| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 43.0% |
| Cumulative Return | 203.08% | 84.84% |
| CAGR﹪ | 16.74% | 8.95% |
| Sharpe | 0.89 | 2.0 |
| Prob. Sharpe Ratio | 99.03% | 99.98% |
| Smart Sharpe | 0.63 | 1.43 |
| Sortino | 1.25 | 2.52 |
| Smart Sortino | 0.9 | 1.8 |
| Sortino/√2 | 0.89 | 1.78 |
| Smart Sortino/√2 | 0.63 | 1.27 |
| Omega | 1.19 | 2.33 |
| Max Drawdown | -33.72% | -12.69% |
| Max DD Date | 2020-03-23 | 2022-09-30 |
| Max DD Period Start | 2020-02-20 | 2022-09-19 |
| Max DD Period End | 2020-08-07 | 2023-04-21 |
| Longest DD Days | 708 | 340 |
| Volatility (ann.) | 19.68% | 4.33% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.5 | 0.71 |
| Skew | -0.29 | -6.15 |
| Kurtosis | 13.7 | 136.05 |
| Ulcer Performance Index | 25.26 | 43.97 |
| Risk-Adjusted Return | 16.74% | 20.83% |
| Risk-Return Ratio | 0.06 | 0.13 |
| Avg. Return | 0.13% | 0.08% |
| Avg. Win | 0.8% | 0.16% |
| Avg. Loss | -1.13% | -0.52% |
| Win/Loss Ratio | 0.7 | 0.31 |
| Profit Ratio | 0.76 | 0.01 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.28% | 0.71% |
| Expected Yearly | 14.87% | 7.98% |
| Kelly Criterion | -7.94% | 34.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.97% | -0.41% |
| Expected Shortfall (cVaR) | -3.23% | -1.43% |
| Max Consecutive Wins | 11 | 5 |
| Max Consecutive Losses | 7 | 5 |
| Gain/Pain Ratio | 0.19 | 1.33 |
| Gain/Pain (1M) | 1.16 | 3.24 |
| Payoff Ratio | 0.7 | 0.31 |
| Profit Factor | 1.19 | 2.33 |
| Common Sense Ratio | 1.14 | 4.72 |
| CPC Index | 0.46 | 0.61 |
| Tail Ratio | 0.96 | 2.03 |
| Outlier Win Ratio | 3.69 | 6.98 |
| Outlier Loss Ratio | 4.08 | 1.22 |
| 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.) | 16.74% | 8.95% |
| All-time (ann.) | 16.74% | 8.95% |
| Best Day | 10.5% | 2.72% |
| Worst Day | -10.94% | -5.11% |
| Best Month | 12.7% | 3.72% |
| Worst Month | -12.49% | -11.8% |
| Best Year | 28.73% | 21.06% |
| Worst Year | -18.18% | -3.36% |
| Avg. Drawdown | -1.77% | -0.97% |
| Avg. Drawdown Days | 15 | 30 |
| Recovery Factor | 3.7 | 4.9 |
| Ulcer Index | 0.08 | 0.02 |
| Serenity Index | 1.01 | 1.15 |
| Avg. Up Month | 4.14% | 1.2% |
| Avg. Down Month | -7.91% | -3.71% |
| Win Days | 55.41% | 84.46% |
| Win Month | 66.67% | 84.88% |
| Win Quarter | 76.67% | 83.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.01 |
| Alpha | - | 0.08 |
| Correlation | - | 5.97% |
| Treynor Ratio | - | 6459.59% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 16.39 | 3.88 | 0.24 | - |
| 2020 | 18.33 | 6.87 | 0.37 | - |
| 2021 | 28.73 | 1.87 | 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 |
| 2019-08-29 | 2019-09-05 | -1.96 | 8 |
| 2021-08-30 | 2022-08-04 | -1.96 | 340 |
| 2020-03-11 | 2020-07-01 | -1.73 | 113 |
| 2025-01-10 | 2025-03-14 | -1.22 | 64 |
| 2023-08-28 | 2023-08-30 | -1.00 | 3 |
| 2021-02-22 | 2021-04-09 | -0.99 | 47 |
| 2019-10-31 | 2020-01-28 | -0.95 | 90 |