| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 88.05% | 28.9% |
| CAGR﹪ | 20.86% | 7.91% |
| Sharpe | 1.56 | 1.2 |
| Prob. Sharpe Ratio | 99.85% | 98.68% |
| Smart Sharpe | 1.28 | 0.99 |
| Sortino | 3.41 | 2.29 |
| Smart Sortino | 2.8 | 1.89 |
| Sortino/√2 | 2.41 | 1.62 |
| Smart Sortino/√2 | 1.98 | 1.33 |
| Omega | 3.11 | 2.4 |
| Max Drawdown | -8.33% | -5.03% |
| Max DD Date | 2023-10-31 | 2023-10-31 |
| Max DD Period Start | 2023-08-31 | 2023-08-31 |
| Max DD Period End | 2023-10-31 | 2023-11-30 |
| Longest DD Days | 93 | 182 |
| Volatility (ann.) | 12.77% | 6.53% |
| R^2 | 0.44 | 0.44 |
| Information Ratio | -0.36 | -0.36 |
| Calmar | 2.51 | 1.57 |
| Skew | 0.13 | 0.02 |
| Kurtosis | -0.07 | -0.38 |
| Ulcer Performance Index | 32.76 | 20.18 |
| Risk-Adjusted Return | 5244.45% | 395.08% |
| Risk-Return Ratio | 0.45 | 0.35 |
| Avg. Return | 1.66% | 0.65% |
| Avg. Win | 3.77% | 1.69% |
| Avg. Loss | -3.05% | -1.77% |
| Win/Loss Ratio | 1.24 | 0.95 |
| Profit Ratio | 0.72 | 0.44 |
| Expected Daily | 1.59% | 0.64% |
| Expected Monthly | 1.59% | 0.64% |
| Expected Yearly | 17.1% | 6.55% |
| Kelly Criterion | 41.22% | 38.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -4.41% | -2.45% |
| Expected Shortfall (cVaR) | -5.08% | -2.69% |
| Max Consecutive Wins | 9 | 11 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 2.11 | 1.4 |
| Gain/Pain (1M) | 2.11 | 1.4 |
| Payoff Ratio | 1.24 | 0.95 |
| Profit Factor | 3.11 | 2.4 |
| Common Sense Ratio | 4.32 | 3.81 |
| CPC Index | 2.59 | 1.6 |
| Tail Ratio | 1.39 | 1.59 |
| Outlier Win Ratio | 2.75 | 2.84 |
| Outlier Loss Ratio | 2.2 | 1.74 |
| MTD | -1.05% | -0.72% |
| 3M | 13.91% | 2.34% |
| 6M | 8.94% | 4.42% |
| YTD | 8.94% | 4.42% |
| 1Y | 20.92% | 10.69% |
| 3Y (ann.) | 18.77% | 8.05% |
| 5Y (ann.) | 20.86% | 7.91% |
| 10Y (ann.) | 20.86% | 7.91% |
| All-time (ann.) | 20.86% | 7.91% |
| Best Day | 10.51% | 4.59% |
| Worst Day | -5.57% | -2.83% |
| Best Month | 10.51% | 4.59% |
| Worst Month | -5.57% | -2.83% |
| Best Year | 24.89% | 12.23% |
| Worst Year | 8.94% | 3.69% |
| Avg. Drawdown | -4.44% | -2.36% |
| Avg. Drawdown Days | 32 | 57 |
| Recovery Factor | 7.96 | 5.2 |
| Ulcer Index | 0.03 | 0.01 |
| Serenity Index | 13.09 | 9.93 |
| Avg. Up Month | 3.77% | 1.69% |
| Avg. Down Month | -3.05% | -1.77% |
| Win Days | 67.5% | 70.0% |
| Win Month | 67.5% | 70.0% |
| Win Quarter | 71.43% | 78.57% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.01 |
| Correlation | - | 66.27% |
| Treynor Ratio | - | 85.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 17.42 | 6.07 | 0.35 | - |
| 2024 | 24.89 | 3.69 | 0.15 | - |
| 2025 | 17.72 | 12.23 | 0.69 | - |
| 2026 | 8.94 | 4.42 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-08-31 | 2023-11-30 | -5.03 | 92 |
| 2026-03-31 | 2026-05-31 | -2.83 | 62 |
| 2024-10-31 | 2025-04-30 | -2.81 | 182 |
| 2024-04-30 | 2024-04-30 | -2.35 | 1 |
| 2023-05-31 | 2023-06-30 | -1.91 | 31 |
| 2024-01-31 | 2024-02-29 | -0.87 | 30 |
| 2026-07-31 | 2026-07-31 | -0.72 | 1 |