| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 313.16% | 794.94% |
| CAGR﹪ | 13.5% | 21.69% |
| Sharpe | 0.81 | 1.84 |
| Prob. Sharpe Ratio | 99.61% | 100.0% |
| Smart Sharpe | 0.77 | 1.76 |
| Sortino | 1.14 | 2.84 |
| Smart Sortino | 1.09 | 2.73 |
| Sortino/√2 | 0.8 | 2.01 |
| Smart Sortino/√2 | 0.77 | 1.93 |
| Omega | 1.4 | 1.4 |
| Max Drawdown | -33.72% | -10.43% |
| Longest DD Days | 708 | 188 |
| Volatility (ann.) | 17.71% | 11.04% |
| R^2 | 0.54 | 0.54 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.4 | 2.08 |
| Skew | -0.31 | 0.64 |
| Kurtosis | 14.24 | 12.84 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.06% | 1.64% |
| Expected Yearly | 11.53% | 18.36% |
| Kelly Criterion | 7.88% | 15.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -1.06% |
| Expected Shortfall (cVaR) | -1.78% | -1.06% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.4 |
| Gain/Pain (1M) | 1.04 | 3.67 |
| Payoff Ratio | 0.96 | 1.05 |
| Profit Factor | 1.17 | 1.4 |
| Common Sense Ratio | 1.09 | 1.51 |
| CPC Index | 0.61 | 0.84 |
| Tail Ratio | 0.94 | 1.07 |
| Outlier Win Ratio | 3.09 | 4.44 |
| Outlier Loss Ratio | 3.46 | 5.58 |
| MTD | 1.74% | 3.19% |
| 3M | 6.56% | 8.63% |
| 6M | 11.89% | 14.45% |
| YTD | 1.74% | 3.19% |
| 1Y | 20.92% | 32.67% |
| 3Y (ann.) | 21.12% | 26.0% |
| 5Y (ann.) | 13.91% | 22.34% |
| 10Y (ann.) | 15.8% | 23.95% |
| All-time (ann.) | 13.5% | 21.69% |
| Best Day | 10.5% | 8.49% |
| Worst Day | -10.94% | -4.49% |
| Best Month | 12.7% | 8.88% |
| Worst Month | -12.49% | -4.66% |
| Best Year | 31.22% | 51.51% |
| Worst Year | -18.18% | -0.68% |
| Avg. Drawdown | -1.62% | -1.13% |
| Avg. Drawdown Days | 16 | 10 |
| Recovery Factor | 4.73 | 21.66 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.93 | 15.9 |
| Avg. Up Month | 3.52% | 2.98% |
| Avg. Down Month | -4.3% | -2.13% |
| Win Days | 54.98% | 56.73% |
| Win Month | 69.63% | 74.81% |
| Win Quarter | 80.43% | 86.96% |
| Win Year | 84.62% | 92.31% |
| Beta | - | 0.46 |
| Alpha | - | 0.14 |
| Correlation | - | 73.61% |
| Treynor Ratio | - | 1731.78% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 1.64 | 2.44 | 1.49 | + |
| 2015 | 1.24 | -0.68 | -0.55 | - |
| 2016 | 12.00 | 30.79 | 2.57 | + |
| 2017 | 21.71 | 20.75 | 0.96 | - |
| 2018 | -4.57 | 3.10 | -0.68 | + |
| 2019 | 31.22 | 24.05 | 0.77 | - |
| 2020 | 18.33 | 51.51 | 2.81 | + |
| 2021 | 28.73 | 30.95 | 1.08 | + |
| 2022 | -18.18 | 3.37 | -0.19 | + |
| 2023 | 26.18 | 27.31 | 1.04 | + |
| 2024 | 24.89 | 25.60 | 1.03 | + |
| 2025 | 17.72 | 28.67 | 1.62 | + |
| 2026 | 1.74 | 3.19 | 1.84 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-09-14 | 2019-03-20 | -10.43 | 188 |
| 2015-05-19 | 2015-10-27 | -9.42 | 162 |
| 2025-02-20 | 2025-04-15 | -9.14 | 55 |
| 2022-08-17 | 2023-01-10 | -8.75 | 147 |
| 2020-02-24 | 2020-03-25 | -8.09 | 31 |
| 2020-09-02 | 2020-10-09 | -7.65 | 38 |
| 2018-03-13 | 2018-06-04 | -6.57 | 84 |
| 2023-02-03 | 2023-04-12 | -6.53 | 69 |
| 2020-10-13 | 2020-11-04 | -6.38 | 23 |
| 2022-01-05 | 2022-03-07 | -6.30 | 62 |
Report generated on January 13, 2026 at 11:08 PM 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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