| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 85.23% | 49.94% |
| CAGR﹪ | 13.2% | 8.49% |
| Sharpe | 0.81 | 0.9 |
| Prob. Sharpe Ratio | 96.46% | 97.54% |
| Smart Sharpe | 0.8 | 0.9 |
| Sortino | 1.17 | 1.27 |
| Smart Sortino | 1.17 | 1.27 |
| Sortino/√2 | 0.83 | 0.9 |
| Smart Sortino/√2 | 0.82 | 0.9 |
| Omega | 1.15 | 1.16 |
| Max Drawdown | -24.5% | -10.97% |
| Max DD Date | 2022-10-12 | 2024-01-03 |
| Max DD Period Start | 2022-01-04 | 2023-03-09 |
| Max DD Period End | 2023-12-12 | 2024-09-25 |
| Longest DD Days | 708 | 567 |
| Volatility (ann.) | 17.21% | 9.53% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.54 | 0.77 |
| Skew | 0.31 | -0.73 |
| Kurtosis | 8.92 | 5.33 |
| Ulcer Performance Index | 10.07 | 11.96 |
| Risk-Adjusted Return | 13.2% | 9.13% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.04% |
| Avg. Win | 0.72% | 0.49% |
| Avg. Loss | -0.74% | -0.51% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 0.82 | 0.68 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.02% | 0.67% |
| Expected Yearly | 10.82% | 6.98% |
| Kelly Criterion | 6.83% | 4.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.95% |
| Expected Shortfall (cVaR) | -2.58% | -1.47% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.15 | 0.16 |
| Gain/Pain (1M) | 0.85 | 0.95 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.15 | 1.16 |
| Common Sense Ratio | 1.17 | 1.25 |
| CPC Index | 0.61 | 0.6 |
| Tail Ratio | 1.01 | 1.08 |
| Outlier Win Ratio | 3.43 | 3.21 |
| Outlier Loss Ratio | 3.76 | 3.34 |
| MTD | 3.15% | 2.52% |
| 3M | 4.73% | -0.68% |
| 6M | 11.92% | 6.6% |
| YTD | 13.6% | 8.65% |
| 1Y | 22.27% | 7.44% |
| 3Y (ann.) | 22.32% | 4.12% |
| 5Y (ann.) | 13.41% | 9.25% |
| 10Y (ann.) | 13.2% | 8.49% |
| All-time (ann.) | 13.2% | 8.49% |
| Best Day | 10.5% | 2.53% |
| Worst Day | -5.85% | -5.09% |
| Best Month | 10.51% | 9.12% |
| Worst Month | -9.24% | -3.23% |
| Best Year | 26.18% | 30.94% |
| Worst Year | -18.18% | -2.76% |
| Avg. Drawdown | -1.86% | -2.29% |
| Avg. Drawdown Days | 20 | 46 |
| Recovery Factor | 2.82 | 3.9 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.68 |
| Avg. Up Month | 3.93% | 2.24% |
| Avg. Down Month | -2.18% | -1.74% |
| Win Days | 54.2% | 52.99% |
| Win Month | 63.93% | 54.1% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 50.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.09 |
| Correlation | - | -2.29% |
| Treynor Ratio | - | -3943.0% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -2.76 | -0.37 | - |
| 2022 | -18.18 | 30.94 | -1.70 | + |
| 2023 | 26.18 | -1.83 | -0.07 | - |
| 2024 | 24.89 | 11.64 | 0.47 | - |
| 2025 | 17.72 | -1.11 | -0.06 | - |
| 2026 | 13.60 | 8.65 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-03-09 | 2024-09-25 | -10.97 | 567 |
| 2022-10-21 | 2023-03-03 | -8.47 | 134 |
| 2025-04-03 | 2026-03-19 | -7.41 | 351 |
| 2021-11-26 | 2022-01-25 | -5.59 | 61 |
| 2024-09-30 | 2024-12-10 | -4.88 | 72 |
| 2021-08-13 | 2021-10-14 | -4.64 | 63 |
| 2026-04-30 | 2026-08-11 | -4.44 | 104 |
| 2022-06-15 | 2022-08-18 | -4.03 | 65 |
| 2022-05-13 | 2022-06-07 | -3.12 | 26 |
| 2025-02-03 | 2025-03-28 | -2.34 | 54 |