| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 85.23% | 176.57% |
| CAGR﹪ | 13.2% | 22.7% |
| Sharpe | 0.81 | 3.19 |
| Prob. Sharpe Ratio | 96.46% | 100.0% |
| Smart Sharpe | 0.61 | 2.42 |
| Sortino | 1.17 | 4.2 |
| Smart Sortino | 0.89 | 3.18 |
| Sortino/√2 | 0.83 | 2.97 |
| Smart Sortino/√2 | 0.63 | 2.25 |
| Omega | 1.15 | 2.76 |
| Max Drawdown | -24.5% | -13.89% |
| Max DD Date | 2022-10-12 | 2022-10-03 |
| Max DD Period Start | 2022-01-04 | 2022-09-19 |
| Max DD Period End | 2023-12-12 | 2023-04-03 |
| Longest DD Days | 708 | 322 |
| Volatility (ann.) | 17.21% | 6.48% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.54 | 1.63 |
| Skew | 0.31 | -4.09 |
| Kurtosis | 8.92 | 67.53 |
| Ulcer Performance Index | 10.07 | 55.4 |
| Risk-Adjusted Return | 13.2% | 28.03% |
| Risk-Return Ratio | 0.05 | 0.2 |
| Avg. Return | 0.09% | 0.1% |
| Avg. Win | 0.75% | 0.19% |
| Avg. Loss | -0.96% | -0.46% |
| Win/Loss Ratio | 0.78 | 0.41 |
| Profit Ratio | 0.82 | 0.04 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.02% | 1.68% |
| Expected Yearly | 10.82% | 18.48% |
| Kelly Criterion | -4.86% | 51.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.59% |
| Expected Shortfall (cVaR) | -2.58% | -1.67% |
| Max Consecutive Wins | 10 | 110 |
| Max Consecutive Losses | 6 | 5 |
| Gain/Pain Ratio | 0.15 | 1.76 |
| Gain/Pain (1M) | 0.85 | 4.12 |
| Payoff Ratio | 0.78 | 0.41 |
| Profit Factor | 1.15 | 2.76 |
| Common Sense Ratio | 1.17 | 9.39 |
| CPC Index | 0.49 | 0.97 |
| Tail Ratio | 1.01 | 3.4 |
| Outlier Win Ratio | 3.43 | 7.75 |
| Outlier Loss Ratio | 3.76 | 2.32 |
| MTD | 3.15% | 0.83% |
| 3M | 4.73% | 4.11% |
| 6M | 11.92% | 8.94% |
| YTD | 13.6% | 11.97% |
| 1Y | 22.27% | 33.32% |
| 3Y (ann.) | 22.32% | 30.19% |
| 5Y (ann.) | 13.41% | 24.21% |
| 10Y (ann.) | 13.2% | 22.7% |
| All-time (ann.) | 13.2% | 22.7% |
| Best Day | 10.5% | 3.78% |
| Worst Day | -5.85% | -5.58% |
| Best Month | 10.51% | 4.97% |
| Worst Month | -9.24% | -12.16% |
| Best Year | 26.18% | 44.73% |
| Worst Year | -18.18% | -5.92% |
| Avg. Drawdown | -1.86% | -1.0% |
| Avg. Drawdown Days | 20 | 19 |
| Recovery Factor | 2.82 | 7.4 |
| Ulcer Index | 0.08 | 0.03 |
| Serenity Index | 0.47 | 1.59 |
| Avg. Up Month | 3.86% | 2.59% |
| Avg. Down Month | -4.37% | -3.23% |
| Win Days | 54.2% | 86.07% |
| Win Month | 63.93% | 83.61% |
| Win Quarter | 66.67% | 80.95% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.01 |
| Alpha | - | 0.2 |
| Correlation | - | 3.75% |
| Treynor Ratio | - | 12513.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | -5.92 | -0.80 | - |
| 2022 | -18.18 | 5.10 | -0.28 | + |
| 2023 | 26.18 | 44.73 | 1.71 | + |
| 2024 | 24.89 | 33.14 | 1.33 | + |
| 2025 | 17.72 | 29.63 | 1.67 | + |
| 2026 | 13.60 | 11.97 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-09-19 | 2023-04-03 | -13.89 | 197 |
| 2024-09-18 | 2024-11-11 | -7.81 | 55 |
| 2021-08-27 | 2022-07-14 | -7.13 | 322 |
| 2025-01-08 | 2025-04-09 | -4.68 | 92 |
| 2024-03-26 | 2024-04-19 | -1.15 | 25 |
| 2023-12-08 | 2023-12-21 | -1.00 | 14 |
| 2023-08-28 | 2023-08-30 | -0.95 | 3 |
| 2023-04-11 | 2023-04-20 | -0.65 | 10 |
| 2025-10-27 | 2025-10-29 | -0.55 | 3 |
| 2024-09-10 | 2024-09-12 | -0.54 | 3 |