| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 209.42% | 24.13% |
| CAGR﹪ | 14.83% | 2.68% |
| Sharpe | 0.92 | 1.01 |
| Prob. Sharpe Ratio | 99.37% | 99.94% |
| Smart Sharpe | 0.89 | 0.98 |
| Sortino | 1.48 | 2.12 |
| Smart Sortino | 1.44 | 2.05 |
| Sortino/√2 | 1.05 | 1.5 |
| Smart Sortino/√2 | 1.02 | 1.45 |
| Omega | 1.92 | 2.25 |
| Max Drawdown | -23.93% | -5.69% |
| Max DD Date | 2022-09-30 | 2022-10-31 |
| Max DD Period Start | 2022-01-31 | 2020-08-31 |
| Max DD Period End | 2023-11-30 | 2023-12-31 |
| Longest DD Days | 669 | 1218 |
| Volatility (ann.) | 16.64% | 2.65% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.22 | -0.22 |
| Calmar | 0.62 | 0.47 |
| Skew | -0.41 | 0.67 |
| Kurtosis | 0.19 | 0.86 |
| Ulcer Performance Index | 29.86 | 11.62 |
| Risk-Adjusted Return | 1725.61% | 74.34% |
| Risk-Return Ratio | 0.27 | 0.29 |
| Avg. Return | 1.27% | 0.22% |
| Avg. Win | 4.03% | 0.56% |
| Avg. Loss | -4.18% | -0.55% |
| Win/Loss Ratio | 0.96 | 1.03 |
| Profit Ratio | 0.5 | 0.98 |
| Expected Daily | 1.16% | 0.22% |
| Expected Monthly | 1.16% | 0.22% |
| Expected Yearly | 13.37% | 2.43% |
| Kelly Criterion | 31.42% | 21.59% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.63% | -1.03% |
| Expected Shortfall (cVaR) | -8.91% | -1.19% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 3 | 5 |
| Gain/Pain Ratio | 0.92 | 1.25 |
| Gain/Pain (1M) | 0.92 | 1.25 |
| Payoff Ratio | 0.96 | 1.03 |
| Profit Factor | 1.92 | 2.25 |
| Common Sense Ratio | 2.0 | 3.81 |
| CPC Index | 1.23 | 1.4 |
| Tail Ratio | 1.04 | 1.69 |
| Outlier Win Ratio | 2.73 | 3.84 |
| Outlier Loss Ratio | 2.28 | 2.68 |
| MTD | -1.05% | -0.12% |
| 3M | 13.91% | 0.54% |
| 6M | 8.94% | 0.95% |
| YTD | 8.94% | 0.95% |
| 1Y | 20.92% | 2.73% |
| 3Y (ann.) | 18.77% | 3.66% |
| 5Y (ann.) | 12.51% | 2.1% |
| 10Y (ann.) | 14.83% | 2.68% |
| All-time (ann.) | 14.83% | 2.68% |
| Best Day | 12.7% | 2.6% |
| Worst Day | -12.49% | -1.25% |
| Best Month | 12.7% | 2.6% |
| Worst Month | -12.49% | -1.25% |
| Best Year | 31.22% | 5.57% |
| Worst Year | -18.18% | -2.15% |
| Avg. Drawdown | -6.69% | -1.04% |
| Avg. Drawdown Days | 78 | 145 |
| Recovery Factor | 5.22 | 3.85 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 4.74 | 1.68 |
| Avg. Up Month | 4.03% | 0.56% |
| Avg. Down Month | -4.18% | -0.55% |
| Win Days | 66.33% | 60.2% |
| Win Month | 66.33% | 60.2% |
| Win Quarter | 73.53% | 70.59% |
| Win Year | 77.78% | 77.78% |
| Beta | - | 0.01 |
| Alpha | - | 0.03 |
| Correlation | - | 7.2% |
| Treynor Ratio | - | 2109.0% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -6.38 | 2.17 | -0.34 | + |
| 2019 | 31.22 | 5.57 | 0.18 | - |
| 2020 | 18.33 | 5.02 | 0.27 | - |
| 2021 | 28.73 | -1.37 | -0.05 | - |
| 2022 | -18.18 | -2.15 | 0.12 | + |
| 2023 | 26.18 | 4.74 | 0.18 | - |
| 2024 | 24.89 | 2.69 | 0.11 | - |
| 2025 | 17.72 | 4.58 | 0.26 | - |
| 2026 | 8.94 | 0.95 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-08-31 | 2023-12-31 | -5.69 | 1218 |
| 2019-09-30 | 2020-01-31 | -1.35 | 124 |
| 2024-10-31 | 2025-01-31 | -1.31 | 93 |
| 2026-03-31 | 2026-07-31 | -1.13 | 123 |
| 2025-05-31 | 2025-05-31 | -0.69 | 1 |
| 2025-12-31 | 2026-01-31 | -0.35 | 32 |
| 2019-02-28 | 2019-02-28 | -0.29 | 1 |
| 2024-02-29 | 2024-02-29 | -0.23 | 1 |
| 2019-04-30 | 2019-04-30 | -0.21 | 1 |
| 2025-07-31 | 2025-07-31 | -0.20 | 1 |