| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 340.21% | 3,377.46% |
| CAGR﹪ | 14.16% | 37.36% |
| Sharpe | 0.84 | 2.52 |
| Prob. Sharpe Ratio | 99.71% | 100.0% |
| Smart Sharpe | 0.83 | 2.48 |
| Sortino | 1.18 | 5.03 |
| Smart Sortino | 1.16 | 4.97 |
| Sortino/√2 | 0.83 | 3.56 |
| Smart Sortino/√2 | 0.82 | 3.52 |
| Omega | 1.7 | 1.7 |
| Max Drawdown | -33.72% | -9.02% |
| Longest DD Days | 708 | 97 |
| Volatility (ann.) | 17.77% | 12.97% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.42 | 4.14 |
| Skew | -0.31 | 3.96 |
| Kurtosis | 14.0 | 51.75 |
| Expected Daily | 0.05% | 0.13% |
| Expected Monthly | 1.1% | 2.64% |
| Expected Yearly | 13.15% | 34.41% |
| Kelly Criterion | 13.34% | 20.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -1.21% |
| Expected Shortfall (cVaR) | -1.78% | -1.21% |
| Max Consecutive Wins | 11 | 15 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.18 | 0.7 |
| Gain/Pain (1M) | 1.07 | 9.22 |
| Payoff Ratio | 1.08 | 1.21 |
| Profit Factor | 1.18 | 1.7 |
| Common Sense Ratio | 1.1 | 2.29 |
| CPC Index | 0.7 | 1.16 |
| Tail Ratio | 0.94 | 1.34 |
| Outlier Win Ratio | 3.62 | 4.67 |
| Outlier Loss Ratio | 3.26 | 5.82 |
| MTD | 0.41% | 0.11% |
| 3M | 2.38% | 4.52% |
| 6M | 13.81% | 13.71% |
| YTD | 13.54% | 12.98% |
| 1Y | 20.97% | 18.96% |
| 3Y (ann.) | 24.05% | 38.99% |
| 5Y (ann.) | 14.14% | 31.7% |
| 10Y (ann.) | 15.24% | 38.62% |
| All-time (ann.) | 14.16% | 37.36% |
| Best Day | 10.5% | 13.55% |
| Worst Day | -10.94% | -4.63% |
| Best Month | 12.7% | 37.54% |
| Worst Month | -12.49% | -4.24% |
| Best Year | 31.22% | 143.55% |
| Worst Year | -18.17% | 2.24% |
| Avg. Drawdown | -1.64% | -1.05% |
| Avg. Drawdown Days | 16 | 9 |
| Recovery Factor | 4.92 | 40.41 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 2.01 | 53.27 |
| Avg. Up Month | 3.63% | 3.72% |
| Avg. Down Month | -3.84% | -1.63% |
| Win Days | 55.08% | 56.34% |
| Win Month | 69.85% | 76.47% |
| Win Quarter | 76.09% | 95.65% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.28 |
| Correlation | - | 45.68% |
| Treynor Ratio | - | 10133.37% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -1.77 | 2.24 | -1.27 | + |
| 2016 | 12.00 | 32.89 | 2.74 | + |
| 2017 | 21.71 | 21.23 | 0.98 | - |
| 2018 | -4.57 | 31.44 | -6.88 | + |
| 2019 | 31.22 | 30.03 | 0.96 | - |
| 2020 | 18.34 | 143.55 | 7.83 | + |
| 2021 | 28.73 | 44.55 | 1.55 | + |
| 2022 | -18.17 | 16.33 | -0.90 | + |
| 2023 | 26.18 | 29.78 | 1.14 | + |
| 2024 | 24.89 | 57.46 | 2.31 | + |
| 2025 | 17.72 | 30.64 | 1.73 | + |
| 2026 | 13.54 | 12.98 | 0.96 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-10-31 | 2019-02-04 | -9.02 | 97 |
| 2021-12-28 | 2022-03-28 | -8.14 | 91 |
| 2020-10-13 | 2020-12-04 | -7.50 | 53 |
| 2020-09-04 | 2020-10-09 | -7.32 | 36 |
| 2026-02-06 | 2026-04-14 | -7.16 | 68 |
| 2025-02-20 | 2025-04-08 | -7.09 | 48 |
| 2018-03-13 | 2018-05-31 | -6.32 | 80 |
| 2015-07-20 | 2015-08-31 | -5.63 | 43 |
| 2015-09-02 | 2015-10-13 | -4.80 | 42 |
| 2019-05-06 | 2019-06-07 | -4.76 | 33 |
Report generated on September 04, 2026 at 05:31 PM EDT.
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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