| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 85.23% | 142.61% |
| CAGR﹪ | 13.2% | 19.51% |
| Sharpe | 0.81 | 1.56 |
| Prob. Sharpe Ratio | 96.46% | 99.95% |
| Smart Sharpe | 0.71 | 1.38 |
| Sortino | 1.17 | 2.18 |
| Smart Sortino | 1.04 | 1.93 |
| Sortino/√2 | 0.83 | 1.54 |
| Smart Sortino/√2 | 0.73 | 1.37 |
| Omega | 1.15 | 1.3 |
| Max Drawdown | -24.5% | -11.29% |
| Max DD Date | 2022-10-12 | 2024-08-05 |
| Max DD Period Start | 2022-01-04 | 2024-06-03 |
| Max DD Period End | 2023-12-12 | 2025-01-29 |
| Longest DD Days | 708 | 241 |
| Volatility (ann.) | 17.21% | 11.85% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.54 | 1.73 |
| Skew | 0.31 | -0.96 |
| Kurtosis | 8.92 | 5.4 |
| Ulcer Performance Index | 10.07 | 38.35 |
| Risk-Adjusted Return | 13.2% | 20.76% |
| Risk-Return Ratio | 0.05 | 0.1 |
| Avg. Return | 0.06% | 0.08% |
| Avg. Win | 0.72% | 0.56% |
| Avg. Loss | -0.76% | -0.64% |
| Win/Loss Ratio | 0.95 | 0.89 |
| Profit Ratio | 0.82 | 0.57 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.02% | 1.46% |
| Expected Yearly | 10.82% | 15.92% |
| Kelly Criterion | 6.13% | 8.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.15% |
| Expected Shortfall (cVaR) | -2.58% | -1.81% |
| Max Consecutive Wins | 10 | 9 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.3 |
| Gain/Pain (1M) | 0.85 | 2.26 |
| Payoff Ratio | 0.95 | 0.89 |
| Profit Factor | 1.15 | 1.3 |
| Common Sense Ratio | 1.17 | 1.33 |
| CPC Index | 0.6 | 0.66 |
| Tail Ratio | 1.01 | 1.02 |
| Outlier Win Ratio | 3.43 | 3.0 |
| Outlier Loss Ratio | 3.76 | 3.04 |
| MTD | 3.15% | -0.77% |
| 3M | 4.73% | 5.62% |
| 6M | 11.92% | 16.91% |
| YTD | 13.6% | 21.76% |
| 1Y | 22.27% | 33.57% |
| 3Y (ann.) | 22.32% | 20.89% |
| 5Y (ann.) | 13.41% | 20.27% |
| 10Y (ann.) | 13.2% | 19.51% |
| All-time (ann.) | 13.2% | 19.51% |
| Best Day | 10.5% | 3.98% |
| Worst Day | -5.85% | -5.35% |
| Best Month | 10.51% | 7.92% |
| Worst Month | -9.24% | -5.83% |
| Best Year | 26.18% | 25.26% |
| Worst Year | -18.18% | 1.17% |
| Avg. Drawdown | -1.86% | -1.98% |
| Avg. Drawdown Days | 20 | 22 |
| Recovery Factor | 2.82 | 8.17 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 2.32 |
| Avg. Up Month | 3.6% | 3.37% |
| Avg. Down Month | -3.36% | -1.83% |
| Win Days | 54.2% | 57.16% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.02 |
| Alpha | - | 0.19 |
| Correlation | - | -2.89% |
| Treynor Ratio | - | -7179.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 1.17 | 0.16 | - |
| 2022 | -18.18 | 25.26 | -1.39 | + |
| 2023 | 26.18 | 7.20 | 0.27 | - |
| 2024 | 24.89 | 18.87 | 0.76 | - |
| 2025 | 17.72 | 23.38 | 1.32 | + |
| 2026 | 13.60 | 21.76 | 1.60 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-06-03 | 2025-01-29 | -11.29 | 241 |
| 2025-04-02 | 2025-08-08 | -11.07 | 129 |
| 2022-06-15 | 2022-10-13 | -9.88 | 121 |
| 2023-03-09 | 2023-08-09 | -8.92 | 154 |
| 2023-09-29 | 2024-02-02 | -8.79 | 127 |
| 2022-03-15 | 2022-04-28 | -8.02 | 45 |
| 2022-11-08 | 2023-02-17 | -6.97 | 102 |
| 2021-08-18 | 2021-12-14 | -5.53 | 119 |
| 2022-02-24 | 2022-03-10 | -4.08 | 15 |
| 2026-06-04 | 2026-07-20 | -3.59 | 47 |