| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 293.56% | 10,788.70% |
| CAGR﹪ | 13.86% | 56.0% |
| Sharpe | 0.81 | 1.95 |
| Prob. Sharpe Ratio | 99.54% | 100.0% |
| Smart Sharpe | 0.8 | 1.91 |
| Sortino | 1.14 | 5.26 |
| Smart Sortino | 1.12 | 5.15 |
| Sortino/√2 | 0.81 | 3.72 |
| Smart Sortino/√2 | 0.79 | 3.64 |
| Omega | 1.82 | 1.82 |
| Max Drawdown | -33.72% | -10.93% |
| Longest DD Days | 708 | 192 |
| Volatility (ann.) | 17.99% | 24.2% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.41 | 5.12 |
| Skew | -0.32 | 11.37 |
| Kurtosis | 14.1 | 253.67 |
| Expected Daily | 0.05% | 0.18% |
| Expected Monthly | 1.08% | 3.73% |
| Expected Yearly | 12.09% | 47.83% |
| Kelly Criterion | 9.94% | 17.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -2.32% |
| Expected Shortfall (cVaR) | -1.81% | -2.32% |
| Max Consecutive Wins | 11 | 12 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.82 |
| Gain/Pain (1M) | 1.04 | 11.4 |
| Payoff Ratio | 0.99 | 1.14 |
| Profit Factor | 1.17 | 1.82 |
| Common Sense Ratio | 1.09 | 2.42 |
| CPC Index | 0.64 | 1.16 |
| Tail Ratio | 0.93 | 1.33 |
| Outlier Win Ratio | 5.04 | 4.87 |
| Outlier Loss Ratio | 3.72 | 5.4 |
| MTD | 1.51% | -2.49% |
| 3M | 4.84% | -2.85% |
| 6M | 11.43% | -4.12% |
| YTD | 1.51% | -2.49% |
| 1Y | 20.3% | 16.05% |
| 3Y (ann.) | 20.91% | 39.33% |
| 5Y (ann.) | 13.84% | 44.16% |
| 10Y (ann.) | 15.83% | 58.91% |
| All-time (ann.) | 13.86% | 56.0% |
| 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% | -2.49% |
| Avg. Drawdown | -1.64% | -1.42% |
| Avg. Drawdown Days | 17 | 11 |
| Recovery Factor | 4.57 | 45.51 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.8 | 92.26 |
| Avg. Up Month | 3.64% | 5.61% |
| Avg. Down Month | -4.39% | -1.66% |
| Win Days | 55.18% | 56.12% |
| Win Month | 70.31% | 74.22% |
| Win Quarter | 77.27% | 84.09% |
| Win Year | 75.0% | 91.67% |
| Beta | - | 0.19 |
| Alpha | - | 0.44 |
| Correlation | - | 13.87% |
| Treynor Ratio | - | 57789.67% |
| 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 | 1.51 | -2.49 | -1.64 | - |
| 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 |
| 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 |
| 2020-10-14 | 2021-01-08 | -6.99 | 87 |
Report generated on January 16, 2026 at 02:10 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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