| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 85.23% | 271.76% |
| CAGR﹪ | 13.2% | 30.22% |
| Sharpe | 0.81 | 0.86 |
| Prob. Sharpe Ratio | 96.46% | 97.25% |
| Smart Sharpe | 0.8 | 0.85 |
| Sortino | 1.17 | 1.23 |
| Smart Sortino | 1.16 | 1.22 |
| Sortino/√2 | 0.83 | 0.87 |
| Smart Sortino/√2 | 0.82 | 0.86 |
| Omega | 1.15 | 1.16 |
| Max Drawdown | -24.5% | -50.65% |
| Max DD Date | 2022-10-12 | 2022-10-14 |
| Max DD Period Start | 2022-01-04 | 2021-11-17 |
| Max DD Period End | 2023-12-12 | 2024-02-08 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 17.21% | 39.77% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.54 | 0.6 |
| Skew | 0.31 | -0.09 |
| Kurtosis | 8.92 | 2.17 |
| Ulcer Performance Index | 10.07 | 11.48 |
| Risk-Adjusted Return | 13.2% | 30.22% |
| Risk-Return Ratio | 0.05 | 0.05 |
| Avg. Return | 0.06% | 0.14% |
| Avg. Win | 0.85% | 2.07% |
| Avg. Loss | -0.92% | -2.23% |
| Win/Loss Ratio | 0.93 | 0.93 |
| Profit Ratio | 0.82 | 0.76 |
| Expected Daily | 0.05% | 0.1% |
| Expected Monthly | 1.02% | 2.18% |
| Expected Yearly | 10.82% | 24.46% |
| Kelly Criterion | 4.8% | 6.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -3.98% |
| Expected Shortfall (cVaR) | -2.58% | -5.45% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 7 |
| Gain/Pain Ratio | 0.15 | 0.16 |
| Gain/Pain (1M) | 0.85 | 0.95 |
| Payoff Ratio | 0.93 | 0.93 |
| Profit Factor | 1.15 | 1.16 |
| Common Sense Ratio | 1.17 | 1.01 |
| CPC Index | 0.58 | 0.59 |
| Tail Ratio | 1.01 | 0.88 |
| Outlier Win Ratio | 3.43 | 3.45 |
| Outlier Loss Ratio | 3.76 | 3.27 |
| MTD | 3.15% | 8.25% |
| 3M | 4.73% | -3.1% |
| 6M | 11.92% | 33.01% |
| YTD | 13.6% | 39.79% |
| 1Y | 22.27% | 55.45% |
| 3Y (ann.) | 22.32% | 55.68% |
| 5Y (ann.) | 13.41% | 29.22% |
| 10Y (ann.) | 13.2% | 30.22% |
| All-time (ann.) | 13.2% | 30.22% |
| Best Day | 10.5% | 15.77% |
| Worst Day | -5.85% | -9.44% |
| Best Month | 10.51% | 32.56% |
| Worst Month | -9.24% | -22.67% |
| Best Year | 26.18% | 72.41% |
| Worst Year | -18.18% | -42.06% |
| Avg. Drawdown | -1.86% | -6.17% |
| Avg. Drawdown Days | 20 | 28 |
| Recovery Factor | 2.82 | 3.37 |
| Ulcer Index | 0.08 | 0.24 |
| Serenity Index | 0.47 | 0.39 |
| Avg. Up Month | 4.4% | 10.11% |
| Avg. Down Month | -4.87% | -9.5% |
| Win Days | 54.2% | 54.98% |
| Win Month | 63.93% | 65.57% |
| Win Quarter | 66.67% | 61.9% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.87 |
| Alpha | - | 0.08 |
| Correlation | - | 81.04% |
| Treynor Ratio | - | 145.15% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 7.42 | 18.43 | 2.48 | + |
| 2022 | -18.18 | -42.06 | 2.31 | - |
| 2023 | 26.18 | 72.41 | 2.77 | + |
| 2024 | 24.89 | 50.52 | 2.03 | + |
| 2025 | 17.72 | 49.36 | 2.79 | + |
| 2026 | 13.60 | 39.79 | 2.93 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-17 | 2024-02-08 | -50.65 | 814 |
| 2025-02-19 | 2025-06-23 | -37.93 | 125 |
| 2026-06-23 | 2026-08-11 | -31.29 | 50 |
| 2024-07-17 | 2024-10-11 | -20.72 | 87 |
| 2025-10-30 | 2026-01-27 | -17.63 | 90 |
| 2026-01-29 | 2026-04-07 | -16.09 | 69 |
| 2024-03-26 | 2024-05-23 | -13.81 | 59 |
| 2026-06-03 | 2026-06-18 | -12.42 | 16 |
| 2025-01-24 | 2025-02-13 | -10.36 | 21 |
| 2025-01-07 | 2025-01-16 | -8.36 | 10 |