| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 312.69% | 49,693.58% |
| CAGR﹪ | 13.51% | 73.94% |
| Sharpe | 0.8 | 2.61 |
| Prob. Sharpe Ratio | 99.6% | 100.0% |
| Smart Sharpe | 0.8 | 2.6 |
| Sortino | 1.13 | 6.03 |
| Smart Sortino | 1.13 | 6.01 |
| Sortino/√2 | 0.8 | 4.27 |
| 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.) | 17.73% | 22.1% |
| R^2 | 0.06 | 0.06 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.4 | 6.66 |
| Skew | -0.31 | 6.63 |
| Kurtosis | 14.08 | 115.73 |
| Expected Daily | 0.05% | 0.22% |
| Expected Monthly | 1.05% | 4.67% |
| Expected Yearly | 12.54% | 67.79% |
| Kelly Criterion | 12.29% | 22.01% |
| 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) | 1.03 | 19.67 |
| Payoff Ratio | 1.05 | 1.25 |
| Profit Factor | 1.17 | 1.87 |
| Common Sense Ratio | 1.09 | 2.83 |
| CPC Index | 0.68 | 1.33 |
| Tail Ratio | 0.94 | 1.51 |
| Outlier Win Ratio | 4.84 | 3.97 |
| Outlier Loss Ratio | 3.9 | 4.84 |
| MTD | -0.39% | -1.1% |
| 3M | 3.83% | 5.89% |
| 6M | 14.68% | 9.89% |
| YTD | 17.17% | 28.21% |
| 1Y | 14.03% | 31.25% |
| 3Y (ann.) | 21.8% | 69.72% |
| 5Y (ann.) | 14.38% | 77.28% |
| 10Y (ann.) | 14.66% | 79.5% |
| All-time (ann.) | 13.51% | 73.94% |
| Best Day | 10.5% | 31.24% |
| Worst Day | -10.94% | -7.15% |
| Best Month | 12.7% | 67.14% |
| Worst Month | -12.49% | -4.34% |
| Best Year | 31.22% | 381.29% |
| Worst Year | -18.18% | 14.23% |
| Avg. Drawdown | -1.66% | -1.5% |
| Avg. Drawdown Days | 17 | 9 |
| Recovery Factor | 4.73 | 58.34 |
| Ulcer Index | 0.07 | 0.02 |
| Serenity Index | 1.94 | 108.95 |
| Avg. Up Month | 3.43% | 5.54% |
| Avg. Down Month | -3.91% | -1.77% |
| Win Days | 54.99% | 56.6% |
| Win Month | 68.38% | 83.82% |
| Win Quarter | 78.26% | 93.48% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.3 |
| Alpha | - | 0.54 |
| Correlation | - | 23.91% |
| Treynor Ratio | - | 166755.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 3.78 | 14.23 | 3.77 | + |
| 2015 | 1.23 | 25.98 | 21.07 | + |
| 2016 | 12.00 | 34.23 | 2.85 | + |
| 2017 | 21.71 | 30.01 | 1.38 | + |
| 2018 | -4.57 | 74.12 | -16.23 | + |
| 2019 | 31.22 | 43.51 | 1.39 | + |
| 2020 | 18.33 | 381.29 | 20.80 | + |
| 2021 | 28.73 | 84.76 | 2.95 | + |
| 2022 | -18.18 | 89.43 | -4.92 | + |
| 2023 | 26.18 | 85.92 | 3.28 | + |
| 2024 | 24.89 | 97.63 | 3.92 | + |
| 2025 | 17.17 | 28.21 | 1.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-04-04 | 2025-04-08 | -11.10 | 5 |
| 2018-12-04 | 2019-01-15 | -10.38 | 43 |
| 2015-07-20 | 2015-10-06 | -10.25 | 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 | -6.38 | 66 |
| 2017-09-14 | 2017-11-15 | -6.33 | 63 |
Report generated on December 16, 2025 at 12:44 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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