| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 318.70% | 6,627.80% |
| CAGR﹪ | 13.27% | 44.36% |
| Sharpe | 0.8 | 1.4 |
| Prob. Sharpe Ratio | 99.62% | 100.0% |
| Smart Sharpe | 0.67 | 1.18 |
| Sortino | 1.12 | 2.91 |
| Smart Sortino | 0.95 | 2.45 |
| Sortino/√2 | 0.8 | 2.05 |
| Smart Sortino/√2 | 0.67 | 1.73 |
| Omega | 1.65 | 1.65 |
| Max Drawdown | -33.72% | -16.81% |
| Longest DD Days | 708 | 183 |
| Volatility (ann.) | 17.61% | 29.06% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.39 | 2.64 |
| Skew | -0.31 | 5.68 |
| Kurtosis | 14.18 | 86.88 |
| Expected Daily | 0.05% | 0.15% |
| Expected Monthly | 1.04% | 3.1% |
| Expected Yearly | 11.64% | 38.23% |
| Kelly Criterion | 5.69% | 17.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -2.85% |
| Expected Shortfall (cVaR) | -1.77% | -2.85% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.65 |
| Gain/Pain (1M) | 1.04 | 7.01 |
| Payoff Ratio | 0.92 | 1.22 |
| Profit Factor | 1.17 | 1.65 |
| Common Sense Ratio | 1.1 | 2.45 |
| CPC Index | 0.59 | 1.1 |
| Tail Ratio | 0.94 | 1.49 |
| Outlier Win Ratio | 6.1 | 5.75 |
| Outlier Loss Ratio | 4.46 | 6.09 |
| MTD | -0.86% | -4.26% |
| 3M | 1.23% | -3.4% |
| 6M | 6.94% | -0.81% |
| YTD | 0.6% | -2.96% |
| 1Y | 16.74% | 15.64% |
| 3Y (ann.) | 22.1% | 34.16% |
| 5Y (ann.) | 13.34% | 30.32% |
| 10Y (ann.) | 15.39% | 46.0% |
| All-time (ann.) | 13.27% | 44.36% |
| Best Day | 10.5% | 31.85% |
| Worst Day | -10.94% | -14.45% |
| Best Month | 12.7% | 44.04% |
| Worst Month | -12.49% | -7.94% |
| Best Year | 31.22% | 189.64% |
| Worst Year | -18.18% | -2.96% |
| Avg. Drawdown | -1.66% | -1.75% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 4.78 | 27.77 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | 1.98 | 70.43 |
| Avg. Up Month | 3.53% | 4.74% |
| Avg. Down Month | -4.06% | -2.45% |
| Win Days | 54.89% | 54.44% |
| Win Month | 68.84% | 73.91% |
| Win Quarter | 78.72% | 87.23% |
| Win Year | 84.62% | 92.31% |
| Beta | - | 0.45 |
| Alpha | - | 0.34 |
| Correlation | - | 27.26% |
| Treynor Ratio | - | 14737.37% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 4.17 | 31.86 | 7.64 | + |
| 2015 | 1.24 | 10.17 | 8.22 | + |
| 2016 | 12.00 | 24.51 | 2.04 | + |
| 2017 | 21.71 | 25.40 | 1.17 | + |
| 2018 | -4.57 | 73.71 | -16.13 | + |
| 2019 | 31.22 | 51.39 | 1.65 | + |
| 2020 | 18.33 | 189.64 | 10.34 | + |
| 2021 | 28.73 | 55.54 | 1.93 | + |
| 2022 | -18.18 | 4.37 | -0.24 | + |
| 2023 | 26.18 | 27.09 | 1.04 | + |
| 2024 | 24.89 | 58.86 | 2.37 | + |
| 2025 | 17.72 | 22.43 | 1.27 | + |
| 2026 | 0.60 | -2.96 | -4.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-01 | 2025-04-08 | -16.81 | 8 |
| 2015-01-27 | 2015-02-05 | -15.13 | 10 |
| 2014-12-09 | 2014-12-10 | -14.45 | 2 |
| 2021-12-30 | 2022-05-31 | -14.14 | 153 |
| 2015-02-12 | 2015-02-12 | -13.73 | 1 |
| 2014-09-22 | 2014-09-25 | -13.14 | 4 |
| 2015-07-14 | 2015-10-09 | -12.87 | 88 |
| 2018-12-04 | 2018-12-24 | -12.33 | 21 |
| 2017-05-30 | 2017-11-28 | -11.27 | 183 |
| 2026-02-06 | 2026-02-27 | -11.17 | 22 |
Report generated on February 28, 2026 at 08:09 PM CST.
Analysis based on daily close prices. Calculations are based on 365.25 days per calendar year. Regulatory fees as well as a slippage of 0.05% included. For explanation of metrics, please check the Key Performance Metrics Glossary.
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