| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 370.80% | 45,111.34% |
| CAGR﹪ | 13.9% | 66.88% |
| Sharpe | 0.83 | 2.46 |
| Prob. Sharpe Ratio | 99.77% | 100.0% |
| Smart Sharpe | 0.83 | 2.45 |
| Sortino | 1.17 | 5.55 |
| Smart Sortino | 1.17 | 5.54 |
| Sortino/√2 | 0.83 | 3.92 |
| Smart Sortino/√2 | 0.83 | 3.92 |
| Omega | 1.79 | 1.79 |
| Max Drawdown | -33.72% | -17.26% |
| Longest DD Days | 708 | 191 |
| Volatility (ann.) | 17.49% | 21.76% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.1 | 0.1 |
| Calmar | 0.41 | 3.87 |
| Skew | -0.3 | 6.54 |
| Kurtosis | 14.02 | 115.99 |
| Expected Daily | 0.05% | 0.2% |
| Expected Monthly | 1.07% | 4.31% |
| Expected Yearly | 12.66% | 60.05% |
| Kelly Criterion | 12.49% | 20.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -2.04% |
| Expected Shortfall (cVaR) | -1.75% | -2.04% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.17 | 0.79 |
| Gain/Pain (1M) | 1.08 | 12.68 |
| Payoff Ratio | 1.06 | 1.25 |
| Profit Factor | 1.17 | 1.79 |
| Common Sense Ratio | 1.11 | 2.6 |
| CPC Index | 0.69 | 1.25 |
| Tail Ratio | 0.95 | 1.45 |
| Outlier Win Ratio | 4.77 | 3.95 |
| Outlier Loss Ratio | 3.9 | 4.72 |
| MTD | 0.41% | -1.14% |
| 3M | 2.38% | -0.65% |
| 6M | 13.81% | -8.92% |
| YTD | 13.54% | -10.15% |
| 1Y | 20.97% | -3.2% |
| 3Y (ann.) | 24.05% | 43.93% |
| 5Y (ann.) | 14.14% | 59.28% |
| 10Y (ann.) | 15.24% | 72.49% |
| All-time (ann.) | 13.9% | 66.88% |
| Best Day | 10.5% | 31.24% |
| Worst Day | -10.94% | -7.15% |
| Best Month | 12.7% | 66.93% |
| Worst Month | -12.49% | -6.07% |
| Best Year | 31.22% | 380.77% |
| Worst Year | -18.17% | -10.15% |
| Avg. Drawdown | -1.65% | -1.57% |
| Avg. Drawdown Days | 16 | 10 |
| Recovery Factor | 5.14 | 37.01 |
| Ulcer Index | 0.07 | 0.03 |
| Serenity Index | 2.19 | 41.38 |
| Avg. Up Month | 3.39% | 5.45% |
| Avg. Down Month | -3.83% | -2.15% |
| Win Days | 54.87% | 56.05% |
| Win Month | 68.97% | 80.0% |
| Win Quarter | 77.55% | 87.76% |
| Win Year | 84.62% | 92.31% |
| Beta | - | 0.3 |
| Alpha | - | 0.49 |
| Correlation | - | 23.78% |
| Treynor Ratio | - | 152444.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 3.78 | 14.60 | 3.86 | + |
| 2015 | 1.24 | 28.66 | 23.17 | + |
| 2016 | 12.00 | 32.30 | 2.69 | + |
| 2017 | 21.71 | 29.96 | 1.38 | + |
| 2018 | -4.57 | 73.51 | -16.09 | + |
| 2019 | 31.22 | 43.60 | 1.40 | + |
| 2020 | 18.34 | 380.77 | 20.77 | + |
| 2021 | 28.73 | 84.80 | 2.95 | + |
| 2022 | -18.17 | 89.48 | -4.92 | + |
| 2023 | 26.18 | 85.96 | 3.28 | + |
| 2024 | 24.89 | 97.68 | 3.93 | + |
| 2025 | 17.72 | 28.72 | 1.62 | + |
| 2026 | 13.54 | -10.15 | -0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-09-04 | -17.26 | 191 |
| 2025-04-04 | 2025-04-08 | -11.10 | 5 |
| 2018-12-04 | 2019-01-15 | -10.39 | 43 |
| 2015-07-20 | 2015-10-06 | -10.21 | 79 |
| 2022-10-26 | 2023-01-31 | -9.57 | 98 |
| 2022-01-06 | 2022-02-23 | -8.04 | 49 |
| 2020-02-21 | 2020-02-28 | -7.49 | 8 |
| 2020-10-14 | 2021-01-29 | -6.74 | 108 |
| 2017-02-13 | 2017-02-22 | -6.54 | 10 |
| 2015-12-02 | 2016-02-05 | -6.41 | 66 |
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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