| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 85.23% | 54.76% |
| CAGR﹪ | 13.2% | 9.18% |
| Sharpe | 0.81 | 0.77 |
| Prob. Sharpe Ratio | 96.46% | 95.44% |
| Smart Sharpe | 0.77 | 0.73 |
| Sortino | 1.17 | 1.06 |
| Smart Sortino | 1.12 | 1.01 |
| Sortino/√2 | 0.83 | 0.75 |
| Smart Sortino/√2 | 0.79 | 0.72 |
| Omega | 1.15 | 1.14 |
| Max Drawdown | -24.5% | -20.39% |
| Max DD Date | 2022-10-12 | 2023-03-24 |
| Max DD Period Start | 2022-01-04 | 2022-10-21 |
| Max DD Period End | 2023-12-12 | 2025-12-18 |
| Longest DD Days | 708 | 1155 |
| Volatility (ann.) | 17.21% | 12.43% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.54 | 0.45 |
| Skew | 0.31 | -0.56 |
| Kurtosis | 8.92 | 3.39 |
| Ulcer Performance Index | 10.07 | 5.64 |
| Risk-Adjusted Return | 13.2% | 9.27% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.7% | 0.55% |
| Avg. Loss | -0.79% | -0.67% |
| Win/Loss Ratio | 0.89 | 0.82 |
| Profit Ratio | 0.82 | 0.66 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.02% | 0.72% |
| Expected Yearly | 10.82% | 7.55% |
| Kelly Criterion | 2.53% | 2.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.25% |
| Expected Shortfall (cVaR) | -2.58% | -1.86% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.14 |
| Gain/Pain (1M) | 0.85 | 0.83 |
| Payoff Ratio | 0.89 | 0.82 |
| Profit Factor | 1.15 | 1.14 |
| Common Sense Ratio | 1.17 | 1.07 |
| CPC Index | 0.55 | 0.53 |
| Tail Ratio | 1.01 | 0.94 |
| Outlier Win Ratio | 3.43 | 3.73 |
| Outlier Loss Ratio | 3.76 | 3.55 |
| MTD | 3.15% | 1.33% |
| 3M | 4.73% | 2.6% |
| 6M | 11.92% | 3.58% |
| YTD | 13.6% | 12.66% |
| 1Y | 22.27% | 28.53% |
| 3Y (ann.) | 22.32% | 9.58% |
| 5Y (ann.) | 13.41% | 9.45% |
| 10Y (ann.) | 13.2% | 9.18% |
| All-time (ann.) | 13.2% | 9.18% |
| Best Day | 10.5% | 3.29% |
| Worst Day | -5.85% | -4.13% |
| Best Month | 10.51% | 10.59% |
| Worst Month | -9.24% | -8.84% |
| Best Year | 26.18% | 21.61% |
| Worst Year | -18.18% | -8.94% |
| Avg. Drawdown | -1.86% | -2.65% |
| Avg. Drawdown Days | 20 | 50 |
| Recovery Factor | 2.82 | 2.33 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 0.47 | 0.21 |
| Avg. Up Month | 3.61% | 2.43% |
| Avg. Down Month | -2.64% | -1.83% |
| Win Days | 54.2% | 55.9% |
| Win Month | 63.93% | 62.3% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.05 |
| Alpha | - | 0.09 |
| Correlation | - | 6.58% |
| Treynor Ratio | - | 1151.75% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 1.60 | 0.22 | - |
| 2022 | -18.18 | 21.61 | -1.19 | + |
| 2023 | 26.18 | -8.94 | -0.34 | - |
| 2024 | 24.89 | 7.24 | 0.29 | - |
| 2025 | 17.72 | 13.85 | 0.78 | - |
| 2026 | 13.60 | 12.66 | 0.93 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2025-12-18 | -20.39 | 1155 |
| 2022-06-14 | 2022-09-20 | -7.38 | 99 |
| 2021-11-17 | 2022-02-10 | -6.18 | 86 |
| 2026-03-02 | 2026-06-01 | -6.10 | 92 |
| 2022-09-28 | 2022-10-13 | -4.75 | 16 |
| 2022-05-09 | 2022-06-07 | -3.89 | 30 |
| 2026-01-30 | 2026-02-06 | -3.71 | 8 |
| 2026-06-04 | 2026-07-20 | -3.69 | 47 |
| 2021-09-02 | 2021-10-19 | -3.60 | 48 |
| 2022-03-09 | 2022-03-18 | -3.55 | 10 |