| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 95.0% |
| Cumulative Return | 205.7% | 216.86% |
| CAGR﹪ | 16.87% | 17.46% |
| Sharpe | 0.89 | 1.46 |
| Prob. Sharpe Ratio | 99.07% | 99.99% |
| Smart Sharpe | 0.83 | 1.36 |
| Sortino | 1.26 | 2.06 |
| Smart Sortino | 1.17 | 1.91 |
| Sortino/√2 | 0.89 | 1.46 |
| Smart Sortino/√2 | 0.83 | 1.35 |
| Omega | 1.19 | 1.29 |
| Max Drawdown | -33.72% | -24.38% |
| Max DD Date | 2020-03-23 | 2020-03-20 |
| Max DD Period Start | 2020-02-20 | 2019-12-23 |
| Max DD Period End | 2020-08-07 | 2021-03-25 |
| Longest DD Days | 708 | 459 |
| Volatility (ann.) | 19.67% | 11.46% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.5 | 0.72 |
| Skew | -0.29 | -0.95 |
| Kurtosis | 13.7 | 8.49 |
| Ulcer Performance Index | 25.6 | 29.05 |
| Risk-Adjusted Return | 16.87% | 18.38% |
| Risk-Return Ratio | 0.06 | 0.09 |
| Avg. Return | 0.08% | 0.07% |
| Avg. Win | 0.89% | 0.58% |
| Avg. Loss | -1.03% | -0.64% |
| Win/Loss Ratio | 0.86 | 0.91 |
| Profit Ratio | 0.76 | 0.59 |
| Expected Daily | 0.06% | 0.06% |
| Expected Monthly | 1.29% | 1.33% |
| Expected Yearly | 14.99% | 15.51% |
| Kelly Criterion | 3.86% | 9.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.12% |
| Expected Shortfall (cVaR) | -3.23% | -1.71% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.29 |
| Gain/Pain (1M) | 1.17 | 1.83 |
| Payoff Ratio | 0.86 | 0.91 |
| Profit Factor | 1.19 | 1.29 |
| Common Sense Ratio | 1.14 | 1.31 |
| CPC Index | 0.57 | 0.67 |
| Tail Ratio | 0.96 | 1.02 |
| Outlier Win Ratio | 3.69 | 3.48 |
| Outlier Loss Ratio | 4.08 | 3.53 |
| 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.) | 16.87% | 17.46% |
| All-time (ann.) | 16.87% | 17.46% |
| Best Day | 10.5% | 3.51% |
| Worst Day | -10.94% | -7.16% |
| Best Month | 12.7% | 11.58% |
| Worst Month | -12.49% | -8.21% |
| Best Year | 28.73% | 34.43% |
| Worst Year | -18.18% | -13.91% |
| Avg. Drawdown | -1.77% | -1.39% |
| Avg. Drawdown Days | 15 | 18 |
| Recovery Factor | 3.73 | 4.93 |
| Ulcer Index | 0.08 | 0.07 |
| Serenity Index | 1.02 | 0.68 |
| Avg. Up Month | 4.25% | 3.27% |
| Avg. Down Month | -5.05% | -3.65% |
| Win Days | 55.43% | 57.18% |
| Win Month | 66.67% | 71.26% |
| Win Quarter | 76.67% | 83.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.31 |
| Alpha | - | 0.11 |
| Correlation | - | 53.24% |
| Treynor Ratio | - | 698.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 4.82 | 0.29 | - |
| 2020 | 18.33 | -13.91 | -0.76 | - |
| 2021 | 28.73 | 31.10 | 1.08 | + |
| 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 |
|---|---|---|---|
| 2019-12-23 | 2021-03-25 | -24.38 | 459 |
| 2022-06-08 | 2023-02-08 | -17.07 | 246 |
| 2021-05-18 | 2021-12-28 | -12.05 | 225 |
| 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 |
| 2019-07-16 | 2019-11-06 | -5.91 | 114 |
| 2024-06-03 | 2024-09-18 | -5.68 | 108 |
| 2025-03-06 | 2025-03-18 | -2.94 | 13 |