| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 93.0% |
| Cumulative Return | 205.7% | 117.34% |
| CAGR﹪ | 16.87% | 11.44% |
| Sharpe | 0.89 | 0.83 |
| Prob. Sharpe Ratio | 99.07% | 98.65% |
| Smart Sharpe | 0.89 | 0.82 |
| Sortino | 1.26 | 1.2 |
| Smart Sortino | 1.25 | 1.19 |
| Sortino/√2 | 0.89 | 0.85 |
| Smart Sortino/√2 | 0.89 | 0.84 |
| Omega | 1.19 | 1.16 |
| Max Drawdown | -33.72% | -29.41% |
| Max DD Date | 2020-03-23 | 2020-12-08 |
| Max DD Period Start | 2020-02-20 | 2019-06-13 |
| Max DD Period End | 2020-08-07 | 2021-12-22 |
| Longest DD Days | 708 | 924 |
| Volatility (ann.) | 19.67% | 14.28% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.5 | 0.39 |
| Skew | -0.29 | 0.14 |
| Kurtosis | 13.7 | 23.79 |
| Ulcer Performance Index | 25.6 | 11.21 |
| Risk-Adjusted Return | 16.87% | 12.3% |
| Risk-Return Ratio | 0.06 | 0.05 |
| Avg. Return | 0.08% | 0.05% |
| Avg. Win | 0.76% | 0.61% |
| Avg. Loss | -0.86% | -0.66% |
| Win/Loss Ratio | 0.89 | 0.92 |
| Profit Ratio | 0.76 | 0.68 |
| Expected Daily | 0.06% | 0.04% |
| Expected Monthly | 1.29% | 0.9% |
| Expected Yearly | 14.99% | 10.19% |
| Kelly Criterion | 5.18% | 2.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -1.43% |
| Expected Shortfall (cVaR) | -3.23% | -2.14% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 7 | 9 |
| Gain/Pain Ratio | 0.19 | 0.16 |
| Gain/Pain (1M) | 1.17 | 0.86 |
| Payoff Ratio | 0.89 | 0.92 |
| Profit Factor | 1.19 | 1.16 |
| Common Sense Ratio | 1.14 | 1.23 |
| CPC Index | 0.58 | 0.57 |
| Tail Ratio | 0.96 | 1.06 |
| Outlier Win Ratio | 3.69 | 3.62 |
| Outlier Loss Ratio | 4.08 | 3.2 |
| 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.) | 16.87% | 11.44% |
| All-time (ann.) | 16.87% | 11.44% |
| Best Day | 10.5% | 11.52% |
| Worst Day | -10.94% | -10.0% |
| Best Month | 12.7% | 14.08% |
| Worst Month | -12.49% | -7.81% |
| Best Year | 28.73% | 30.63% |
| Worst Year | -18.18% | -21.96% |
| Avg. Drawdown | -1.77% | -2.84% |
| Avg. Drawdown Days | 15 | 38 |
| Recovery Factor | 3.73 | 2.89 |
| Ulcer Index | 0.08 | 0.1 |
| Serenity Index | 1.02 | 0.3 |
| Avg. Up Month | 4.06% | 3.66% |
| Avg. Down Month | -4.89% | -2.86% |
| Win Days | 55.43% | 53.23% |
| Win Month | 66.67% | 55.81% |
| Win Quarter | 76.67% | 63.33% |
| Win Year | 87.5% | 75.0% |
| Beta | - | -0.07 |
| Alpha | - | 0.13 |
| Correlation | - | -9.42% |
| Treynor Ratio | - | -1716.73% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | -4.27 | -0.26 | - |
| 2020 | 18.33 | -21.96 | -1.20 | - |
| 2021 | 28.73 | 23.27 | 0.81 | - |
| 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 |
|---|---|---|---|
| 2019-06-13 | 2021-12-22 | -29.41 | 924 |
| 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 |
| 2021-12-27 | 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 |