| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 321.10% | 10,639.94% |
| CAGR﹪ | 14.11% | 53.67% |
| Sharpe | 0.83 | 1.89 |
| Prob. Sharpe Ratio | 99.65% | 100.0% |
| Smart Sharpe | 0.81 | 1.84 |
| Sortino | 1.17 | 4.92 |
| Smart Sortino | 1.14 | 4.8 |
| Sortino/√2 | 0.83 | 3.48 |
| Smart Sortino/√2 | 0.81 | 3.39 |
| Omega | 1.77 | 1.77 |
| Max Drawdown | -33.72% | -10.93% |
| Longest DD Days | 708 | 212 |
| Volatility (ann.) | 17.88% | 24.17% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.42 | 4.91 |
| Skew | -0.31 | 11.07 |
| Kurtosis | 14.01 | 247.58 |
| Expected Daily | 0.05% | 0.17% |
| Expected Monthly | 1.1% | 3.61% |
| Expected Yearly | 12.73% | 47.66% |
| Kelly Criterion | 9.99% | 17.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.79% | -2.32% |
| Expected Shortfall (cVaR) | -1.79% | -2.32% |
| Max Consecutive Wins | 10 | 12 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.77 |
| Gain/Pain (1M) | 1.05 | 10.34 |
| Payoff Ratio | 0.99 | 1.14 |
| Profit Factor | 1.17 | 1.77 |
| Common Sense Ratio | 1.09 | 2.33 |
| CPC Index | 0.64 | 1.13 |
| Tail Ratio | 0.93 | 1.32 |
| Outlier Win Ratio | 5.06 | 4.89 |
| Outlier Loss Ratio | 3.81 | 5.39 |
| MTD | 2.78% | -2.89% |
| 3M | 8.47% | -1.24% |
| 6M | 11.6% | -5.16% |
| YTD | 8.62% | -3.82% |
| 1Y | 25.74% | -4.78% |
| 3Y (ann.) | 21.18% | 37.52% |
| 5Y (ann.) | 13.95% | 37.69% |
| 10Y (ann.) | 15.55% | 57.22% |
| All-time (ann.) | 14.11% | 53.67% |
| 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% | -3.82% |
| Avg. Drawdown | -1.64% | -1.45% |
| Avg. Drawdown Days | 16 | 11 |
| Recovery Factor | 4.78 | 45.46 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.92 | 70.11 |
| Avg. Up Month | 3.64% | 5.61% |
| Avg. Down Month | -4.15% | -1.61% |
| Win Days | 55.11% | 55.93% |
| Win Month | 69.7% | 72.73% |
| Win Quarter | 75.56% | 84.44% |
| Win Year | 75.0% | 91.67% |
| Beta | - | 0.18 |
| Alpha | - | 0.43 |
| Correlation | - | 13.17% |
| Treynor Ratio | - | 59782.68% |
| 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 | 8.62 | -3.82 | -0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2017-06-07 | 2017-11-30 | -10.93 | 177 |
| 2017-02-13 | 2017-02-27 | -10.65 | 15 |
| 2026-02-06 | 2026-05-18 | -10.44 | 102 |
| 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 |
Report generated on May 18, 2026 at 07:33 PM 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.
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