| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 355.05% | 1,193.98% |
| CAGR﹪ | 13.57% | 24.05% |
| Sharpe | 0.82 | 1.83 |
| Prob. Sharpe Ratio | 99.74% | 100.0% |
| Smart Sharpe | 0.79 | 1.77 |
| Sortino | 1.15 | 2.82 |
| Smart Sortino | 1.12 | 2.72 |
| Sortino/√2 | 0.82 | 1.99 |
| Smart Sortino/√2 | 0.79 | 1.93 |
| Omega | 1.4 | 1.4 |
| Max Drawdown | -33.72% | -10.09% |
| Longest DD Days | 708 | 157 |
| Volatility (ann.) | 17.38% | 12.13% |
| R^2 | 0.48 | 0.48 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.4 | 2.38 |
| Skew | -0.32 | 0.36 |
| Kurtosis | 14.46 | 9.29 |
| Expected Daily | 0.05% | 0.09% |
| Expected Monthly | 1.06% | 1.79% |
| Expected Yearly | 12.36% | 21.77% |
| Kelly Criterion | 7.97% | 14.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.74% | -1.17% |
| Expected Shortfall (cVaR) | -1.74% | -1.17% |
| Max Consecutive Wins | 11 | 14 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.4 |
| Gain/Pain (1M) | 1.07 | 3.67 |
| Payoff Ratio | 0.94 | 1.05 |
| Profit Factor | 1.17 | 1.4 |
| Common Sense Ratio | 1.09 | 1.55 |
| CPC Index | 0.61 | 0.83 |
| Tail Ratio | 0.93 | 1.11 |
| Outlier Win Ratio | 3.33 | 4.23 |
| Outlier Loss Ratio | 3.59 | 5.24 |
| MTD | 0.19% | 2.45% |
| 3M | 5.98% | 9.84% |
| 6M | 16.27% | 17.47% |
| YTD | 17.63% | 32.83% |
| 1Y | 15.51% | 31.59% |
| 3Y (ann.) | 24.19% | 33.65% |
| 5Y (ann.) | 14.68% | 26.39% |
| 10Y (ann.) | 14.51% | 26.89% |
| All-time (ann.) | 13.57% | 24.05% |
| 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% | 62.3% |
| Worst Year | -18.18% | -0.34% |
| Avg. Drawdown | -1.64% | -1.22% |
| Avg. Drawdown Days | 16 | 10 |
| Recovery Factor | 5.03 | 26.25 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 2.13 | 18.0 |
| Avg. Up Month | 3.53% | 3.33% |
| Avg. Down Month | -4.18% | -2.21% |
| Win Days | 55.29% | 56.34% |
| Win Month | 69.44% | 73.61% |
| Win Quarter | 81.63% | 87.76% |
| Win Year | 84.62% | 92.31% |
| Beta | - | 0.48 |
| Alpha | - | 0.15 |
| Correlation | - | 68.93% |
| Treynor Ratio | - | 2481.08% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2013 | 0.46 | -0.34 | -0.74 | - |
| 2014 | 13.46 | 14.66 | 1.09 | + |
| 2015 | 1.23 | 1.01 | 0.82 | - |
| 2016 | 12.00 | 36.59 | 3.05 | + |
| 2017 | 21.71 | 23.08 | 1.06 | + |
| 2018 | -4.57 | 4.09 | -0.90 | + |
| 2019 | 31.22 | 25.50 | 0.82 | - |
| 2020 | 18.33 | 62.30 | 3.40 | + |
| 2021 | 28.73 | 32.60 | 1.13 | + |
| 2022 | -18.18 | 4.00 | -0.22 | + |
| 2023 | 26.18 | 33.57 | 1.28 | + |
| 2024 | 24.89 | 28.54 | 1.15 | + |
| 2025 | 17.63 | 32.83 | 1.86 | + |
| 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 | -9.28 | 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 | -7.47 | 120 |
| 2018-01-29 | 2018-02-23 | -7.07 | 26 |
Report generated on November 28, 2025 at 10:44 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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