| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 94.0% |
| Cumulative Return | 85.23% | 136.31% |
| CAGR﹪ | 13.2% | 18.88% |
| Sharpe | 0.81 | 1.19 |
| Prob. Sharpe Ratio | 96.46% | 99.56% |
| Smart Sharpe | 0.8 | 1.18 |
| Sortino | 1.17 | 1.73 |
| Smart Sortino | 1.16 | 1.72 |
| Sortino/√2 | 0.83 | 1.22 |
| Smart Sortino/√2 | 0.82 | 1.22 |
| Omega | 1.15 | 1.24 |
| Max Drawdown | -24.5% | -17.13% |
| Max DD Date | 2022-10-12 | 2022-08-04 |
| Max DD Period Start | 2022-01-04 | 2022-05-26 |
| Max DD Period End | 2023-12-12 | 2023-02-13 |
| Longest DD Days | 708 | 264 |
| Volatility (ann.) | 17.21% | 15.58% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.54 | 1.1 |
| Skew | 0.31 | 0.12 |
| Kurtosis | 8.92 | 23.9 |
| Ulcer Performance Index | 10.07 | 26.36 |
| Risk-Adjusted Return | 13.2% | 20.09% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.05% | 0.08% |
| Avg. Win | 0.7% | 0.66% |
| Avg. Loss | -0.7% | -0.71% |
| Win/Loss Ratio | 1.0 | 0.94 |
| Profit Ratio | 0.82 | 0.67 |
| Expected Daily | 0.05% | 0.07% |
| Expected Monthly | 1.02% | 1.42% |
| Expected Yearly | 10.82% | 15.41% |
| Kelly Criterion | 8.29% | 5.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -1.54% |
| Expected Shortfall (cVaR) | -2.58% | -2.34% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.15 | 0.24 |
| Gain/Pain (1M) | 0.85 | 1.46 |
| Payoff Ratio | 1.0 | 0.94 |
| Profit Factor | 1.15 | 1.24 |
| Common Sense Ratio | 1.17 | 1.21 |
| CPC Index | 0.62 | 0.64 |
| Tail Ratio | 1.01 | 0.97 |
| Outlier Win Ratio | 3.43 | 3.44 |
| Outlier Loss Ratio | 3.76 | 3.36 |
| MTD | 3.15% | -2.35% |
| 3M | 4.73% | 4.07% |
| 6M | 11.92% | 13.04% |
| YTD | 13.6% | 15.26% |
| 1Y | 22.27% | 17.17% |
| 3Y (ann.) | 22.32% | 17.69% |
| 5Y (ann.) | 13.41% | 19.91% |
| 10Y (ann.) | 13.2% | 18.88% |
| All-time (ann.) | 13.2% | 18.88% |
| Best Day | 10.5% | 11.52% |
| Worst Day | -5.85% | -10.0% |
| Best Month | 10.51% | 14.08% |
| Worst Month | -9.24% | -7.81% |
| Best Year | 26.18% | 30.63% |
| Worst Year | -18.18% | 0.13% |
| Avg. Drawdown | -1.86% | -2.58% |
| Avg. Drawdown Days | 20 | 26 |
| Recovery Factor | 2.82 | 5.37 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.47 | 1.43 |
| Avg. Up Month | 4.29% | 3.75% |
| Avg. Down Month | -5.06% | -3.11% |
| Win Days | 54.2% | 54.46% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 71.43% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.14 |
| Alpha | - | 0.2 |
| Correlation | - | -15.65% |
| Treynor Ratio | - | -962.52% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 0.13 | 0.02 | - |
| 2022 | -18.18 | 30.63 | -1.69 | + |
| 2023 | 26.18 | 12.31 | 0.47 | - |
| 2024 | 24.89 | 21.56 | 0.87 | - |
| 2025 | 17.72 | 14.81 | 0.84 | - |
| 2026 | 13.60 | 15.26 | 1.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-05-26 | 2023-02-13 | -17.13 | 264 |
| 2022-03-15 | 2022-05-03 | -13.16 | 50 |
| 2023-03-03 | 2023-08-16 | -11.23 | 167 |
| 2021-08-17 | 2021-12-22 | -10.90 | 128 |
| 2021-12-27 | 2022-01-12 | -10.00 | 17 |
| 2024-06-03 | 2025-01-14 | -9.31 | 226 |
| 2025-04-02 | 2025-08-01 | -8.11 | 122 |
| 2023-09-29 | 2024-01-18 | -7.68 | 112 |
| 2022-02-24 | 2022-03-11 | -5.42 | 16 |
| 2025-09-12 | 2025-10-30 | -5.09 | 49 |