| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 83.0% |
| Cumulative Return | 139.97% | 58.06% |
| CAGR﹪ | 16.32% | 8.23% |
| Sharpe | 0.99 | 1.24 |
| Prob. Sharpe Ratio | 99.14% | 99.48% |
| Smart Sharpe | 0.75 | 0.95 |
| Sortino | 1.44 | 1.72 |
| Smart Sortino | 1.09 | 1.31 |
| Sortino/√2 | 1.02 | 1.22 |
| Smart Sortino/√2 | 0.77 | 0.92 |
| Omega | 1.19 | 1.38 |
| 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.) | 16.76% | 6.53% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.67 | 0.69 |
| Skew | 0.24 | -0.41 |
| Kurtosis | 8.64 | 216.86 |
| Ulcer Performance Index | 17.81 | 14.76 |
| Risk-Adjusted Return | 16.32% | 9.91% |
| Risk-Return Ratio | 0.06 | 0.08 |
| Avg. Return | 0.05% | 0.04% |
| Avg. Win | 0.64% | 0.21% |
| Avg. Loss | -1.0% | -0.33% |
| Win/Loss Ratio | 0.64 | 0.64 |
| Profit Ratio | 0.82 | 0.29 |
| Expected Daily | 0.06% | 0.03% |
| Expected Monthly | 1.24% | 0.65% |
| Expected Yearly | 13.32% | 6.76% |
| Kelly Criterion | -16.36% | 1.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -0.64% |
| Expected Shortfall (cVaR) | -2.47% | -1.43% |
| Max Consecutive Wins | 10 | 10 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.19 | 0.38 |
| Gain/Pain (1M) | 1.08 | 2.22 |
| Payoff Ratio | 0.64 | 0.64 |
| Profit Factor | 1.19 | 1.38 |
| Common Sense Ratio | 1.19 | 1.4 |
| CPC Index | 0.42 | 0.54 |
| Tail Ratio | 1.0 | 1.02 |
| Outlier Win Ratio | 3.42 | 3.44 |
| Outlier Loss Ratio | 3.84 | 2.87 |
| 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.) | 16.32% | 8.23% |
| All-time (ann.) | 16.32% | 8.23% |
| Best Day | 10.5% | 8.28% |
| Worst Day | -5.85% | -8.08% |
| Best Month | 10.88% | 2.86% |
| Worst Month | -9.24% | -5.96% |
| Best Year | 28.73% | 19.53% |
| Worst Year | -18.18% | 0.38% |
| Avg. Drawdown | -1.64% | -0.71% |
| Avg. Drawdown Days | 15 | 20 |
| Recovery Factor | 3.91 | 3.95 |
| Ulcer Index | 0.08 | 0.04 |
| Serenity Index | 0.7 | 0.55 |
| Avg. Up Month | 3.95% | 1.09% |
| Avg. Down Month | -4.32% | -1.91% |
| Win Days | 54.56% | 61.55% |
| Win Month | 66.2% | 77.46% |
| Win Quarter | 75.0% | 79.17% |
| Win Year | 85.71% | 100.0% |
| Beta | - | -0.0 |
| Alpha | - | 0.08 |
| Correlation | - | -1.18% |
| Treynor Ratio | - | -12641.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 8.12 | 1.98 | 0.24 | - |
| 2021 | 28.73 | 9.87 | 0.34 | - |
| 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 |
| 2025-01-10 | 2025-03-25 | -2.06 | 75 |
| 2021-04-15 | 2021-06-01 | -1.70 | 48 |
| 2024-02-07 | 2024-07-26 | -1.67 | 171 |
| 2021-07-19 | 2021-08-04 | -1.57 | 17 |
| 2023-11-01 | 2024-01-11 | -1.46 | 72 |
| 2021-11-22 | 2021-12-13 | -1.33 | 22 |