| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 535.00% | 326,606.37% |
| CAGR﹪ | 14.53% | 81.4% |
| Sharpe | 0.89 | 2.53 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.89 | 2.51 |
| Sortino | 1.26 | 4.53 |
| Smart Sortino | 1.25 | 4.5 |
| Sortino/√2 | 0.89 | 3.21 |
| Smart Sortino/√2 | 0.89 | 3.18 |
| Omega | 1.65 | 1.65 |
| Max Drawdown | -33.72% | -21.31% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 16.82% | 24.81% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.12 | 0.12 |
| Calmar | 0.43 | 3.82 |
| Skew | -0.32 | 1.8 |
| Kurtosis | 14.58 | 22.63 |
| Expected Daily | 0.05% | 0.24% |
| Expected Monthly | 1.13% | 5.06% |
| Expected Yearly | 14.11% | 78.24% |
| Kelly Criterion | 12.23% | 18.22% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -2.32% |
| Expected Shortfall (cVaR) | -1.68% | -2.32% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 8 | 14 |
| Gain/Pain Ratio | 0.19 | 0.65 |
| Gain/Pain (1M) | 1.19 | 10.59 |
| Payoff Ratio | 1.03 | 1.1 |
| Profit Factor | 1.19 | 1.65 |
| Common Sense Ratio | 1.12 | 2.31 |
| CPC Index | 0.68 | 1.04 |
| Tail Ratio | 0.95 | 1.4 |
| Outlier Win Ratio | 5.57 | 3.42 |
| Outlier Loss Ratio | 4.53 | 3.65 |
| MTD | 0.19% | -1.6% |
| 3M | 5.98% | 13.5% |
| 6M | 16.27% | 19.22% |
| YTD | 17.63% | 14.21% |
| 1Y | 15.51% | 20.15% |
| 3Y (ann.) | 24.19% | 89.73% |
| 5Y (ann.) | 14.68% | 107.78% |
| 10Y (ann.) | 14.51% | 95.28% |
| All-time (ann.) | 14.53% | 81.4% |
| Best Day | 10.5% | 21.59% |
| Worst Day | -10.94% | -12.61% |
| Best Month | 12.7% | 77.79% |
| Worst Month | -12.49% | -9.71% |
| Best Year | 32.31% | 372.83% |
| Worst Year | -18.18% | 13.55% |
| Avg. Drawdown | -1.6% | -2.33% |
| Avg. Drawdown Days | 16 | 10 |
| Recovery Factor | 6.05 | 39.94 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 2.78 | 57.63 |
| Avg. Up Month | 3.35% | 6.87% |
| Avg. Down Month | -4.79% | -3.84% |
| Win Days | 55.54% | 57.18% |
| Win Month | 70.73% | 79.27% |
| Win Quarter | 81.82% | 92.73% |
| Win Year | 85.71% | 100.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.56 |
| Correlation | - | 30.61% |
| Treynor Ratio | - | 723163.28% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 5.96 | 13.55 | 2.27 | + |
| 2013 | 32.31 | 73.91 | 2.29 | + |
| 2014 | 13.46 | 52.26 | 3.88 | + |
| 2015 | 1.23 | 32.26 | 26.17 | + |
| 2016 | 12.00 | 41.65 | 3.47 | + |
| 2017 | 21.71 | 23.61 | 1.09 | + |
| 2018 | -4.57 | 76.31 | -16.71 | + |
| 2019 | 31.22 | 50.77 | 1.63 | + |
| 2020 | 18.33 | 372.83 | 20.34 | + |
| 2021 | 28.73 | 124.17 | 4.32 | + |
| 2022 | -18.18 | 154.98 | -8.53 | + |
| 2023 | 26.18 | 163.10 | 6.23 | + |
| 2024 | 24.89 | 117.37 | 4.72 | + |
| 2025 | 17.63 | 14.21 | 0.81 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-19 | 2025-07-03 | -21.31 | 107 |
| 2015-07-21 | 2015-10-27 | -16.13 | 99 |
| 2020-02-20 | 2020-03-11 | -15.94 | 21 |
| 2018-11-15 | 2019-01-30 | -15.16 | 77 |
| 2012-04-30 | 2012-07-03 | -13.36 | 65 |
| 2015-12-02 | 2016-03-29 | -12.32 | 119 |
| 2020-10-05 | 2021-02-24 | -11.41 | 143 |
| 2022-10-27 | 2023-01-30 | -11.27 | 96 |
| 2020-01-23 | 2020-02-11 | -9.77 | 20 |
| 2017-03-10 | 2017-06-07 | -9.08 | 90 |
Report generated on November 29, 2025 at 12:36 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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