| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 330.55% | 43.03% |
| CAGR﹪ | 14.08% | 3.28% |
| Sharpe | 0.95 | 0.57 |
| Prob. Sharpe Ratio | 99.87% | 96.8% |
| Smart Sharpe | 0.94 | 0.56 |
| Sortino | 1.54 | 0.89 |
| Smart Sortino | 1.53 | 0.88 |
| Sortino/√2 | 1.09 | 0.63 |
| Smart Sortino/√2 | 1.08 | 0.62 |
| Omega | 2.0 | 1.55 |
| Max Drawdown | -23.93% | -20.86% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2025-08-31 |
| Longest DD Days | 669 | 1432 |
| Volatility (ann.) | 15.2% | 6.03% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.25 | -0.25 |
| Calmar | 0.59 | 0.16 |
| Skew | -0.36 | -0.15 |
| Kurtosis | 0.52 | 1.41 |
| Ulcer Performance Index | 53.22 | 6.33 |
| Risk-Adjusted Return | 1489.68% | 97.02% |
| Risk-Return Ratio | 0.27 | 0.16 |
| Avg. Return | 1.2% | 0.28% |
| Avg. Win | 3.58% | 1.41% |
| Avg. Loss | -4.09% | -1.76% |
| Win/Loss Ratio | 0.88 | 0.81 |
| Profit Ratio | 0.4 | 0.82 |
| Expected Daily | 1.1% | 0.27% |
| Expected Monthly | 1.1% | 0.27% |
| Expected Yearly | 12.94% | 3.03% |
| Kelly Criterion | 33.97% | 5.6% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.02% | -2.58% |
| Expected Shortfall (cVaR) | -8.32% | -3.84% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 3 | 6 |
| Gain/Pain Ratio | 1.0 | 0.55 |
| Gain/Pain (1M) | 1.0 | 0.55 |
| Payoff Ratio | 0.88 | 0.81 |
| Profit Factor | 2.0 | 1.55 |
| Common Sense Ratio | 2.45 | 1.9 |
| CPC Index | 1.21 | 0.72 |
| Tail Ratio | 1.22 | 1.22 |
| Outlier Win Ratio | 3.11 | 3.19 |
| Outlier Loss Ratio | 2.35 | 3.93 |
| MTD | -1.05% | -1.23% |
| 3M | 13.91% | -0.87% |
| 6M | 8.94% | -1.48% |
| YTD | 8.94% | -1.48% |
| 1Y | 20.92% | 2.07% |
| 3Y (ann.) | 18.77% | 4.6% |
| 5Y (ann.) | 12.51% | -0.03% |
| 10Y (ann.) | 15.13% | 2.89% |
| All-time (ann.) | 14.08% | 3.28% |
| Best Day | 12.7% | 5.63% |
| Worst Day | -12.49% | -5.23% |
| Best Month | 12.7% | 5.63% |
| Worst Month | -12.49% | -5.23% |
| Best Year | 31.22% | 14.38% |
| Worst Year | -18.18% | -16.47% |
| Avg. Drawdown | -6.49% | -2.64% |
| Avg. Drawdown Days | 85 | 163 |
| Recovery Factor | 6.67 | 1.81 |
| Ulcer Index | 0.06 | 0.07 |
| Serenity Index | 7.14 | 0.62 |
| Avg. Up Month | 3.58% | 1.41% |
| Avg. Down Month | -4.09% | -1.76% |
| Win Days | 69.17% | 57.89% |
| Win Month | 69.17% | 57.89% |
| Win Quarter | 75.56% | 64.44% |
| Win Year | 83.33% | 58.33% |
| Beta | - | 0.23 |
| Alpha | - | 0.0 |
| Correlation | - | 57.21% |
| Treynor Ratio | - | 189.55% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | 0.15 | -1.13 | -7.76 | - |
| 2016 | 12.00 | 8.43 | 0.70 | - |
| 2017 | 21.71 | 6.45 | 0.30 | - |
| 2018 | -4.57 | -2.12 | 0.46 | + |
| 2019 | 31.22 | 11.84 | 0.38 | - |
| 2020 | 18.33 | 14.38 | 0.78 | - |
| 2021 | 28.73 | -0.63 | -0.02 | - |
| 2022 | -18.18 | -16.47 | 0.91 | + |
| 2023 | 26.18 | 9.13 | 0.35 | - |
| 2024 | 24.89 | 4.49 | 0.18 | - |
| 2025 | 17.72 | 7.35 | 0.41 | - |
| 2026 | 8.94 | -1.48 | -0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-08-31 | -20.86 | 1432 |
| 2016-10-31 | 2017-03-31 | -3.51 | 152 |
| 2021-01-31 | 2021-06-30 | -3.18 | 151 |
| 2026-03-31 | 2026-07-31 | -3.01 | 123 |
| 2018-01-31 | 2018-12-31 | -2.81 | 335 |
| 2015-11-30 | 2016-02-29 | -1.73 | 92 |
| 2015-08-31 | 2015-09-30 | -1.55 | 31 |
| 2020-08-31 | 2020-10-31 | -1.15 | 62 |
| 2019-02-28 | 2019-02-28 | -0.67 | 1 |
| 2019-09-30 | 2019-11-30 | -0.45 | 62 |