| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 340.21% | 11,075.92% |
| CAGR﹪ | 14.16% | 52.46% |
| Sharpe | 0.84 | 1.88 |
| Prob. Sharpe Ratio | 99.71% | 100.0% |
| Smart Sharpe | 0.81 | 1.83 |
| Sortino | 1.18 | 4.88 |
| Smart Sortino | 1.15 | 4.76 |
| Sortino/√2 | 0.83 | 3.45 |
| Smart Sortino/√2 | 0.81 | 3.36 |
| Omega | 1.76 | 1.76 |
| Max Drawdown | -33.72% | -13.47% |
| Longest DD Days | 708 | 212 |
| Volatility (ann.) | 17.77% | 23.89% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.42 | 3.9 |
| Skew | -0.31 | 11.16 |
| Kurtosis | 14.0 | 252.35 |
| Expected Daily | 0.05% | 0.17% |
| Expected Monthly | 1.1% | 3.53% |
| Expected Yearly | 13.15% | 48.15% |
| Kelly Criterion | 10.01% | 17.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -2.3% |
| Expected Shortfall (cVaR) | -1.78% | -2.3% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.18 | 0.76 |
| Gain/Pain (1M) | 1.07 | 9.63 |
| Payoff Ratio | 1.0 | 1.15 |
| Profit Factor | 1.18 | 1.76 |
| Common Sense Ratio | 1.1 | 2.33 |
| CPC Index | 0.65 | 1.13 |
| Tail Ratio | 0.94 | 1.32 |
| Outlier Win Ratio | 5.05 | 4.91 |
| Outlier Loss Ratio | 3.77 | 5.39 |
| MTD | 0.41% | -0.21% |
| 3M | 2.38% | 5.88% |
| 6M | 13.81% | 2.0% |
| YTD | 13.54% | -0.09% |
| 1Y | 20.97% | -0.8% |
| 3Y (ann.) | 24.05% | 35.91% |
| 5Y (ann.) | 14.14% | 34.54% |
| 10Y (ann.) | 15.24% | 55.17% |
| All-time (ann.) | 14.16% | 52.46% |
| Best Day | 10.5% | 41.75% |
| Worst Day | -10.94% | -7.84% |
| Best Month | 12.7% | 52.7% |
| Worst Month | -12.49% | -4.81% |
| Best Year | 31.22% | 285.95% |
| Worst Year | -18.17% | -0.09% |
| Avg. Drawdown | -1.64% | -1.46% |
| Avg. Drawdown Days | 16 | 11 |
| Recovery Factor | 4.92 | 37.2 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | 2.01 | 47.85 |
| Avg. Up Month | 3.58% | 5.57% |
| Avg. Down Month | -3.96% | -1.67% |
| Win Days | 55.08% | 55.77% |
| Win Month | 69.85% | 72.06% |
| Win Quarter | 76.09% | 84.78% |
| Win Year | 75.0% | 91.67% |
| Beta | - | 0.18 |
| Alpha | - | 0.42 |
| Correlation | - | 13.33% |
| Treynor Ratio | - | 61777.05% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -1.77 | 5.91 | -3.35 | + |
| 2016 | 12.00 | 34.77 | 2.90 | + |
| 2017 | 21.71 | 28.17 | 1.30 | + |
| 2018 | -4.57 | 58.37 | -12.78 | + |
| 2019 | 31.22 | 51.95 | 1.66 | + |
| 2020 | 18.34 | 285.95 | 15.60 | + |
| 2021 | 28.73 | 79.99 | 2.78 | + |
| 2022 | -18.17 | 30.76 | -1.69 | + |
| 2023 | 26.18 | 39.53 | 1.51 | + |
| 2024 | 24.89 | 69.11 | 2.78 | + |
| 2025 | 17.72 | 18.56 | 1.05 | + |
| 2026 | 13.54 | -0.09 | -0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-06 | 2026-09-04 | -13.47 | 211 |
| 2017-06-07 | 2017-11-30 | -10.93 | 177 |
| 2017-02-13 | 2017-02-27 | -10.65 | 15 |
| 2025-04-04 | 2025-04-08 | -10.36 | 5 |
| 2021-12-30 | 2022-03-09 | -10.29 | 70 |
| 2015-07-21 | 2015-10-23 | -7.71 | 95 |
| 2023-06-16 | 2023-08-18 | -7.57 | 64 |
| 2020-02-21 | 2020-02-28 | -7.53 | 8 |
| 2018-10-31 | 2018-12-27 | -7.51 | 58 |
| 2017-12-04 | 2018-01-12 | -7.20 | 40 |
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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