| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 80.68% | 23.67% |
| CAGR﹪ | 12.64% | 4.37% |
| Sharpe | 0.78 | 0.63 |
| Prob. Sharpe Ratio | 95.94% | 91.66% |
| Smart Sharpe | 0.77 | 0.62 |
| Sortino | 1.13 | 0.86 |
| Smart Sortino | 1.11 | 0.85 |
| Sortino/√2 | 0.8 | 0.61 |
| Smart Sortino/√2 | 0.79 | 0.6 |
| Omega | 1.15 | 1.11 |
| Max Drawdown | -26.35% | -12.31% |
| Max DD Date | 2022-10-12 | 2024-01-04 |
| Max DD Period Start | 2022-01-04 | 2022-10-21 |
| Max DD Period End | 2023-12-18 | 2026-01-27 |
| Longest DD Days | 714 | 1195 |
| Volatility (ann.) | 17.19% | 7.2% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.48 | 0.35 |
| Skew | 0.31 | -0.72 |
| Kurtosis | 8.99 | 3.78 |
| Ulcer Performance Index | 8.61 | 4.11 |
| Risk-Adjusted Return | 12.64% | 4.96% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.04% | 0.02% |
| Avg. Win | 0.65% | 0.35% |
| Avg. Loss | -0.75% | -0.43% |
| Win/Loss Ratio | 0.86 | 0.81 |
| Profit Ratio | 0.82 | 0.45 |
| Expected Daily | 0.05% | 0.02% |
| Expected Monthly | 0.97% | 0.35% |
| Expected Yearly | 10.36% | 3.6% |
| Kelly Criterion | 0.84% | 0.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.73% |
| Expected Shortfall (cVaR) | -2.58% | -1.09% |
| Max Consecutive Wins | 10 | 11 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.15 | 0.11 |
| Gain/Pain (1M) | 0.79 | 0.55 |
| Payoff Ratio | 0.86 | 0.81 |
| Profit Factor | 1.15 | 1.11 |
| Common Sense Ratio | 1.15 | 1.14 |
| CPC Index | 0.53 | 0.5 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.44 | 3.56 |
| Outlier Loss Ratio | 3.76 | 2.94 |
| MTD | 3.15% | 0.12% |
| 3M | 4.73% | -2.1% |
| 6M | 11.92% | 3.84% |
| YTD | 13.6% | 7.84% |
| 1Y | 22.27% | 11.83% |
| 3Y (ann.) | 22.32% | 4.03% |
| 5Y (ann.) | 12.85% | 4.75% |
| 10Y (ann.) | 12.64% | 4.37% |
| All-time (ann.) | 12.64% | 4.37% |
| Best Day | 10.5% | 1.77% |
| Worst Day | -5.85% | -2.9% |
| Best Month | 10.51% | 5.53% |
| Worst Month | -10.5% | -5.39% |
| Best Year | 26.18% | 15.76% |
| Worst Year | -20.18% | -6.58% |
| Avg. Drawdown | -1.9% | -1.82% |
| Avg. Drawdown Days | 20 | 71 |
| Recovery Factor | 2.52 | 1.83 |
| Ulcer Index | 0.09 | 0.06 |
| Serenity Index | 0.37 | 0.16 |
| Avg. Up Month | 3.6% | 1.32% |
| Avg. Down Month | -1.67% | -1.2% |
| Win Days | 54.16% | 55.54% |
| Win Month | 63.93% | 60.66% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 66.67% |
| Beta | - | -0.02 |
| Alpha | - | 0.05 |
| Correlation | - | -5.45% |
| Treynor Ratio | - | -1035.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -3.48 | -0.47 | - |
| 2022 | -20.18 | 15.76 | -0.78 | + |
| 2023 | 26.18 | -6.58 | -0.25 | - |
| 2024 | 24.89 | 6.77 | 0.27 | - |
| 2025 | 17.72 | 2.90 | 0.16 | - |
| 2026 | 13.60 | 7.84 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-10-21 | 2026-01-27 | -12.31 | 1195 |
| 2022-06-14 | 2022-09-21 | -5.95 | 100 |
| 2021-08-17 | 2022-03-01 | -4.40 | 197 |
| 2026-05-14 | 2026-08-11 | -3.48 | 90 |
| 2022-09-28 | 2022-10-06 | -2.40 | 9 |
| 2022-05-17 | 2022-06-08 | -2.09 | 23 |
| 2022-03-28 | 2022-04-05 | -1.45 | 9 |
| 2026-02-10 | 2026-02-24 | -1.35 | 15 |
| 2022-03-09 | 2022-03-21 | -1.35 | 13 |
| 2026-01-30 | 2026-02-03 | -1.11 | 5 |