| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 421.65% | 623.49% |
| CAGR﹪ | 13.83% | 16.79% |
| Sharpe | 0.97 | 1.12 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.86 | 1.0 |
| Sortino | 1.59 | 2.19 |
| Smart Sortino | 1.41 | 1.95 |
| Sortino/√2 | 1.13 | 1.55 |
| Smart Sortino/√2 | 1.0 | 1.38 |
| Omega | 2.04 | 2.58 |
| Max Drawdown | -23.93% | -22.53% |
| Max DD Date | 2022-09-30 | 2025-12-31 |
| Max DD Period Start | 2022-01-31 | 2023-10-31 |
| Max DD Period End | 2023-11-30 | 2026-02-28 |
| Longest DD Days | 669 | 852 |
| Volatility (ann.) | 14.5% | 14.84% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.58 | 0.75 |
| Skew | -0.35 | 0.35 |
| Kurtosis | 0.71 | 1.28 |
| Ulcer Performance Index | 72.61 | 76.5 |
| Risk-Adjusted Return | 1419.02% | 2503.37% |
| Risk-Return Ratio | 0.28 | 0.32 |
| Avg. Return | 1.17% | 1.39% |
| Avg. Win | 3.38% | 3.39% |
| Avg. Loss | -3.43% | -4.12% |
| Win/Loss Ratio | 0.98 | 0.82 |
| Profit Ratio | 0.43 | 0.51 |
| Expected Daily | 1.09% | 1.3% |
| Expected Monthly | 1.09% | 1.3% |
| Expected Yearly | 12.52% | 15.18% |
| Kelly Criterion | 36.76% | 31.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.71% | -5.66% |
| Expected Shortfall (cVaR) | -8.06% | -7.59% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 1.04 | 1.58 |
| Gain/Pain (1M) | 1.04 | 1.58 |
| Payoff Ratio | 0.98 | 0.82 |
| Profit Factor | 2.04 | 2.58 |
| Common Sense Ratio | 2.44 | 3.88 |
| CPC Index | 1.38 | 1.47 |
| Tail Ratio | 1.19 | 1.5 |
| Outlier Win Ratio | 3.19 | 3.97 |
| Outlier Loss Ratio | 2.52 | 2.98 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | -8.13% |
| 6M | 8.94% | 19.96% |
| YTD | 8.94% | 19.96% |
| 1Y | 20.92% | 19.18% |
| 3Y (ann.) | 18.77% | -2.08% |
| 5Y (ann.) | 12.51% | 3.47% |
| 10Y (ann.) | 15.13% | 15.79% |
| All-time (ann.) | 13.83% | 16.79% |
| Best Day | 12.7% | 16.09% |
| Worst Day | -12.49% | -9.88% |
| Best Month | 12.7% | 16.09% |
| Worst Month | -12.49% | -9.88% |
| Best Year | 31.22% | 48.41% |
| Worst Year | -18.18% | -14.11% |
| Avg. Drawdown | -5.41% | -5.33% |
| Avg. Drawdown Days | 67 | 92 |
| Recovery Factor | 7.5 | 9.45 |
| Ulcer Index | 0.06 | 0.08 |
| Serenity Index | 8.2 | 5.61 |
| Avg. Up Month | 3.38% | 3.39% |
| Avg. Down Month | -3.43% | -4.12% |
| Win Days | 68.63% | 69.28% |
| Win Month | 68.63% | 69.28% |
| Win Quarter | 78.85% | 73.08% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 0.39 |
| Alpha | - | 0.11 |
| Correlation | - | 38.35% |
| Treynor Ratio | - | 1589.03% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2013 | 5.63 | 0.01 | 0.00 | - |
| 2014 | 13.46 | 23.04 | 1.71 | + |
| 2015 | 1.23 | 17.60 | 14.25 | + |
| 2016 | 12.00 | 20.70 | 1.73 | + |
| 2017 | 21.71 | 21.10 | 0.97 | - |
| 2018 | -4.57 | 20.71 | -4.53 | + |
| 2019 | 31.22 | 20.74 | 0.66 | - |
| 2020 | 18.33 | 48.41 | 2.64 | + |
| 2021 | 28.73 | 19.77 | 0.69 | - |
| 2022 | -18.18 | 26.98 | -1.48 | + |
| 2023 | 26.18 | 7.70 | 0.29 | - |
| 2024 | 24.89 | -14.11 | -0.57 | - |
| 2025 | 17.72 | -6.31 | -0.36 | - |
| 2026 | 8.94 | 19.96 | 2.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-31 | 2026-02-28 | -22.53 | 852 |
| 2026-05-31 | 2026-07-31 | -14.30 | 62 |
| 2020-02-29 | 2020-03-31 | -12.90 | 32 |
| 2022-06-30 | 2023-05-31 | -12.58 | 336 |
| 2021-11-30 | 2022-01-31 | -10.34 | 63 |
| 2020-09-30 | 2020-10-31 | -8.65 | 32 |
| 2019-05-31 | 2019-06-30 | -8.23 | 31 |
| 2018-09-30 | 2019-03-31 | -5.85 | 183 |
| 2021-08-31 | 2021-09-30 | -4.62 | 31 |
| 2017-06-30 | 2017-07-31 | -3.06 | 32 |