| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 375.55% | 7,901.57% |
| CAGR﹪ | 13.7% | 43.6% |
| Sharpe | 0.83 | 1.41 |
| Prob. Sharpe Ratio | 99.78% | 100.0% |
| Smart Sharpe | 0.7 | 1.19 |
| Sortino | 1.17 | 2.92 |
| Smart Sortino | 0.99 | 2.46 |
| Sortino/√2 | 0.83 | 2.07 |
| Smart Sortino/√2 | 0.7 | 1.74 |
| Omega | 1.65 | 1.65 |
| Max Drawdown | -33.72% | -16.8% |
| Longest DD Days | 708 | 183 |
| Volatility (ann.) | 17.4% | 28.49% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | 0.06 | 0.06 |
| Calmar | 0.41 | 2.59 |
| Skew | -0.3 | 5.75 |
| Kurtosis | 14.12 | 89.24 |
| Expected Daily | 0.05% | 0.14% |
| Expected Monthly | 1.07% | 3.05% |
| Expected Yearly | 12.74% | 40.09% |
| Kelly Criterion | 5.77% | 17.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -2.79% |
| Expected Shortfall (cVaR) | -1.75% | -2.79% |
| Max Consecutive Wins | 11 | 10 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.65 |
| Gain/Pain (1M) | 1.09 | 6.61 |
| Payoff Ratio | 0.92 | 1.24 |
| Profit Factor | 1.17 | 1.65 |
| Common Sense Ratio | 1.11 | 2.46 |
| CPC Index | 0.59 | 1.11 |
| Tail Ratio | 0.95 | 1.49 |
| Outlier Win Ratio | 6.18 | 5.88 |
| Outlier Loss Ratio | 4.33 | 5.99 |
| MTD | 1.37% | 5.78% |
| 3M | 4.44% | 13.21% |
| 6M | 9.64% | 11.23% |
| YTD | 14.26% | 15.2% |
| 1Y | 16.41% | 15.05% |
| 3Y (ann.) | 21.6% | 37.68% |
| 5Y (ann.) | 12.3% | 25.64% |
| 10Y (ann.) | 15.52% | 46.64% |
| All-time (ann.) | 13.7% | 43.6% |
| 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% | 189.68% |
| Worst Year | -18.17% | 4.39% |
| Avg. Drawdown | -1.65% | -1.71% |
| Avg. Drawdown Days | 16 | 12 |
| Recovery Factor | 5.17 | 28.85 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | 2.22 | 57.0 |
| Avg. Up Month | 3.54% | 4.73% |
| Avg. Down Month | -3.68% | -2.31% |
| Win Days | 54.75% | 54.12% |
| Win Month | 68.49% | 73.29% |
| Win Quarter | 78.0% | 88.0% |
| Win Year | 84.62% | 100.0% |
| Beta | - | 0.44 |
| Alpha | - | 0.34 |
| Correlation | - | 27.16% |
| Treynor Ratio | - | 17773.62% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 4.17 | 31.86 | 7.64 | + |
| 2015 | 1.24 | 10.17 | 8.22 | + |
| 2016 | 12.00 | 24.53 | 2.04 | + |
| 2017 | 21.71 | 25.43 | 1.17 | + |
| 2018 | -4.57 | 73.74 | -16.14 | + |
| 2019 | 31.22 | 51.42 | 1.65 | + |
| 2020 | 18.34 | 189.68 | 10.35 | + |
| 2021 | 28.73 | 55.57 | 1.93 | + |
| 2022 | -18.17 | 4.39 | -0.24 | + |
| 2023 | 26.18 | 27.12 | 1.04 | + |
| 2024 | 24.89 | 58.89 | 2.37 | + |
| 2025 | 17.72 | 22.45 | 1.27 | + |
| 2026 | 14.26 | 15.20 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-01 | 2025-04-08 | -16.80 | 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 |
| 2026-02-06 | 2026-07-29 | -12.40 | 174 |
| 2018-12-04 | 2018-12-24 | -12.33 | 21 |
| 2017-05-30 | 2017-11-28 | -11.26 | 183 |
Report generated on October 21, 2026 at 05:31 PM EDT.
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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