| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 82.0% |
| Cumulative Return | 85.23% | 45.59% |
| CAGR﹪ | 13.2% | 7.85% |
| Sharpe | 0.81 | 1.15 |
| Prob. Sharpe Ratio | 96.46% | 98.73% |
| Smart Sharpe | 0.61 | 0.87 |
| Sortino | 1.17 | 1.58 |
| Smart Sortino | 0.88 | 1.19 |
| Sortino/√2 | 0.83 | 1.12 |
| Smart Sortino/√2 | 0.62 | 0.84 |
| Omega | 1.15 | 1.37 |
| Max Drawdown | -24.5% | -11.9% |
| Max DD Date | 2022-10-12 | 2022-10-04 |
| Max DD Period Start | 2022-01-04 | 2021-12-17 |
| Max DD Period End | 2023-12-12 | 2023-04-06 |
| Longest DD Days | 708 | 476 |
| Volatility (ann.) | 17.21% | 6.78% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.54 | 0.66 |
| Skew | 0.31 | -0.41 |
| Kurtosis | 8.92 | 216.61 |
| Ulcer Performance Index | 10.07 | 10.75 |
| Risk-Adjusted Return | 13.2% | 9.57% |
| Risk-Return Ratio | 0.05 | 0.07 |
| Avg. Return | 0.04% | 0.04% |
| Avg. Win | 0.62% | 0.2% |
| Avg. Loss | -1.04% | -0.33% |
| Win/Loss Ratio | 0.6 | 0.62 |
| Profit Ratio | 0.82 | 0.28 |
| Expected Daily | 0.05% | 0.03% |
| Expected Monthly | 1.02% | 0.62% |
| Expected Yearly | 10.82% | 6.46% |
| Kelly Criterion | -22.18% | -0.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.67% |
| Expected Shortfall (cVaR) | -2.58% | -1.6% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.15 | 0.37 |
| Gain/Pain (1M) | 0.85 | 1.81 |
| Payoff Ratio | 0.6 | 0.62 |
| Profit Factor | 1.15 | 1.37 |
| Common Sense Ratio | 1.17 | 1.39 |
| CPC Index | 0.38 | 0.52 |
| Tail Ratio | 1.01 | 1.01 |
| Outlier Win Ratio | 3.43 | 3.48 |
| Outlier Loss Ratio | 3.76 | 2.89 |
| MTD | 3.15% | 0.77% |
| 3M | 4.73% | 2.34% |
| 6M | 11.92% | 7.48% |
| YTD | 13.6% | 6.28% |
| 1Y | 22.27% | 9.67% |
| 3Y (ann.) | 22.32% | 6.26% |
| 5Y (ann.) | 13.41% | 7.9% |
| 10Y (ann.) | 13.2% | 7.85% |
| All-time (ann.) | 13.2% | 7.85% |
| Best Day | 10.5% | 8.28% |
| Worst Day | -5.85% | -8.08% |
| Best Month | 10.51% | 2.86% |
| Worst Month | -9.24% | -5.96% |
| Best Year | 26.18% | 19.53% |
| Worst Year | -18.18% | 0.38% |
| Avg. Drawdown | -1.86% | -0.76% |
| Avg. Drawdown Days | 20 | 24 |
| Recovery Factor | 2.82 | 3.25 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.47 | 0.42 |
| Avg. Up Month | 3.95% | 1.2% |
| Avg. Down Month | -4.32% | -1.91% |
| Win Days | 54.2% | 61.73% |
| Win Month | 63.93% | 72.13% |
| Win Quarter | 66.67% | 76.19% |
| Win Year | 83.33% | 100.0% |
| Beta | - | -0.01 |
| Alpha | - | 0.08 |
| Correlation | - | -2.09% |
| Treynor Ratio | - | -5526.39% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 3.20 | 0.43 | - |
| 2022 | -18.18 | 2.03 | -0.11 | + |
| 2023 | 26.18 | 19.53 | 0.75 | - |
| 2024 | 24.89 | 8.43 | 0.34 | - |
| 2025 | 17.72 | 0.38 | 0.02 | - |
| 2026 | 13.60 | 6.28 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-12-17 | 2023-04-06 | -11.90 | 476 |
| 2025-04-01 | 2025-11-19 | -6.15 | 233 |
| 2025-12-05 | 2026-03-04 | -2.67 | 90 |
| 2024-10-01 | 2024-10-30 | -2.49 | 30 |
| 2025-02-21 | 2025-03-21 | -2.06 | 29 |
| 2024-02-07 | 2024-08-01 | -1.67 | 177 |
| 2023-11-01 | 2024-01-11 | -1.46 | 72 |
| 2021-11-22 | 2021-12-15 | -1.33 | 24 |
| 2021-08-26 | 2021-09-23 | -1.18 | 29 |
| 2024-11-11 | 2024-12-02 | -1.06 | 22 |