| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 184.19% | 748.15% |
| CAGR﹪ | 17.7% | 39.6% |
| Sharpe | 0.91 | 1.06 |
| Prob. Sharpe Ratio | 98.88% | 99.63% |
| Smart Sharpe | 0.88 | 1.03 |
| Sortino | 1.3 | 1.53 |
| Smart Sortino | 1.26 | 1.48 |
| Sortino/√2 | 0.92 | 1.08 |
| Smart Sortino/√2 | 0.89 | 1.05 |
| Omega | 1.19 | 1.2 |
| Max Drawdown | -24.61% | -50.65% |
| Max DD Date | 2020-03-23 | 2022-10-14 |
| Max DD Period Start | 2020-03-09 | 2021-11-17 |
| Max DD Period End | 2020-05-19 | 2024-02-08 |
| Longest DD Days | 708 | 814 |
| Volatility (ann.) | 20.03% | 38.29% |
| R^2 | 0.56 | 0.56 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.72 | 0.78 |
| Skew | -0.27 | -0.1 |
| Kurtosis | 13.95 | 2.21 |
| Ulcer Performance Index | 23.71 | 35.45 |
| Risk-Adjusted Return | 17.7% | 39.6% |
| Risk-Return Ratio | 0.06 | 0.07 |
| Avg. Return | 0.07% | 0.16% |
| Avg. Win | 0.92% | 2.0% |
| Avg. Loss | -1.01% | -2.18% |
| Win/Loss Ratio | 0.91 | 0.92 |
| Profit Ratio | 0.78 | 0.72 |
| Expected Daily | 0.06% | 0.13% |
| Expected Monthly | 1.35% | 2.78% |
| Expected Yearly | 16.09% | 35.72% |
| Kelly Criterion | 6.0% | 7.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.0% | -3.81% |
| Expected Shortfall (cVaR) | -3.29% | -5.25% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 6 | 8 |
| Gain/Pain Ratio | 0.19 | 0.2 |
| Gain/Pain (1M) | 1.19 | 1.4 |
| Payoff Ratio | 0.91 | 0.92 |
| Profit Factor | 1.19 | 1.2 |
| Common Sense Ratio | 1.19 | 1.08 |
| CPC Index | 0.6 | 0.61 |
| Tail Ratio | 1.0 | 0.9 |
| Outlier Win Ratio | 3.59 | 3.57 |
| Outlier Loss Ratio | 4.05 | 3.31 |
| 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.) | 17.7% | 39.6% |
| All-time (ann.) | 17.7% | 39.6% |
| Best Day | 10.5% | 15.77% |
| Worst Day | -10.94% | -9.44% |
| Best Month | 12.7% | 32.56% |
| Worst Month | -12.84% | -22.67% |
| Best Year | 28.73% | 104.95% |
| Worst Year | -18.18% | -42.06% |
| Avg. Drawdown | -1.85% | -5.2% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 4.77 | 5.15 |
| Ulcer Index | 0.08 | 0.21 |
| Serenity Index | 1.05 | 0.67 |
| Avg. Up Month | 4.74% | 9.77% |
| Avg. Down Month | -4.71% | -9.03% |
| Win Days | 55.18% | 55.88% |
| Win Month | 66.67% | 67.95% |
| Win Quarter | 74.07% | 70.37% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 1.43 |
| Alpha | - | 0.15 |
| Correlation | - | 74.84% |
| Treynor Ratio | - | 522.87% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 28.04 | 104.95 | 3.74 | + |
| 2021 | 28.73 | 31.83 | 1.11 | + |
| 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 |
| 2021-02-16 | 2021-08-27 | -21.23 | 193 |
| 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 |
| 2020-10-14 | 2020-11-20 | -11.13 | 38 |