| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 546.57% | 339,796.64% |
| CAGR﹪ | 14.54% | 80.93% |
| Sharpe | 0.9 | 2.53 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.89 | 2.51 |
| Sortino | 1.27 | 4.53 |
| Smart Sortino | 1.26 | 4.5 |
| Sortino/√2 | 0.9 | 3.2 |
| 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.) | 16.76% | 24.73% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.12 | 0.12 |
| Calmar | 0.43 | 3.8 |
| Skew | -0.32 | 1.8 |
| Kurtosis | 14.66 | 22.77 |
| Expected Daily | 0.05% | 0.24% |
| Expected Monthly | 1.13% | 5.02% |
| Expected Yearly | 13.25% | 71.96% |
| Kelly Criterion | 12.38% | 18.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -2.31% |
| Expected Shortfall (cVaR) | -1.68% | -2.31% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 8 | 12 |
| Gain/Pain Ratio | 0.19 | 0.65 |
| Gain/Pain (1M) | 1.2 | 10.57 |
| Payoff Ratio | 1.03 | 1.1 |
| Profit Factor | 1.19 | 1.65 |
| Common Sense Ratio | 1.13 | 2.32 |
| CPC Index | 0.68 | 1.04 |
| Tail Ratio | 0.95 | 1.4 |
| Outlier Win Ratio | 5.55 | 3.42 |
| Outlier Loss Ratio | 4.53 | 3.65 |
| MTD | 1.74% | 3.15% |
| 3M | 6.56% | 8.89% |
| 6M | 11.89% | 14.17% |
| YTD | 1.74% | 3.15% |
| 1Y | 20.92% | 15.64% |
| 3Y (ann.) | 21.12% | 81.64% |
| 5Y (ann.) | 13.91% | 109.73% |
| 10Y (ann.) | 15.8% | 97.67% |
| All-time (ann.) | 14.54% | 80.93% |
| Best Day | 10.5% | 21.58% |
| Worst Day | -10.94% | -12.61% |
| Best Month | 12.7% | 77.74% |
| Worst Month | -12.49% | -9.8% |
| Best Year | 32.31% | 372.67% |
| Worst Year | -18.18% | 3.15% |
| Avg. Drawdown | -1.59% | -2.32% |
| Avg. Drawdown Days | 16 | 10 |
| Recovery Factor | 6.11 | 40.13 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 2.82 | 57.63 |
| Avg. Up Month | 3.32% | 6.85% |
| Avg. Down Month | -4.79% | -3.85% |
| Win Days | 55.48% | 57.06% |
| Win Month | 71.08% | 78.92% |
| Win Quarter | 82.14% | 91.07% |
| Win Year | 86.67% | 100.0% |
| Beta | - | 0.45 |
| Alpha | - | 0.56 |
| Correlation | - | 30.64% |
| Treynor Ratio | - | 751918.26% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 5.96 | 14.15 | 2.38 | + |
| 2013 | 32.31 | 72.93 | 2.26 | + |
| 2014 | 13.46 | 52.28 | 3.88 | + |
| 2015 | 1.24 | 32.24 | 26.08 | + |
| 2016 | 12.00 | 42.72 | 3.56 | + |
| 2017 | 21.71 | 23.29 | 1.07 | + |
| 2018 | -4.57 | 77.91 | -17.05 | + |
| 2019 | 31.22 | 50.77 | 1.63 | + |
| 2020 | 18.33 | 372.67 | 20.33 | + |
| 2021 | 28.73 | 124.17 | 4.32 | + |
| 2022 | -18.18 | 154.98 | -8.53 | + |
| 2023 | 26.18 | 163.09 | 6.23 | + |
| 2024 | 24.89 | 117.37 | 4.72 | + |
| 2025 | 17.72 | 13.67 | 0.77 | - |
| 2026 | 1.74 | 3.15 | 1.81 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-19 | 2025-07-03 | -21.31 | 107 |
| 2015-07-21 | 2015-10-27 | -16.10 | 99 |
| 2020-02-20 | 2020-03-11 | -15.94 | 21 |
| 2018-11-15 | 2019-01-30 | -15.13 | 77 |
| 2012-04-30 | 2012-07-03 | -13.45 | 65 |
| 2015-12-02 | 2016-03-28 | -12.35 | 118 |
| 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 | -9.11 | 90 |
Report generated on January 14, 2026 at 12:52 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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