| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 47.0% |
| Cumulative Return | 84.89% | 62.7% |
| CAGR﹪ | 13.17% | 10.29% |
| Sharpe | 0.8 | 2.0 |
| Prob. Sharpe Ratio | 96.42% | 99.87% |
| Smart Sharpe | 0.54 | 1.36 |
| Sortino | 1.17 | 2.47 |
| Smart Sortino | 0.79 | 1.68 |
| Sortino/√2 | 0.83 | 1.75 |
| Smart Sortino/√2 | 0.56 | 1.19 |
| Omega | 1.15 | 2.3 |
| Max Drawdown | -24.5% | -12.69% |
| Max DD Date | 2022-10-12 | 2022-09-30 |
| Max DD Period Start | 2022-01-04 | 2022-09-19 |
| Max DD Period End | 2023-12-12 | 2023-04-21 |
| Longest DD Days | 708 | 340 |
| Volatility (ann.) | 17.22% | 4.96% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.54 | 0.81 |
| Skew | 0.31 | -5.93 |
| Kurtosis | 8.91 | 112.34 |
| Ulcer Performance Index | 10.02 | 27.33 |
| Risk-Adjusted Return | 13.17% | 21.9% |
| Risk-Return Ratio | 0.05 | 0.13 |
| Avg. Return | 0.14% | 0.08% |
| Avg. Win | 0.78% | 0.17% |
| Avg. Loss | -1.1% | -0.6% |
| Win/Loss Ratio | 0.71 | 0.28 |
| Profit Ratio | 0.82 | 0.01 |
| Expected Daily | 0.05% | 0.04% |
| Expected Monthly | 1.01% | 0.8% |
| Expected Yearly | 10.79% | 8.45% |
| Kelly Criterion | -10.65% | 36.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.47% |
| Expected Shortfall (cVaR) | -2.58% | -1.81% |
| Max Consecutive Wins | 10 | 5 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.15 | 1.3 |
| Gain/Pain (1M) | 0.84 | 3.21 |
| Payoff Ratio | 0.71 | 0.28 |
| Profit Factor | 1.15 | 2.3 |
| Common Sense Ratio | 1.17 | 4.74 |
| CPC Index | 0.44 | 0.56 |
| Tail Ratio | 1.01 | 2.06 |
| Outlier Win Ratio | 3.42 | 7.04 |
| Outlier Loss Ratio | 3.76 | 1.19 |
| MTD | 3.15% | 0.45% |
| 3M | 4.73% | 2.85% |
| 6M | 11.92% | 4.59% |
| YTD | 13.6% | 5.76% |
| 1Y | 22.27% | 13.57% |
| 3Y (ann.) | 22.32% | 14.18% |
| 5Y (ann.) | 13.41% | 10.58% |
| 10Y (ann.) | 13.17% | 10.29% |
| All-time (ann.) | 13.17% | 10.29% |
| Best Day | 10.5% | 2.72% |
| Worst Day | -5.85% | -5.11% |
| Best Month | 10.51% | 3.72% |
| Worst Month | -9.24% | -11.8% |
| Best Year | 26.18% | 21.06% |
| Worst Year | -18.18% | -3.36% |
| Avg. Drawdown | -1.86% | -1.35% |
| Avg. Drawdown Days | 20 | 38 |
| Recovery Factor | 2.81 | 3.89 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 0.46 | 0.85 |
| Avg. Up Month | 3.97% | 1.4% |
| Avg. Down Month | -8.75% | -6.05% |
| Win Days | 54.16% | 86.13% |
| Win Month | 63.93% | 86.67% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.02 |
| Alpha | - | 0.1 |
| Correlation | - | 7.03% |
| Treynor Ratio | - | 3099.25% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -0.46 | -0.06 | - |
| 2022 | -18.18 | -3.36 | 0.19 | + |
| 2023 | 26.18 | 21.06 | 0.80 | - |
| 2024 | 24.89 | 16.74 | 0.67 | - |
| 2025 | 17.72 | 13.16 | 0.74 | - |
| 2026 | 13.60 | 5.76 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2023-04-21 | -12.69 | 215 |
| 2024-10-07 | 2024-10-30 | -6.91 | 24 |
| 2024-03-25 | 2024-07-10 | -2.18 | 108 |
| 2021-08-30 | 2022-08-04 | -1.96 | 340 |
| 2025-01-10 | 2025-03-14 | -1.22 | 64 |
| 2023-08-28 | 2023-08-30 | -1.00 | 3 |
| 2025-10-27 | 2025-11-07 | -0.54 | 12 |
| 2025-04-29 | 2025-05-07 | -0.22 | 9 |
| 2023-12-08 | 2023-12-12 | -0.21 | 5 |
| 2024-09-18 | 2024-09-19 | -0.21 | 2 |