| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 98.0% |
| Cumulative Return | 85.23% | 44.2% |
| CAGR﹪ | 13.2% | 7.64% |
| Sharpe | 0.81 | 0.7 |
| Prob. Sharpe Ratio | 96.46% | 93.93% |
| Smart Sharpe | 0.77 | 0.67 |
| Sortino | 1.17 | 0.98 |
| Smart Sortino | 1.12 | 0.93 |
| Sortino/√2 | 0.83 | 0.69 |
| Smart Sortino/√2 | 0.79 | 0.66 |
| Omega | 1.15 | 1.13 |
| Max Drawdown | -24.5% | -15.59% |
| Max DD Date | 2022-10-12 | 2025-04-08 |
| Max DD Period Start | 2022-01-04 | 2025-01-16 |
| Max DD Period End | 2023-12-12 | 2025-10-14 |
| Longest DD Days | 708 | 323 |
| Volatility (ann.) | 17.21% | 11.39% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.54 | 0.49 |
| Skew | 0.31 | -0.5 |
| Kurtosis | 8.92 | 5.27 |
| Ulcer Performance Index | 10.07 | 9.98 |
| Risk-Adjusted Return | 13.2% | 7.8% |
| Risk-Return Ratio | 0.05 | 0.04 |
| Avg. Return | 0.06% | 0.03% |
| Avg. Win | 0.83% | 0.55% |
| Avg. Loss | -0.96% | -0.65% |
| Win/Loss Ratio | 0.86 | 0.84 |
| Profit Ratio | 0.82 | 0.7 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.02% | 0.6% |
| Expected Yearly | 10.82% | 6.29% |
| Kelly Criterion | 1.23% | 1.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.15% |
| Expected Shortfall (cVaR) | -2.58% | -1.65% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.15 | 0.13 |
| Gain/Pain (1M) | 0.85 | 0.82 |
| Payoff Ratio | 0.86 | 0.84 |
| Profit Factor | 1.15 | 1.13 |
| Common Sense Ratio | 1.17 | 1.09 |
| CPC Index | 0.54 | 0.52 |
| Tail Ratio | 1.01 | 0.96 |
| Outlier Win Ratio | 3.43 | 3.37 |
| Outlier Loss Ratio | 3.76 | 3.4 |
| MTD | 3.15% | 0.22% |
| 3M | 4.73% | 1.05% |
| 6M | 11.92% | 8.89% |
| YTD | 13.6% | 14.0% |
| 1Y | 22.27% | 17.6% |
| 3Y (ann.) | 22.32% | 9.6% |
| 5Y (ann.) | 13.41% | 8.25% |
| 10Y (ann.) | 13.2% | 7.64% |
| All-time (ann.) | 13.2% | 7.64% |
| Best Day | 10.5% | 4.5% |
| Worst Day | -5.85% | -4.9% |
| Best Month | 10.51% | 7.1% |
| Worst Month | -9.24% | -5.43% |
| Best Year | 26.18% | 14.0% |
| Worst Year | -18.18% | -0.67% |
| Avg. Drawdown | -1.86% | -2.2% |
| Avg. Drawdown Days | 20 | 32 |
| Recovery Factor | 2.82 | 2.56 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.64 |
| Avg. Up Month | 4.02% | 2.56% |
| Avg. Down Month | -3.47% | -2.52% |
| Win Days | 54.2% | 54.98% |
| Win Month | 63.93% | 59.02% |
| Win Quarter | 66.67% | 66.67% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.33 |
| Alpha | - | 0.03 |
| Correlation | - | 49.77% |
| Treynor Ratio | - | 134.23% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -0.19 | -0.03 | - |
| 2022 | -18.18 | 7.72 | -0.43 | + |
| 2023 | 26.18 | -0.67 | -0.03 | - |
| 2024 | 24.89 | 13.51 | 0.54 | - |
| 2025 | 17.72 | 4.35 | 0.25 | - |
| 2026 | 13.60 | 14.00 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-01-16 | 2025-10-14 | -15.59 | 272 |
| 2022-11-04 | 2023-09-22 | -11.70 | 323 |
| 2022-05-17 | 2022-10-04 | -8.46 | 141 |
| 2024-07-02 | 2025-01-08 | -8.40 | 191 |
| 2023-09-29 | 2024-02-12 | -7.99 | 137 |
| 2021-11-26 | 2022-03-15 | -7.54 | 110 |
| 2021-08-17 | 2021-10-29 | -6.18 | 74 |
| 2025-10-22 | 2025-12-22 | -3.85 | 62 |
| 2022-04-21 | 2022-05-11 | -3.32 | 21 |
| 2024-05-30 | 2024-06-27 | -2.97 | 29 |