| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 291.14% | 11,103.75% |
| CAGR﹪ | 13.47% | 54.86% |
| Sharpe | 0.8 | 1.92 |
| Prob. Sharpe Ratio | 99.51% | 100.0% |
| Smart Sharpe | 0.78 | 1.87 |
| Sortino | 1.12 | 5.05 |
| Smart Sortino | 1.09 | 4.93 |
| Sortino/√2 | 0.79 | 3.57 |
| Smart Sortino/√2 | 0.77 | 3.48 |
| Omega | 1.79 | 1.79 |
| Max Drawdown | -33.72% | -10.93% |
| Longest DD Days | 708 | 212 |
| Volatility (ann.) | 17.93% | 24.21% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.4 | 5.02 |
| Skew | -0.31 | 11.12 |
| Kurtosis | 13.97 | 248.13 |
| Expected Daily | 0.05% | 0.17% |
| Expected Monthly | 1.05% | 3.67% |
| Expected Yearly | 12.04% | 48.18% |
| Kelly Criterion | 9.81% | 17.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -2.32% |
| Expected Shortfall (cVaR) | -1.8% | -2.32% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.79 |
| Gain/Pain (1M) | 1.0 | 11.38 |
| Payoff Ratio | 0.99 | 1.15 |
| Profit Factor | 1.17 | 1.79 |
| Common Sense Ratio | 1.08 | 2.4 |
| CPC Index | 0.64 | 1.16 |
| Tail Ratio | 0.93 | 1.34 |
| Outlier Win Ratio | 5.08 | 4.89 |
| Outlier Loss Ratio | 3.72 | 5.35 |
| MTD | 5.5% | -1.71% |
| 3M | -1.03% | 0.24% |
| 6M | 5.66% | -0.08% |
| YTD | 0.89% | 0.33% |
| 1Y | 29.97% | 3.08% |
| 3Y (ann.) | 20.61% | 38.04% |
| 5Y (ann.) | 12.58% | 39.62% |
| 10Y (ann.) | 14.53% | 57.86% |
| All-time (ann.) | 13.47% | 54.86% |
| Best Day | 10.5% | 41.75% |
| Worst Day | -10.95% | -7.84% |
| Best Month | 12.7% | 52.69% |
| Worst Month | -12.49% | -4.81% |
| Best Year | 31.23% | 285.89% |
| Worst Year | -18.17% | 0.33% |
| Avg. Drawdown | -1.68% | -1.45% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 4.56 | 45.83 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.82 | 75.97 |
| Avg. Up Month | 3.64% | 5.61% |
| Avg. Down Month | -4.15% | -1.61% |
| Win Days | 55.06% | 55.93% |
| Win Month | 69.47% | 73.28% |
| Win Quarter | 75.56% | 84.44% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.18 |
| Alpha | - | 0.44 |
| Correlation | - | 13.32% |
| Treynor Ratio | - | 61754.09% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -1.77 | 5.91 | -3.34 | + |
| 2016 | 12.00 | 34.75 | 2.90 | + |
| 2017 | 21.71 | 28.14 | 1.30 | + |
| 2018 | -4.57 | 58.34 | -12.76 | + |
| 2019 | 31.23 | 51.93 | 1.66 | + |
| 2020 | 18.33 | 285.89 | 15.60 | + |
| 2021 | 28.73 | 79.96 | 2.78 | + |
| 2022 | -18.17 | 30.74 | -1.69 | + |
| 2023 | 26.18 | 39.50 | 1.51 | + |
| 2024 | 24.88 | 69.07 | 2.78 | + |
| 2025 | 17.72 | 18.54 | 1.05 | + |
| 2026 | 0.89 | 0.33 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 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 |
| 2026-02-06 | 2026-04-13 | -10.06 | 67 |
| 2015-07-21 | 2015-10-23 | -7.71 | 95 |
| 2023-06-16 | 2023-08-18 | -7.57 | 64 |
| 2020-02-21 | 2020-02-28 | -7.54 | 8 |
| 2018-10-31 | 2018-12-27 | -7.51 | 58 |
| 2017-12-04 | 2018-01-12 | -7.20 | 40 |
Report generated on April 14, 2026 at 06:41 AM CDT.
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.
Copyright(c) Zehnlabs. All Rights Reserved.
Zehnvisor - Your AI Assistant Please wait while we get Zehnvisor on the line for you...
