| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 89.0% |
| Cumulative Return | 85.91% | 32.55% |
| CAGR﹪ | 13.3% | 5.84% |
| Sharpe | 0.81 | 0.87 |
| Prob. Sharpe Ratio | 96.53% | 97.14% |
| Smart Sharpe | 0.79 | 0.84 |
| Sortino | 1.18 | 1.21 |
| Smart Sortino | 1.14 | 1.17 |
| Sortino/√2 | 0.83 | 0.86 |
| Smart Sortino/√2 | 0.81 | 0.83 |
| Omega | 1.16 | 1.16 |
| Max Drawdown | -24.5% | -10.8% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2023-07-21 |
| Longest DD Days | 708 | 612 |
| Volatility (ann.) | 17.23% | 6.79% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.54 | 0.54 |
| Skew | 0.31 | -0.65 |
| Kurtosis | 8.9 | 4.86 |
| Ulcer Performance Index | 10.14 | 9.23 |
| Risk-Adjusted Return | 13.3% | 6.56% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.07% | 0.03% |
| Avg. Win | 0.87% | 0.36% |
| Avg. Loss | -0.91% | -0.38% |
| Win/Loss Ratio | 0.96 | 0.96 |
| Profit Ratio | 0.81 | 0.53 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 1.02% | 0.46% |
| Expected Yearly | 10.89% | 4.81% |
| Kelly Criterion | 6.54% | 7.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.68% |
| Expected Shortfall (cVaR) | -2.58% | -1.06% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.16 |
| Gain/Pain (1M) | 0.85 | 0.85 |
| Payoff Ratio | 0.96 | 0.96 |
| Profit Factor | 1.16 | 1.16 |
| Common Sense Ratio | 1.17 | 1.21 |
| CPC Index | 0.6 | 0.61 |
| Tail Ratio | 1.01 | 1.04 |
| Outlier Win Ratio | 3.43 | 3.5 |
| Outlier Loss Ratio | 3.75 | 3.32 |
| MTD | 3.15% | 1.5% |
| 3M | 4.73% | 2.49% |
| 6M | 11.92% | 5.49% |
| YTD | 13.6% | 7.66% |
| 1Y | 22.72% | 12.89% |
| 3Y (ann.) | 22.54% | 9.71% |
| 5Y (ann.) | 13.52% | 5.92% |
| 10Y (ann.) | 13.3% | 5.84% |
| All-time (ann.) | 13.3% | 5.84% |
| Best Day | 10.5% | 2.11% |
| Worst Day | -5.85% | -3.04% |
| Best Month | 10.51% | 4.7% |
| Worst Month | -9.24% | -3.28% |
| Best Year | 26.18% | 10.82% |
| Worst Year | -18.18% | -6.27% |
| Avg. Drawdown | -1.85% | -1.05% |
| Avg. Drawdown Days | 20 | 22 |
| Recovery Factor | 2.83 | 2.72 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.43 |
| Avg. Up Month | 4.07% | 1.69% |
| Avg. Down Month | -4.04% | -1.7% |
| Win Days | 54.28% | 54.51% |
| Win Month | 63.93% | 63.93% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.35 |
| Alpha | - | 0.01 |
| Correlation | - | 88.5% |
| Treynor Ratio | - | 93.37% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 0.85 | 0.11 | - |
| 2022 | -18.18 | -6.27 | 0.35 | + |
| 2023 | 26.18 | 10.82 | 0.41 | - |
| 2024 | 24.89 | 7.04 | 0.28 | - |
| 2025 | 18.15 | 9.81 | 0.54 | - |
| 2026 | 13.60 | 7.66 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2023-07-21 | -10.80 | 612 |
| 2025-02-19 | 2025-07-16 | -8.48 | 148 |
| 2024-07-17 | 2024-09-18 | -4.88 | 64 |
| 2026-02-26 | 2026-04-13 | -4.28 | 47 |
| 2023-08-01 | 2023-11-30 | -3.80 | 122 |
| 2024-12-10 | 2025-01-17 | -2.62 | 39 |
| 2025-11-13 | 2025-12-10 | -2.29 | 28 |
| 2021-09-07 | 2021-10-18 | -2.25 | 42 |
| 2026-06-03 | 2026-06-17 | -2.19 | 15 |
| 2024-09-30 | 2024-11-27 | -2.15 | 59 |