| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 152.56% | 76.46% |
| CAGR﹪ | 17.47% | 10.37% |
| Sharpe | 1.05 | 1.1 |
| Prob. Sharpe Ratio | 99.42% | 99.47% |
| Smart Sharpe | 1.04 | 1.09 |
| Sortino | 1.53 | 1.54 |
| Smart Sortino | 1.53 | 1.54 |
| Sortino/√2 | 1.08 | 1.09 |
| Smart Sortino/√2 | 1.08 | 1.09 |
| Omega | 1.2 | 1.2 |
| 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.) | 16.71% | 9.42% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.71 | 0.95 |
| Skew | 0.27 | -0.76 |
| Kurtosis | 8.76 | 5.0 |
| Ulcer Performance Index | 19.37 | 19.56 |
| Risk-Adjusted Return | 17.47% | 11.15% |
| Risk-Return Ratio | 0.07 | 0.07 |
| Avg. Return | 0.08% | 0.04% |
| Avg. Win | 0.72% | 0.48% |
| Avg. Loss | -0.73% | -0.52% |
| Win/Loss Ratio | 0.98 | 0.93 |
| Profit Ratio | 0.83 | 0.63 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.31% | 0.8% |
| Expected Yearly | 14.15% | 8.45% |
| Kelly Criterion | 8.48% | 5.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -0.94% |
| Expected Shortfall (cVaR) | -2.45% | -1.44% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.2 | 0.2 |
| Gain/Pain (1M) | 1.21 | 1.27 |
| Payoff Ratio | 0.98 | 0.93 |
| Profit Factor | 1.2 | 1.2 |
| Common Sense Ratio | 1.23 | 1.26 |
| CPC Index | 0.65 | 0.61 |
| Tail Ratio | 1.03 | 1.05 |
| Outlier Win Ratio | 3.42 | 3.25 |
| Outlier Loss Ratio | 3.86 | 3.31 |
| 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.) | 17.47% | 10.37% |
| All-time (ann.) | 17.47% | 10.37% |
| Best Day | 10.5% | 2.53% |
| Worst Day | -5.85% | -5.09% |
| Best Month | 10.88% | 9.12% |
| Worst Month | -9.24% | -3.23% |
| Best Year | 28.73% | 30.94% |
| Worst Year | -18.18% | -1.83% |
| Avg. Drawdown | -1.6% | -1.84% |
| Avg. Drawdown Days | 15 | 34 |
| Recovery Factor | 4.11 | 5.41 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.74 | 1.04 |
| Avg. Up Month | 4.04% | 2.35% |
| Avg. Down Month | -1.95% | -1.6% |
| Win Days | 54.63% | 54.59% |
| Win Month | 66.2% | 56.34% |
| Win Quarter | 75.0% | 70.83% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.01 |
| Alpha | - | 0.1 |
| Correlation | - | 2.47% |
| Treynor Ratio | - | 5483.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 14.94 | 4.94 | 0.33 | - |
| 2021 | 28.73 | 9.05 | 0.31 | - |
| 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 |
| 2021-11-17 | 2022-01-25 | -5.59 | 70 |
| 2024-09-30 | 2024-12-10 | -4.88 | 72 |
| 2021-06-03 | 2021-10-15 | -4.85 | 135 |
| 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 |
| 2021-01-22 | 2021-02-04 | -2.94 | 14 |