| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 293.56% | 3,011.76% |
| CAGR﹪ | 13.86% | 38.54% |
| Sharpe | 0.81 | 2.56 |
| Prob. Sharpe Ratio | 99.54% | 100.0% |
| Smart Sharpe | 0.8 | 2.52 |
| Sortino | 1.14 | 5.18 |
| Smart Sortino | 1.12 | 5.1 |
| Sortino/√2 | 0.81 | 3.66 |
| Smart Sortino/√2 | 0.8 | 3.6 |
| Omega | 1.73 | 1.73 |
| Max Drawdown | -33.72% | -9.02% |
| Longest DD Days | 708 | 97 |
| Volatility (ann.) | 17.99% | 13.07% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.41 | 4.27 |
| Skew | -0.32 | 4.07 |
| Kurtosis | 14.1 | 52.92 |
| Expected Daily | 0.05% | 0.13% |
| Expected Monthly | 1.08% | 2.72% |
| Expected Yearly | 12.09% | 33.17% |
| Kelly Criterion | 13.34% | 20.33% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.81% | -1.22% |
| Expected Shortfall (cVaR) | -1.81% | -1.22% |
| Max Consecutive Wins | 11 | 15 |
| Max Consecutive Losses | 8 | 9 |
| Gain/Pain Ratio | 0.17 | 0.73 |
| Gain/Pain (1M) | 1.04 | 8.99 |
| Payoff Ratio | 1.07 | 1.19 |
| Profit Factor | 1.17 | 1.73 |
| Common Sense Ratio | 1.09 | 2.32 |
| CPC Index | 0.69 | 1.17 |
| Tail Ratio | 0.93 | 1.34 |
| Outlier Win Ratio | 3.54 | 4.57 |
| Outlier Loss Ratio | 3.28 | 5.9 |
| MTD | 1.51% | 1.23% |
| 3M | 4.84% | 3.14% |
| 6M | 11.43% | 7.23% |
| YTD | 1.51% | 1.23% |
| 1Y | 20.3% | 32.2% |
| 3Y (ann.) | 20.91% | 38.08% |
| 5Y (ann.) | 13.84% | 34.12% |
| 10Y (ann.) | 15.83% | 39.68% |
| All-time (ann.) | 13.86% | 38.54% |
| Best Day | 10.5% | 13.55% |
| Worst Day | -10.94% | -4.63% |
| Best Month | 12.7% | 37.53% |
| Worst Month | -12.49% | -4.24% |
| Best Year | 31.22% | 143.52% |
| Worst Year | -18.18% | 1.23% |
| Avg. Drawdown | -1.64% | -1.04% |
| Avg. Drawdown Days | 17 | 9 |
| Recovery Factor | 4.57 | 39.12 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.8 | 55.79 |
| Avg. Up Month | 3.62% | 3.83% |
| Avg. Down Month | -3.99% | -1.7% |
| Win Days | 55.18% | 56.69% |
| Win Month | 70.31% | 75.78% |
| Win Quarter | 77.27% | 95.45% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.33 |
| Alpha | - | 0.29 |
| Correlation | - | 46.02% |
| Treynor Ratio | - | 9009.86% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -1.77 | 2.23 | -1.26 | + |
| 2016 | 12.00 | 32.88 | 2.74 | + |
| 2017 | 21.71 | 21.22 | 0.98 | - |
| 2018 | -4.57 | 31.43 | -6.88 | + |
| 2019 | 31.22 | 30.02 | 0.96 | - |
| 2020 | 18.33 | 143.52 | 7.83 | + |
| 2021 | 28.73 | 44.53 | 1.55 | + |
| 2022 | -18.18 | 16.30 | -0.90 | + |
| 2023 | 26.18 | 29.76 | 1.14 | + |
| 2024 | 24.89 | 57.43 | 2.31 | + |
| 2025 | 17.72 | 30.62 | 1.73 | + |
| 2026 | 1.51 | 1.23 | 0.81 | - |
| 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 |
| 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 |
| 2016-09-23 | 2016-12-12 | -4.71 | 81 |
Report generated on January 16, 2026 at 04:25 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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