| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 179.7% | 90.08% |
| CAGR﹪ | 15.24% | 9.26% |
| Sharpe | 0.94 | 0.78 |
| Prob. Sharpe Ratio | 99.21% | 97.49% |
| Smart Sharpe | 0.85 | 0.71 |
| Sortino | 1.55 | 1.21 |
| Smart Sortino | 1.4 | 1.09 |
| Sortino/√2 | 1.09 | 0.86 |
| Smart Sortino/√2 | 0.99 | 0.77 |
| Omega | 1.95 | 1.77 |
| Max Drawdown | -23.93% | -20.65% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-02-29 |
| Longest DD Days | 669 | 760 |
| Volatility (ann.) | 16.71% | 12.34% |
| R^2 | 0.86 | 0.86 |
| Information Ratio | -0.25 | -0.25 |
| Calmar | 0.64 | 0.45 |
| Skew | -0.34 | -0.62 |
| Kurtosis | 0.18 | 1.17 |
| Ulcer Performance Index | 24.98 | 14.24 |
| Risk-Adjusted Return | 1867.37% | 542.63% |
| Risk-Return Ratio | 0.27 | 0.23 |
| Avg. Return | 1.3% | 0.8% |
| Avg. Win | 4.28% | 2.92% |
| Avg. Loss | -4.28% | -3.28% |
| Win/Loss Ratio | 1.0 | 0.89 |
| Profit Ratio | 0.6 | 0.44 |
| Expected Daily | 1.19% | 0.74% |
| Expected Monthly | 1.19% | 0.74% |
| Expected Yearly | 13.72% | 8.36% |
| Kelly Criterion | 28.73% | 29.17% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.63% | -5.06% |
| Expected Shortfall (cVaR) | -9.33% | -7.44% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.95 | 0.77 |
| Gain/Pain (1M) | 0.95 | 0.77 |
| Payoff Ratio | 1.0 | 0.89 |
| Profit Factor | 1.95 | 1.77 |
| Common Sense Ratio | 2.31 | 2.15 |
| CPC Index | 1.25 | 1.05 |
| Tail Ratio | 1.18 | 1.22 |
| Outlier Win Ratio | 2.68 | 2.84 |
| Outlier Loss Ratio | 2.52 | 2.64 |
| MTD | -1.05% | -1.49% |
| 3M | 13.91% | 6.72% |
| 6M | 8.94% | 7.93% |
| YTD | 8.94% | 7.93% |
| 1Y | 20.92% | 18.39% |
| 3Y (ann.) | 18.77% | 13.46% |
| 5Y (ann.) | 12.51% | 7.18% |
| 10Y (ann.) | 15.24% | 9.26% |
| All-time (ann.) | 15.24% | 9.26% |
| Best Day | 12.7% | 8.55% |
| Worst Day | -12.49% | -12.04% |
| Best Month | 12.7% | 8.55% |
| Worst Month | -12.49% | -12.04% |
| Best Year | 28.73% | 19.47% |
| Worst Year | -18.18% | -14.15% |
| Avg. Drawdown | -6.2% | -5.66% |
| Avg. Drawdown Days | 73 | 106 |
| Recovery Factor | 4.74 | 3.39 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | 4.08 | 2.47 |
| Avg. Up Month | 4.28% | 2.92% |
| Avg. Down Month | -4.28% | -3.28% |
| Win Days | 64.37% | 66.67% |
| Win Month | 64.37% | 66.67% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.68 |
| Alpha | - | -0.01 |
| Correlation | - | 92.53% |
| Treynor Ratio | - | 131.76% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 11.05 | 7.54 | 0.68 | - |
| 2020 | 18.33 | 14.75 | 0.80 | - |
| 2021 | 28.73 | 10.78 | 0.38 | - |
| 2022 | -18.18 | -14.15 | 0.78 | + |
| 2023 | 26.18 | 14.22 | 0.54 | - |
| 2024 | 24.89 | 9.98 | 0.40 | - |
| 2025 | 17.72 | 19.47 | 1.10 | + |
| 2026 | 8.94 | 7.93 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -20.65 | 760 |
| 2020-01-31 | 2020-06-30 | -16.93 | 152 |
| 2026-03-31 | 2026-03-31 | -5.39 | 1 |
| 2019-05-31 | 2019-05-31 | -3.71 | 1 |
| 2024-12-31 | 2025-04-30 | -3.17 | 121 |
| 2021-09-30 | 2021-11-30 | -2.87 | 62 |
| 2024-04-30 | 2024-04-30 | -2.84 | 1 |
| 2020-09-30 | 2020-10-31 | -2.52 | 32 |
| 2024-10-31 | 2024-10-31 | -1.88 | 1 |
| 2026-06-30 | 2026-07-31 | -1.68 | 32 |