| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 86.16% | 140.18% |
| CAGR﹪ | 23.67% | 34.93% |
| Sharpe | 1.52 | 1.49 |
| Prob. Sharpe Ratio | 99.59% | 99.47% |
| Smart Sharpe | 1.46 | 1.43 |
| Sortino | 2.3 | 2.29 |
| Smart Sortino | 2.22 | 2.21 |
| Sortino/√2 | 1.63 | 1.62 |
| Smart Sortino/√2 | 1.57 | 1.56 |
| Omega | 1.32 | 1.3 |
| Max Drawdown | -18.95% | -25.7% |
| Max DD Date | 2025-04-08 | 2025-04-08 |
| Max DD Period Start | 2025-02-20 | 2025-02-14 |
| Max DD Period End | 2025-06-26 | 2025-07-30 |
| Longest DD Days | 127 | 167 |
| Volatility (ann.) | 14.71% | 21.76% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 1.25 | 1.36 |
| Skew | 0.81 | 0.29 |
| Kurtosis | 15.42 | 3.99 |
| Ulcer Performance Index | 26.2 | 18.61 |
| Risk-Adjusted Return | 23.67% | 34.93% |
| Risk-Return Ratio | 0.1 | 0.09 |
| Avg. Return | 0.09% | 0.13% |
| Avg. Win | 0.65% | 1.02% |
| Avg. Loss | -0.64% | -0.95% |
| Win/Loss Ratio | 1.01 | 1.07 |
| Profit Ratio | 0.77 | 0.88 |
| Expected Daily | 0.08% | 0.12% |
| Expected Monthly | 1.74% | 2.46% |
| Expected Yearly | 16.81% | 24.49% |
| Kelly Criterion | 13.72% | 12.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.44% | -2.13% |
| Expected Shortfall (cVaR) | -1.82% | -2.7% |
| Max Consecutive Wins | 9 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.32 | 0.3 |
| Gain/Pain (1M) | 2.87 | 1.96 |
| Payoff Ratio | 1.01 | 1.07 |
| Profit Factor | 1.32 | 1.3 |
| Common Sense Ratio | 1.3 | 1.47 |
| CPC Index | 0.75 | 0.76 |
| Tail Ratio | 0.98 | 1.13 |
| Outlier Win Ratio | 3.22 | 3.76 |
| Outlier Loss Ratio | 3.92 | 3.78 |
| MTD | 2.11% | 1.48% |
| 3M | 4.46% | 7.82% |
| 6M | 15.16% | 2.78% |
| YTD | 14.18% | 12.49% |
| 1Y | 15.67% | 18.94% |
| 3Y (ann.) | 22.01% | 34.22% |
| 5Y (ann.) | 23.67% | 34.93% |
| 10Y (ann.) | 23.67% | 34.93% |
| All-time (ann.) | 23.67% | 34.93% |
| Best Day | 9.39% | 8.6% |
| Worst Day | -4.67% | -5.54% |
| Best Month | 10.5% | 20.26% |
| Worst Month | -5.88% | -9.61% |
| Best Year | 23.28% | 57.84% |
| Worst Year | 13.66% | 7.91% |
| Avg. Drawdown | -1.57% | -3.43% |
| Avg. Drawdown Days | 11 | 20 |
| Recovery Factor | 3.45 | 3.68 |
| Ulcer Index | 0.03 | 0.08 |
| Serenity Index | 2.47 | 1.04 |
| Avg. Up Month | 3.55% | 6.04% |
| Avg. Down Month | -2.17% | -4.14% |
| Win Days | 56.72% | 54.82% |
| Win Month | 69.44% | 66.67% |
| Win Quarter | 84.62% | 84.62% |
| Win Year | 100.0% | 100.0% |
| Beta | - | 0.92 |
| Alpha | - | 0.12 |
| Correlation | - | 62.06% |
| Treynor Ratio | - | 152.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2023 | 9.60 | 7.91 | 0.82 | - |
| 2024 | 23.28 | 57.84 | 2.48 | + |
| 2025 | 16.36 | 25.36 | 1.55 | + |
| 2026 | 14.18 | 12.49 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-14 | 2025-07-30 | -25.70 | 167 |
| 2024-07-11 | 2024-12-03 | -17.18 | 146 |
| 2026-05-15 | 2026-09-02 | -15.75 | 111 |
| 2024-04-12 | 2024-05-24 | -10.86 | 43 |
| 2025-08-13 | 2025-09-12 | -6.21 | 31 |
| 2026-04-01 | 2026-05-07 | -6.13 | 37 |
| 2024-03-08 | 2024-03-21 | -5.29 | 14 |
| 2026-09-04 | 2026-10-09 | -4.96 | 36 |
| 2024-06-20 | 2024-07-02 | -4.91 | 13 |
| 2024-12-09 | 2025-01-16 | -4.84 | 39 |