| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 99.0% |
| Cumulative Return | 85.23% | 137.84% |
| CAGR﹪ | 13.2% | 19.04% |
| Sharpe | 0.81 | 1.09 |
| Prob. Sharpe Ratio | 96.46% | 99.24% |
| Smart Sharpe | 0.8 | 1.09 |
| Sortino | 1.17 | 1.59 |
| Smart Sortino | 1.17 | 1.59 |
| Sortino/√2 | 0.83 | 1.13 |
| Smart Sortino/√2 | 0.82 | 1.12 |
| Omega | 1.15 | 1.21 |
| Max Drawdown | -24.5% | -21.0% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2025-02-19 |
| Max DD Period End | 2023-12-12 | 2025-06-26 |
| Longest DD Days | 708 | 547 |
| Volatility (ann.) | 17.21% | 17.34% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.54 | 0.91 |
| Skew | 0.31 | 0.05 |
| Kurtosis | 8.92 | 7.35 |
| Ulcer Performance Index | 10.07 | 19.61 |
| Risk-Adjusted Return | 13.2% | 19.23% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.88% | 0.91% |
| Avg. Loss | -0.93% | -0.92% |
| Win/Loss Ratio | 0.94 | 0.99 |
| Profit Ratio | 0.82 | 0.79 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.02% | 1.43% |
| Expected Yearly | 10.82% | 15.54% |
| Kelly Criterion | 5.68% | 8.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.72% |
| Expected Shortfall (cVaR) | -2.58% | -2.61% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.21 |
| Gain/Pain (1M) | 0.85 | 1.29 |
| Payoff Ratio | 0.94 | 0.99 |
| Profit Factor | 1.15 | 1.21 |
| Common Sense Ratio | 1.17 | 1.26 |
| CPC Index | 0.59 | 0.65 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.43 | 3.33 |
| Outlier Loss Ratio | 3.76 | 3.67 |
| MTD | 3.15% | 1.24% |
| 3M | 4.73% | 10.9% |
| 6M | 11.92% | 8.3% |
| YTD | 13.6% | 12.27% |
| 1Y | 22.27% | 18.63% |
| 3Y (ann.) | 22.32% | 29.66% |
| 5Y (ann.) | 13.41% | 19.71% |
| 10Y (ann.) | 13.2% | 19.04% |
| All-time (ann.) | 13.2% | 19.04% |
| Best Day | 10.5% | 8.29% |
| Worst Day | -5.85% | -7.13% |
| Best Month | 10.51% | 13.82% |
| Worst Month | -9.24% | -10.61% |
| Best Year | 26.18% | 35.57% |
| Worst Year | -18.18% | -7.18% |
| Avg. Drawdown | -1.86% | -2.26% |
| Avg. Drawdown Days | 20 | 22 |
| Recovery Factor | 2.82 | 4.48 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 0.47 | 0.91 |
| Avg. Up Month | 4.16% | 4.82% |
| Avg. Down Month | -4.08% | -3.79% |
| Win Days | 54.2% | 54.58% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.77 |
| Alpha | - | 0.08 |
| Correlation | - | 76.86% |
| Treynor Ratio | - | 178.09% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 3.81 | 0.51 | - |
| 2022 | -18.18 | -7.18 | 0.39 | + |
| 2023 | 26.18 | 31.98 | 1.22 | + |
| 2024 | 24.89 | 35.57 | 1.43 | + |
| 2025 | 17.72 | 22.86 | 1.29 | + |
| 2026 | 13.60 | 12.27 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-19 | 2025-06-26 | -21.00 | 128 |
| 2022-01-18 | 2023-07-18 | -20.95 | 547 |
| 2026-01-23 | 2026-06-23 | -11.49 | 152 |
| 2024-08-01 | 2024-09-16 | -7.39 | 47 |
| 2025-10-06 | 2025-12-09 | -7.24 | 65 |
| 2024-11-26 | 2025-01-17 | -6.82 | 53 |
| 2021-11-24 | 2021-12-23 | -4.87 | 30 |
| 2024-05-22 | 2024-07-11 | -4.59 | 51 |
| 2023-08-08 | 2023-11-02 | -4.24 | 87 |
| 2024-04-01 | 2024-05-02 | -3.68 | 32 |