| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 90.0% |
| Cumulative Return | 88.65% | 70.72% |
| CAGR﹪ | 13.97% | 11.65% |
| Sharpe | 0.84 | 0.94 |
| Prob. Sharpe Ratio | 96.86% | 96.47% |
| Smart Sharpe | 0.6 | 0.67 |
| Sortino | 1.22 | 1.34 |
| Smart Sortino | 0.87 | 0.95 |
| Sortino/√2 | 0.86 | 0.95 |
| Smart Sortino/√2 | 0.61 | 0.67 |
| Omega | 1.16 | 1.31 |
| Max Drawdown | -24.5% | -17.49% |
| Max DD Date | 2022-10-12 | 2022-08-31 |
| Max DD Period Start | 2022-01-04 | 2021-12-07 |
| Max DD Period End | 2023-12-12 | 2024-01-17 |
| Longest DD Days | 708 | 772 |
| Volatility (ann.) | 17.35% | 12.51% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.57 | 0.67 |
| Skew | 0.31 | -1.39 |
| Kurtosis | 8.81 | 272.44 |
| Ulcer Performance Index | 10.36 | 9.87 |
| Risk-Adjusted Return | 13.97% | 12.95% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.06% | 0.05% |
| Avg. Win | 0.79% | 0.42% |
| Avg. Loss | -0.81% | -0.35% |
| Win/Loss Ratio | 0.98 | 1.2 |
| Profit Ratio | 0.81 | 0.57 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.06% | 0.9% |
| Expected Yearly | 11.16% | 9.32% |
| Kelly Criterion | 7.72% | 18.58% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.74% | -1.25% |
| Expected Shortfall (cVaR) | -2.58% | -3.45% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.16 | 0.31 |
| Gain/Pain (1M) | 0.9 | 2.61 |
| Payoff Ratio | 0.98 | 1.2 |
| Profit Factor | 1.16 | 1.31 |
| Common Sense Ratio | 1.17 | 1.45 |
| CPC Index | 0.62 | 0.88 |
| Tail Ratio | 1.01 | 1.1 |
| Outlier Win Ratio | 3.4 | 4.2 |
| Outlier Loss Ratio | 3.73 | 3.08 |
| MTD | 3.15% | -0.13% |
| 3M | 4.73% | 6.17% |
| 6M | 11.92% | 4.87% |
| YTD | 13.6% | 4.92% |
| 1Y | 22.27% | 9.09% |
| 3Y (ann.) | 22.6% | 11.46% |
| 5Y (ann.) | 13.97% | 11.65% |
| 10Y (ann.) | 13.97% | 11.65% |
| All-time (ann.) | 13.97% | 11.65% |
| Best Day | 10.5% | 15.4% |
| Worst Day | -5.85% | -16.41% |
| Best Month | 10.51% | 8.1% |
| Worst Month | -9.24% | -4.53% |
| Best Year | 26.18% | 17.52% |
| Worst Year | -18.18% | 4.88% |
| Avg. Drawdown | -1.85% | -1.36% |
| Avg. Drawdown Days | 20 | 35 |
| Recovery Factor | 2.89 | 3.28 |
| Ulcer Index | 0.09 | 0.07 |
| Serenity Index | 0.47 | 0.4 |
| Avg. Up Month | 3.95% | 1.92% |
| Avg. Down Month | -3.62% | -0.79% |
| Win Days | 54.38% | 55.55% |
| Win Month | 63.33% | 64.41% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.0 |
| Alpha | - | 0.12 |
| Correlation | - | 0.28% |
| Treynor Ratio | - | 34448.09% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 8.85 | 9.41 | 1.06 | + |
| 2022 | -18.18 | 9.46 | -0.52 | + |
| 2023 | 26.18 | 4.88 | 0.19 | - |
| 2024 | 25.23 | 17.52 | 0.69 | - |
| 2025 | 18.00 | 10.24 | 0.57 | - |
| 2026 | 13.60 | 4.92 | 0.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-07 | 2024-01-17 | -17.49 | 772 |
| 2025-12-31 | 2026-03-31 | -4.37 | 91 |
| 2026-04-02 | 2026-07-15 | -3.79 | 105 |
| 2024-11-11 | 2025-03-21 | -3.75 | 131 |
| 2025-06-09 | 2025-11-07 | -3.73 | 152 |
| 2021-09-27 | 2021-10-04 | -3.36 | 8 |
| 2024-03-22 | 2024-08-08 | -3.09 | 140 |
| 2024-08-30 | 2024-09-16 | -1.66 | 18 |
| 2025-03-27 | 2025-04-24 | -1.52 | 29 |
| 2021-10-19 | 2021-10-21 | -1.40 | 3 |