| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 290.01% | 10,877.40% |
| CAGR﹪ | 13.6% | 55.35% |
| Sharpe | 0.8 | 1.93 |
| Prob. Sharpe Ratio | 99.52% | 100.0% |
| Smart Sharpe | 0.78 | 1.88 |
| Sortino | 1.13 | 5.07 |
| Smart Sortino | 1.1 | 4.95 |
| Sortino/√2 | 0.8 | 3.59 |
| Smart Sortino/√2 | 0.78 | 3.5 |
| Omega | 1.8 | 1.8 |
| Max Drawdown | -33.72% | -10.93% |
| Longest DD Days | 708 | 212 |
| Volatility (ann.) | 17.94% | 24.28% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.4 | 5.06 |
| Skew | -0.32 | 11.13 |
| Kurtosis | 14.11 | 248.01 |
| Expected Daily | 0.05% | 0.18% |
| Expected Monthly | 1.06% | 3.71% |
| Expected Yearly | 12.01% | 47.93% |
| Kelly Criterion | 9.73% | 17.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.8% | -2.33% |
| Expected Shortfall (cVaR) | -1.8% | -2.33% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.8 |
| Gain/Pain (1M) | 1.03 | 11.79 |
| Payoff Ratio | 0.99 | 1.14 |
| Profit Factor | 1.17 | 1.8 |
| Common Sense Ratio | 1.08 | 2.41 |
| CPC Index | 0.64 | 1.15 |
| Tail Ratio | 0.93 | 1.34 |
| Outlier Win Ratio | 5.06 | 4.87 |
| Outlier Loss Ratio | 3.74 | 5.35 |
| MTD | -0.86% | -0.86% |
| 3M | 1.23% | -2.21% |
| 6M | 6.94% | -2.55% |
| YTD | 0.6% | -1.69% |
| 1Y | 16.74% | 15.68% |
| 3Y (ann.) | 22.1% | 38.2% |
| 5Y (ann.) | 13.34% | 43.22% |
| 10Y (ann.) | 15.39% | 58.89% |
| All-time (ann.) | 13.6% | 55.35% |
| Best Day | 10.5% | 41.75% |
| Worst Day | -10.94% | -7.84% |
| Best Month | 12.7% | 52.69% |
| Worst Month | -12.49% | -4.81% |
| Best Year | 31.22% | 285.89% |
| Worst Year | -18.18% | -1.69% |
| Avg. Drawdown | -1.66% | -1.44% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 4.55 | 45.63 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.8 | 85.78 |
| Avg. Up Month | 3.64% | 5.61% |
| Avg. Down Month | -4.15% | -1.61% |
| Win Days | 55.1% | 56.15% |
| Win Month | 69.77% | 73.64% |
| Win Quarter | 77.27% | 84.09% |
| Win Year | 75.0% | 91.67% |
| Beta | - | 0.18 |
| Alpha | - | 0.44 |
| Correlation | - | 13.24% |
| Treynor Ratio | - | 60725.41% |
| 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 | -12.77 | + |
| 2019 | 31.22 | 51.93 | 1.66 | + |
| 2020 | 18.33 | 285.89 | 15.59 | + |
| 2021 | 28.73 | 79.95 | 2.78 | + |
| 2022 | -18.18 | 30.74 | -1.69 | + |
| 2023 | 26.18 | 39.50 | 1.51 | + |
| 2024 | 24.89 | 69.07 | 2.78 | + |
| 2025 | 17.72 | 18.54 | 1.05 | + |
| 2026 | 0.60 | -1.69 | -2.84 | - |
| 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 | 2026-02-27 | -9.08 | 22 |
| 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 February 28, 2026 at 05:16 AM 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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