| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 85.23% | 186.45% |
| CAGR﹪ | 13.2% | 23.57% |
| Sharpe | 0.81 | 2.17 |
| Prob. Sharpe Ratio | 96.46% | 100.0% |
| Smart Sharpe | 0.69 | 1.86 |
| Sortino | 1.17 | 3.2 |
| Smart Sortino | 1.0 | 2.75 |
| Sortino/√2 | 0.83 | 2.26 |
| Smart Sortino/√2 | 0.71 | 1.94 |
| Omega | 1.15 | 1.44 |
| Max Drawdown | -24.5% | -17.07% |
| Max DD Date | 2022-10-12 | 2022-09-26 |
| Max DD Period Start | 2022-01-04 | 2022-06-08 |
| Max DD Period End | 2023-12-12 | 2023-02-08 |
| Longest DD Days | 708 | 246 |
| Volatility (ann.) | 17.21% | 10.0% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.54 | 1.38 |
| Skew | 0.31 | -0.6 |
| Kurtosis | 8.92 | 3.4 |
| Ulcer Performance Index | 10.07 | 44.74 |
| Risk-Adjusted Return | 13.2% | 24.81% |
| Risk-Return Ratio | 0.05 | 0.14 |
| Avg. Return | 0.06% | 0.09% |
| Avg. Win | 0.83% | 0.53% |
| Avg. Loss | -0.93% | -0.53% |
| Win/Loss Ratio | 0.9 | 0.99 |
| Profit Ratio | 0.82 | 0.62 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.02% | 1.74% |
| Expected Yearly | 10.82% | 19.17% |
| Kelly Criterion | 3.13% | 16.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.95% |
| Expected Shortfall (cVaR) | -2.58% | -1.4% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 6 | 9 |
| Gain/Pain Ratio | 0.15 | 0.44 |
| Gain/Pain (1M) | 0.85 | 3.16 |
| Payoff Ratio | 0.9 | 0.99 |
| Profit Factor | 1.15 | 1.44 |
| Common Sense Ratio | 1.17 | 1.58 |
| CPC Index | 0.56 | 0.83 |
| Tail Ratio | 1.01 | 1.09 |
| Outlier Win Ratio | 3.43 | 3.33 |
| Outlier Loss Ratio | 3.76 | 3.03 |
| MTD | 3.15% | 2.43% |
| 3M | 4.73% | 5.34% |
| 6M | 11.92% | 4.99% |
| YTD | 13.6% | 3.4% |
| 1Y | 22.27% | 17.94% |
| 3Y (ann.) | 22.32% | 24.81% |
| 5Y (ann.) | 13.41% | 24.83% |
| 10Y (ann.) | 13.2% | 23.57% |
| All-time (ann.) | 13.2% | 23.57% |
| Best Day | 10.5% | 2.47% |
| Worst Day | -5.85% | -4.01% |
| Best Month | 10.51% | 9.5% |
| Worst Month | -9.24% | -8.02% |
| Best Year | 26.18% | 34.43% |
| Worst Year | -18.18% | 3.4% |
| Avg. Drawdown | -1.86% | -1.14% |
| Avg. Drawdown Days | 20 | 13 |
| Recovery Factor | 2.82 | 6.31 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 1.32 |
| Avg. Up Month | 4.11% | 3.64% |
| Avg. Down Month | -5.37% | -3.36% |
| Win Days | 54.2% | 58.25% |
| Win Month | 63.93% | 73.77% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.21 |
| Alpha | - | 0.19 |
| Correlation | - | 36.43% |
| Treynor Ratio | - | 880.89% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 6.95 | 0.94 | - |
| 2022 | -18.18 | 19.11 | -1.05 | + |
| 2023 | 26.18 | 23.91 | 0.91 | - |
| 2024 | 24.89 | 30.56 | 1.23 | + |
| 2025 | 17.72 | 34.43 | 1.94 | + |
| 2026 | 13.60 | 3.40 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-08 | 2023-02-08 | -17.07 | 246 |
| 2025-03-26 | 2025-04-29 | -7.07 | 35 |
| 2023-03-07 | 2023-06-14 | -6.94 | 100 |
| 2022-02-22 | 2022-05-02 | -6.36 | 70 |
| 2025-12-24 | 2026-07-30 | -6.01 | 219 |
| 2021-08-17 | 2021-12-01 | -5.96 | 107 |
| 2024-06-03 | 2024-09-18 | -5.68 | 108 |
| 2025-03-06 | 2025-03-18 | -2.94 | 13 |
| 2023-09-29 | 2023-10-30 | -2.50 | 32 |
| 2022-05-18 | 2022-05-24 | -2.39 | 7 |