| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 120.73% | 44.79% |
| CAGR﹪ | 15.0% | 6.75% |
| Sharpe | 1.0 | 0.36 |
| Prob. Sharpe Ratio | 98.87% | 80.35% |
| Smart Sharpe | 0.91 | 0.33 |
| Sortino | 1.69 | 0.55 |
| Smart Sortino | 1.53 | 0.5 |
| Sortino/√2 | 1.19 | 0.39 |
| Smart Sortino/√2 | 1.08 | 0.35 |
| Omega | 2.02 | 1.29 |
| Max Drawdown | -23.93% | -42.49% |
| Max DD Date | 2022-09-30 | 2022-12-31 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2025-09-30 |
| Longest DD Days | 669 | 1462 |
| Volatility (ann.) | 15.19% | 32.12% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.63 | 0.16 |
| Skew | -0.35 | -0.12 |
| Kurtosis | -0.19 | -0.44 |
| Ulcer Performance Index | 16.04 | 2.41 |
| Risk-Adjusted Return | 1780.77% | 294.15% |
| Risk-Return Ratio | 0.29 | 0.1 |
| Avg. Return | 1.27% | 0.97% |
| Avg. Win | 4.34% | 7.48% |
| Avg. Loss | -3.78% | -9.4% |
| Win/Loss Ratio | 1.15 | 0.8 |
| Profit Ratio | 0.6 | 0.63 |
| Expected Daily | 1.17% | 0.55% |
| Expected Monthly | 1.17% | 0.55% |
| Expected Yearly | 11.98% | 5.43% |
| Kelly Criterion | 33.98% | 7.07% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.95% | -14.28% |
| Expected Shortfall (cVaR) | -8.76% | -15.95% |
| Max Consecutive Wins | 9 | 6 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 1.02 | 0.29 |
| Gain/Pain (1M) | 1.02 | 0.29 |
| Payoff Ratio | 1.15 | 0.8 |
| Profit Factor | 2.02 | 1.29 |
| Common Sense Ratio | 2.74 | 1.23 |
| CPC Index | 1.5 | 0.61 |
| Tail Ratio | 1.36 | 0.95 |
| Outlier Win Ratio | 2.48 | 2.95 |
| Outlier Loss Ratio | 2.53 | 2.08 |
| MTD | -1.05% | -15.62% |
| 3M | 13.91% | 8.28% |
| 6M | 8.94% | -4.6% |
| YTD | 8.94% | -4.6% |
| 1Y | 20.92% | 17.45% |
| 3Y (ann.) | 18.77% | 0.93% |
| 5Y (ann.) | 12.51% | -0.65% |
| 10Y (ann.) | 15.0% | 6.75% |
| All-time (ann.) | 15.0% | 6.75% |
| Best Day | 10.51% | 21.61% |
| Worst Day | -9.24% | -16.69% |
| Best Month | 10.51% | 21.61% |
| Worst Month | -9.24% | -16.69% |
| Best Year | 28.73% | 40.97% |
| Worst Year | -18.18% | -42.38% |
| Avg. Drawdown | -5.31% | -21.19% |
| Avg. Drawdown Days | 83 | 419 |
| Recovery Factor | 3.6 | 1.55 |
| Ulcer Index | 0.08 | 0.19 |
| Serenity Index | 2.7 | 0.88 |
| Avg. Up Month | 4.34% | 7.48% |
| Avg. Down Month | -3.78% | -9.4% |
| Win Days | 64.71% | 58.82% |
| Win Month | 64.71% | 58.82% |
| Win Quarter | 70.83% | 54.17% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 1.65 |
| Alpha | - | -0.13 |
| Correlation | - | 78.16% |
| Treynor Ratio | - | 27.1% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2020 | 3.70 | 9.14 | 2.47 | + |
| 2021 | 28.73 | 40.97 | 1.43 | + |
| 2022 | -18.18 | -42.38 | 2.33 | - |
| 2023 | 26.18 | 39.64 | 1.51 | + |
| 2024 | 24.89 | 11.07 | 0.44 | - |
| 2025 | 17.72 | 10.39 | 0.59 | - |
| 2026 | 8.94 | -4.60 | -0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-09-30 | -42.49 | 1462 |
| 2025-11-30 | 2026-04-30 | -18.86 | 152 |
| 2026-06-30 | 2026-07-31 | -17.55 | 32 |
| 2021-01-31 | 2021-02-28 | -5.87 | 29 |