| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 301.94% | 48,157.89% |
| CAGR﹪ | 12.87% | 70.91% |
| Sharpe | 0.77 | 2.55 |
| Prob. Sharpe Ratio | 99.53% | 100.0% |
| Smart Sharpe | 0.77 | 2.54 |
| Sortino | 1.09 | 5.81 |
| Smart Sortino | 1.09 | 5.79 |
| Sortino/√2 | 0.77 | 4.11 |
| Smart Sortino/√2 | 0.77 | 4.09 |
| Omega | 1.83 | 1.83 |
| Max Drawdown | -33.72% | -12.4% |
| Longest DD Days | 708 | 108 |
| Volatility (ann.) | 17.63% | 22.0% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.38 | 5.72 |
| Skew | -0.3 | 6.55 |
| Kurtosis | 14.04 | 114.83 |
| Expected Daily | 0.05% | 0.21% |
| Expected Monthly | 1.0% | 4.51% |
| Expected Yearly | 11.29% | 60.85% |
| Kelly Criterion | 12.1% | 21.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -2.06% |
| Expected Shortfall (cVaR) | -1.77% | -2.06% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.16 | 0.83 |
| Gain/Pain (1M) | 0.99 | 15.64 |
| Payoff Ratio | 1.06 | 1.26 |
| Profit Factor | 1.16 | 1.83 |
| Common Sense Ratio | 1.09 | 2.71 |
| CPC Index | 0.67 | 1.3 |
| Tail Ratio | 0.94 | 1.48 |
| Outlier Win Ratio | 4.88 | 4.0 |
| Outlier Loss Ratio | 3.91 | 4.78 |
| MTD | 1.37% | -1.19% |
| 3M | -4.45% | -5.65% |
| 6M | -1.28% | -0.12% |
| YTD | -3.06% | -3.89% |
| 1Y | 31.96% | 27.54% |
| 3Y (ann.) | 18.98% | 53.2% |
| 5Y (ann.) | 11.02% | 69.71% |
| 10Y (ann.) | 14.3% | 76.95% |
| All-time (ann.) | 12.87% | 70.91% |
| Best Day | 10.5% | 31.24% |
| Worst Day | -10.95% | -7.15% |
| Best Month | 12.7% | 66.92% |
| Worst Month | -12.49% | -6.07% |
| Best Year | 31.23% | 380.55% |
| Worst Year | -18.17% | -3.89% |
| Avg. Drawdown | -1.69% | -1.56% |
| Avg. Drawdown Days | 17 | 9 |
| Recovery Factor | 4.66 | 52.03 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.94 | 93.17 |
| Avg. Up Month | 3.43% | 5.54% |
| Avg. Down Month | -4.04% | -2.03% |
| Win Days | 54.82% | 56.33% |
| Win Month | 68.57% | 81.43% |
| Win Quarter | 77.08% | 87.5% |
| Win Year | 76.92% | 92.31% |
| Beta | - | 0.3 |
| Alpha | - | 0.52 |
| Correlation | - | 23.9% |
| Treynor Ratio | - | 161455.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 3.78 | 14.60 | 3.86 | + |
| 2015 | 1.23 | 28.65 | 23.22 | + |
| 2016 | 12.00 | 32.28 | 2.69 | + |
| 2017 | 21.71 | 30.00 | 1.38 | + |
| 2018 | -4.57 | 73.47 | -16.07 | + |
| 2019 | 31.23 | 43.57 | 1.40 | + |
| 2020 | 18.33 | 380.55 | 20.76 | + |
| 2021 | 28.73 | 84.77 | 2.95 | + |
| 2022 | -18.17 | 89.42 | -4.92 | + |
| 2023 | 26.18 | 85.91 | 3.28 | + |
| 2024 | 24.88 | 97.63 | 3.92 | + |
| 2025 | 17.72 | 28.69 | 1.62 | + |
| 2026 | -3.06 | -3.89 | 1.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-02-26 | 2026-04-07 | -12.40 | 41 |
| 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 | -7.50 | 8 |
| 2020-10-14 | 2021-01-29 | -6.75 | 108 |
| 2017-02-13 | 2017-02-22 | -6.54 | 10 |
| 2015-12-02 | 2016-02-05 | -6.41 | 66 |
Report generated on April 08, 2026 at 02:36 AM CDT.
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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