | 4.73% | 1.72% |
| 6M | 11.92% | 3.39% |
| YTD | 13.6% | 4.11% |
| 1Y | 22.27% | 6.79% |
| 3Y (ann.) | 22.32% | 7.1% |
| 5Y (ann.) | 13.41% | 4.98% |
| 10Y (ann.) | 13.2% | 4.9% |
| All-time (ann.) | 13.2% | 4.9% |
| Best Day | 10.5% | 2.04% |
| Worst Day | -5.85% | -1.47% |
| Best Month | 10.51% | 2.45% |
| Worst Month | -9.24% | -2.86% |
| Best Year | 26.18% | 9.17% |
| Worst Year | -18.18% | -4.26% |
| Avg. Drawdown | -1.86% | -0.24% |
| Avg. Drawdown Days | 20 | 9 |
| Recovery Factor | 2.82 | 3.2 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.47 | 0.43 |
| Avg. Up Month | 3.96% | 0.89% |
| Avg. Down Month | -4.92% | -0.75% |
| Win Days | 54.2% | 59.33% |
| Win Month | 63.93% | 73.77% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.17 |
| Alpha | - | 0.02 |
| Correlation | - | 85.34% |
| Treynor Ratio | - | 156.49% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 1.54 | 0.21 | - |
| 2022 | -18.18 | -4.26 | 0.23 | + |
| 2023 | 26.18 | 9.17 | 0.35 | - |
| 2024 | 24.89 | 7.43 | 0.30 | - |
| 2025 | 17.72 | 6.89 | 0.39 | - |
| 2026 | 13.60 | 4.11 | 0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-05 | 2023-06-01 | -7.52 | 513 |
| 2025-03-26 | 2025-04-25 | -2.77 | 31 |
| 2026-03-12 | 2026-04-07 | -1.02 | 27 |
| 2023-10-18 | 2023-11-02 | -0.96 | 16 |
| 2025-03-03 | 2025-03-21 | -0.86 | 19 |
| 2024-08-02 | 2024-08-12 | -0.82 | 11 |
| 2021-11-24 | 2021-12-22 | -0.69 | 29 |
| 2024-04-12 | 2024-04-26 | -0.62 | 15 |
| 2023-07-03 | 2023-07-12 | -0.41 | 10 |
| 2023-09-21 | 2023-10-06 | -0.41 | 16 |