| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 321.85% | 50,705.99% |
| CAGR﹪ | 13.63% | 73.57% |
| Sharpe | 0.81 | 2.61 |
| Prob. Sharpe Ratio | 99.64% | 100.0% |
| Smart Sharpe | 0.81 | 2.6 |
| Sortino | 1.14 | 6.02 |
| Smart Sortino | 1.14 | 6.01 |
| Sortino/√2 | 0.81 | 4.26 |
| Smart Sortino/√2 | 0.8 | 4.25 |
| Omega | 1.87 | 1.87 |
| Max Drawdown | -33.72% | -11.1% |
| Longest DD Days | 708 | 108 |
| Volatility (ann.) | 17.68% | 22.04% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.4 | 6.63 |
| Skew | -0.31 | 6.64 |
| Kurtosis | 14.14 | 116.31 |
| Expected Daily | 0.05% | 0.22% |
| Expected Monthly | 1.06% | 4.65% |
| Expected Yearly | 11.71% | 61.49% |
| Kelly Criterion | 12.35% | 22.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -2.06% |
| Expected Shortfall (cVaR) | -1.78% | -2.06% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.17 | 0.87 |
| Gain/Pain (1M) | 1.05 | 19.43 |
| Payoff Ratio | 1.06 | 1.25 |
| Profit Factor | 1.17 | 1.87 |
| Common Sense Ratio | 1.1 | 2.81 |
| CPC Index | 0.68 | 1.33 |
| Tail Ratio | 0.94 | 1.5 |
| Outlier Win Ratio | 4.82 | 3.97 |
| Outlier Loss Ratio | 3.92 | 4.84 |
| MTD | 1.74% | 2.45% |
| 3M | 6.56% | 5.24% |
| 6M | 11.89% | 8.42% |
| YTD | 1.74% | 2.45% |
| 1Y | 20.92% | 31.12% |
| 3Y (ann.) | 21.12% | 66.08% |
| 5Y (ann.) | 13.91% | 77.13% |
| 10Y (ann.) | 15.8% | 79.74% |
| All-time (ann.) | 13.63% | 73.57% |
| Best Day | 10.5% | 31.25% |
| Worst Day | -10.94% | -7.15% |
| Best Month | 12.7% | 67.16% |
| Worst Month | -12.49% | -4.39% |
| Best Year | 31.22% | 381.16% |
| Worst Year | -18.18% | 2.45% |
| Avg. Drawdown | -1.64% | -1.5% |
| Avg. Drawdown Days | 16 | 9 |
| Recovery Factor | 4.8 | 58.53 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.97 | 106.75 |
| Avg. Up Month | 3.41% | 5.5% |
| Avg. Down Month | -4.24% | -1.91% |
| Win Days | 54.96% | 56.65% |
| Win Month | 69.34% | 83.94% |
| Win Quarter | 78.72% | 93.62% |
| Win Year | 84.62% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.53 |
| Correlation | - | 23.98% |
| Treynor Ratio | - | 169652.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 3.78 | 14.22 | 3.77 | + |
| 2015 | 1.24 | 24.95 | 20.18 | + |
| 2016 | 12.00 | 34.25 | 2.85 | + |
| 2017 | 21.71 | 30.07 | 1.39 | + |
| 2018 | -4.57 | 74.25 | -16.25 | + |
| 2019 | 31.22 | 43.42 | 1.39 | + |
| 2020 | 18.33 | 381.16 | 20.79 | + |
| 2021 | 28.73 | 84.76 | 2.95 | + |
| 2022 | -18.18 | 89.42 | -4.92 | + |
| 2023 | 26.18 | 85.92 | 3.28 | + |
| 2024 | 24.89 | 97.63 | 3.92 | + |
| 2025 | 17.72 | 28.69 | 1.62 | + |
| 2026 | 1.74 | 2.45 | 1.41 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-04 | 2025-04-08 | -11.10 | 5 |
| 2015-07-20 | 2015-10-14 | -11.03 | 87 |
| 2018-12-04 | 2019-01-15 | -10.37 | 43 |
| 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 | -6.40 | 66 |
| 2017-09-14 | 2017-11-15 | -6.34 | 63 |
Report generated on January 14, 2026 at 12:51 AM 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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