| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 91.0% |
| Cumulative Return | 84.89% | 135.98% |
| CAGR﹪ | 13.17% | 18.86% |
| Sharpe | 0.8 | 1.92 |
| Prob. Sharpe Ratio | 96.42% | 100.0% |
| Smart Sharpe | 0.67 | 1.59 |
| Sortino | 1.17 | 2.86 |
| Smart Sortino | 0.97 | 2.37 |
| Sortino/√2 | 0.83 | 2.02 |
| Smart Sortino/√2 | 0.69 | 1.68 |
| Omega | 1.15 | 1.39 |
| Max Drawdown | -24.5% | -13.86% |
| Max DD Date | 2022-10-12 | 2022-08-08 |
| Max DD Period Start | 2022-01-04 | 2022-06-15 |
| Max DD Period End | 2023-12-12 | 2023-01-30 |
| Longest DD Days | 708 | 233 |
| Volatility (ann.) | 17.22% | 9.24% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.54 | 1.36 |
| Skew | 0.31 | -0.36 |
| Kurtosis | 8.91 | 2.83 |
| Ulcer Performance Index | 10.02 | 33.37 |
| Risk-Adjusted Return | 13.17% | 20.73% |
| Risk-Return Ratio | 0.05 | 0.12 |
| Avg. Return | 0.03% | 0.08% |
| Avg. Win | 0.7% | 0.41% |
| Avg. Loss | -0.79% | -0.46% |
| Win/Loss Ratio | 0.88 | 0.89 |
| Profit Ratio | 0.82 | 0.51 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.01% | 1.42% |
| Expected Yearly | 10.79% | 15.38% |
| Kelly Criterion | 2.24% | 11.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.89% |
| Expected Shortfall (cVaR) | -2.58% | -1.25% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.39 |
| Gain/Pain (1M) | 0.84 | 2.28 |
| Payoff Ratio | 0.88 | 0.89 |
| Profit Factor | 1.15 | 1.39 |
| Common Sense Ratio | 1.17 | 1.48 |
| CPC Index | 0.55 | 0.72 |
| Tail Ratio | 1.01 | 1.07 |
| Outlier Win Ratio | 3.42 | 3.6 |
| Outlier Loss Ratio | 3.76 | 2.86 |
| MTD | 3.15% | 0.85% |
| 3M | 4.73% | 2.42% |
| 6M | 11.92% | -0.84% |
| YTD | 13.6% | -5.12% |
| 1Y | 22.27% | 5.69% |
| 3Y (ann.) | 22.32% | 16.24% |
| 5Y (ann.) | 13.41% | 19.96% |
| 10Y (ann.) | 13.17% | 18.86% |
| All-time (ann.) | 13.17% | 18.86% |
| Best Day | 10.5% | 2.32% |
| Worst Day | -5.85% | -3.13% |
| Best Month | 10.51% | 11.07% |
| Worst Month | -9.24% | -4.73% |
| Best Year | 26.18% | 27.22% |
| Worst Year | -18.18% | -5.12% |
| Avg. Drawdown | -1.86% | -1.35% |
| Avg. Drawdown Days | 20 | 17 |
| Recovery Factor | 2.81 | 6.35 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.46 | 1.23 |
| Avg. Up Month | 3.83% | 2.74% |
| Avg. Down Month | -4.69% | -1.81% |
| Win Days | 54.16% | 58.4% |
| Win Month | 63.93% | 70.49% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 83.33% |
| Beta | - | -0.08 |
| Alpha | - | 0.19 |
| Correlation | - | -15.26% |
| Treynor Ratio | - | -1661.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 5.29 | 0.71 | - |
| 2022 | -18.18 | 27.22 | -1.50 | + |
| 2023 | 26.18 | 16.58 | 0.63 | - |
| 2024 | 24.89 | 25.88 | 1.04 | + |
| 2025 | 17.72 | 26.53 | 1.50 | + |
| 2026 | 13.60 | -5.12 | -0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-15 | 2023-01-30 | -13.86 | 230 |
| 2025-12-22 | 2026-08-11 | -9.82 | 233 |
| 2022-03-15 | 2022-04-28 | -8.26 | 45 |
| 2023-03-02 | 2023-07-19 | -6.65 | 140 |
| 2022-02-24 | 2022-03-11 | -5.21 | 16 |
| 2021-08-17 | 2021-10-05 | -4.94 | 50 |
| 2021-10-12 | 2021-12-02 | -4.74 | 52 |
| 2024-06-03 | 2024-10-16 | -4.47 | 136 |
| 2023-11-14 | 2024-01-05 | -3.98 | 53 |
| 2025-06-04 | 2025-08-19 | -3.57 | 77 |