| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 417.11% | 1,414.72% |
| CAGR﹪ | 13.84% | 23.98% |
| Sharpe | 0.84 | 1.84 |
| Prob. Sharpe Ratio | 99.85% | 100.0% |
| Smart Sharpe | 0.81 | 1.78 |
| Sortino | 1.19 | 2.83 |
| Smart Sortino | 1.15 | 2.73 |
| Sortino/√2 | 0.84 | 2.0 |
| Smart Sortino/√2 | 0.81 | 1.93 |
| Omega | 1.4 | 1.4 |
| Max Drawdown | -33.72% | -10.09% |
| Longest DD Days | 708 | 157 |
| Volatility (ann.) | 17.14% | 12.05% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.41 | 2.38 |
| Skew | -0.31 | 0.34 |
| Kurtosis | 14.4 | 9.02 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.07% | 1.78% |
| Expected Yearly | 12.45% | 21.43% |
| Kelly Criterion | 8.03% | 14.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.72% | -1.16% |
| Expected Shortfall (cVaR) | -1.72% | -1.16% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.18 | 0.4 |
| Gain/Pain (1M) | 1.11 | 3.87 |
| Payoff Ratio | 0.95 | 1.06 |
| Profit Factor | 1.18 | 1.4 |
| Common Sense Ratio | 1.11 | 1.53 |
| CPC Index | 0.62 | 0.83 |
| Tail Ratio | 0.94 | 1.09 |
| Outlier Win Ratio | 3.3 | 4.16 |
| Outlier Loss Ratio | 3.5 | 5.05 |
| MTD | 0.41% | 0.25% |
| 3M | 2.38% | 2.98% |
| 6M | 13.81% | 12.4% |
| YTD | 13.54% | 16.97% |
| 1Y | 20.97% | 28.33% |
| 3Y (ann.) | 24.05% | 30.04% |
| 5Y (ann.) | 14.14% | 25.33% |
| 10Y (ann.) | 15.24% | 25.88% |
| All-time (ann.) | 13.84% | 23.98% |
| Best Day | 10.5% | 8.04% |
| Worst Day | -10.94% | -4.62% |
| Best Month | 12.7% | 10.6% |
| Worst Month | -12.49% | -5.07% |
| Best Year | 31.22% | 62.31% |
| Worst Year | -18.17% | -0.34% |
| Avg. Drawdown | -1.64% | -1.21% |
| Avg. Drawdown Days | 16 | 10 |
| Recovery Factor | 5.43 | 27.86 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 2.4 | 19.63 |
| Avg. Up Month | 3.52% | 3.28% |
| Avg. Down Month | -4.21% | -2.15% |
| Win Days | 55.15% | 56.21% |
| Win Month | 69.48% | 74.03% |
| Win Quarter | 80.77% | 88.46% |
| Win Year | 85.71% | 92.86% |
| Beta | - | 0.48 |
| Alpha | - | 0.15 |
| Correlation | - | 68.8% |
| Treynor Ratio | - | 2924.51% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2013 | 0.46 | -0.34 | -0.74 | - |
| 2014 | 13.46 | 14.67 | 1.09 | + |
| 2015 | 1.24 | 1.02 | 0.82 | - |
| 2016 | 12.00 | 36.60 | 3.05 | + |
| 2017 | 21.71 | 23.09 | 1.06 | + |
| 2018 | -4.57 | 4.10 | -0.90 | + |
| 2019 | 31.22 | 25.51 | 0.82 | - |
| 2020 | 18.34 | 62.31 | 3.40 | + |
| 2021 | 28.73 | 32.61 | 1.14 | + |
| 2022 | -18.17 | 4.02 | -0.22 | + |
| 2023 | 26.18 | 33.58 | 1.28 | + |
| 2024 | 24.89 | 28.55 | 1.15 | + |
| 2025 | 17.72 | 32.84 | 1.85 | + |
| 2026 | 13.54 | 16.97 | 1.25 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-09-14 | 2019-02-15 | -10.09 | 155 |
| 2015-05-19 | 2015-10-22 | -9.72 | 157 |
| 2022-08-17 | 2023-01-05 | -9.27 | 142 |
| 2020-09-02 | 2020-11-12 | -9.15 | 72 |
| 2025-02-20 | 2025-04-10 | -8.90 | 50 |
| 2023-02-03 | 2023-03-30 | -7.97 | 56 |
| 2020-02-24 | 2020-03-12 | -7.93 | 18 |
| 2018-03-13 | 2018-06-05 | -7.53 | 85 |
| 2022-03-30 | 2022-07-27 | -7.46 | 120 |
| 2018-01-29 | 2018-02-23 | -7.07 | 26 |
Report generated on September 04, 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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