| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 88.0% |
| Cumulative Return | 198.2% | 45.09% |
| CAGR﹪ | 16.48% | 5.33% |
| Sharpe | 0.87 | 0.76 |
| Prob. Sharpe Ratio | 98.96% | 97.6% |
| Smart Sharpe | 0.85 | 0.73 |
| Sortino | 1.24 | 1.02 |
| Smart Sortino | 1.2 | 0.99 |
| Sortino/√2 | 0.87 | 0.72 |
| Smart Sortino/√2 | 0.85 | 0.7 |
| Omega | 1.18 | 1.14 |
| Max Drawdown | -33.72% | -12.31% |
| Max DD Date | 2020-03-23 | 2024-01-04 |
| Max DD Period Start | 2020-02-20 | 2022-10-21 |
| Max DD Period End | 2020-08-07 | 2026-01-27 |
| Longest DD Days | 714 | 1195 |
| Volatility (ann.) | 19.66% | 7.21% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.43 |
| Skew | -0.29 | -0.97 |
| Kurtosis | 13.76 | 5.41 |
| Ulcer Performance Index | 22.77 | 8.68 |
| Risk-Adjusted Return | 16.48% | 6.06% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.76% | 0.35% |
| Avg. Loss | -0.9% | -0.44% |
| Win/Loss Ratio | 0.85 | 0.8 |
| Profit Ratio | 0.76 | 0.44 |
| Expected Daily | 0.06% | 0.02% |
| Expected Monthly | 1.26% | 0.43% |
| Expected Yearly | 14.63% | 4.76% |
| Kelly Criterion | 2.78% | 1.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.73% |
| Expected Shortfall (cVaR) | -3.23% | -1.12% |
| Max Consecutive Wins | 11 | 11 |
| Max Consecutive Losses | 7 | 6 |
| Gain/Pain Ratio | 0.18 | 0.14 |
| Gain/Pain (1M) | 1.12 | 0.72 |
| Payoff Ratio | 0.85 | 0.8 |
| Profit Factor | 1.18 | 1.14 |
| Common Sense Ratio | 1.13 | 1.12 |
| CPC Index | 0.56 | 0.51 |
| Tail Ratio | 0.96 | 0.98 |
| Outlier Win Ratio | 3.7 | 3.59 |
| Outlier Loss Ratio | 4.08 | 3.06 |
| 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.) | 16.48% | 5.33% |
| All-time (ann.) | 16.48% | 5.33% |
| Best Day | 10.5% | 1.77% |
| Worst Day | -10.94% | -3.77% |
| Best Month | 12.7% | 5.53% |
| Worst Month | -12.49% | -5.39% |
| Best Year | 28.73% | 15.76% |
| Worst Year | -20.18% | -6.58% |
| Avg. Drawdown | -1.8% | -1.59% |
| Avg. Drawdown Days | 16 | 49 |
| Recovery Factor | 3.65 | 3.18 |
| Ulcer Index | 0.09 | 0.05 |
| Serenity Index | 0.86 | 0.34 |
| Avg. Up Month | 4.21% | 1.52% |
| Avg. Down Month | -3.28% | -1.33% |
| Win Days | 55.41% | 56.27% |
| Win Month | 66.67% | 59.77% |
| Win Quarter | 76.67% | 70.0% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.04 |
| Alpha | - | 0.05 |
| Correlation | - | 10.76% |
| Treynor Ratio | - | 1142.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 8.17 | 0.50 | - |
| 2020 | 18.33 | 4.60 | 0.25 | - |
| 2021 | 28.73 | 0.08 | 0.00 | - |
| 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 |
| 2020-02-21 | 2020-12-31 | -9.23 | 315 |
| 2021-05-10 | 2022-03-07 | -7.39 | 302 |
| 2022-06-14 | 2022-09-21 | -5.95 | 100 |
| 2019-09-04 | 2019-11-25 | -4.43 | 83 |
| 2026-05-14 | 2026-08-11 | -3.48 | 90 |
| 2019-11-29 | 2020-01-28 | -2.89 | 61 |
| 2021-01-15 | 2021-02-08 | -2.73 | 25 |
| 2021-03-18 | 2021-04-14 | -2.54 | 28 |
| 2022-09-28 | 2022-10-06 | -2.40 | 9 |