| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 626.13% | 321,385.04% |
| CAGR﹪ | 14.63% | 74.65% |
| Sharpe | 0.91 | 2.39 |
| Prob. Sharpe Ratio | 99.97% | 100.0% |
| Smart Sharpe | 0.91 | 2.38 |
| Sortino | 1.29 | 4.24 |
| Smart Sortino | 1.28 | 4.22 |
| Sortino/√2 | 0.91 | 3.0 |
| Smart Sortino/√2 | 0.91 | 2.98 |
| Omega | 1.6 | 1.6 |
| Max Drawdown | -33.72% | -21.31% |
| Longest DD Days | 708 | 238 |
| Volatility (ann.) | 16.59% | 24.58% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.43 | 3.5 |
| Skew | -0.31 | 1.74 |
| Kurtosis | 14.52 | 22.32 |
| Expected Daily | 0.05% | 0.22% |
| Expected Monthly | 1.14% | 4.72% |
| Expected Yearly | 14.13% | 71.32% |
| Kelly Criterion | 12.27% | 17.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.66% | -2.31% |
| Expected Shortfall (cVaR) | -1.66% | -2.31% |
| Max Consecutive Wins | 11 | 16 |
| Max Consecutive Losses | 8 | 12 |
| Gain/Pain Ratio | 0.19 | 0.6 |
| Gain/Pain (1M) | 1.23 | 8.1 |
| Payoff Ratio | 1.04 | 1.11 |
| Profit Factor | 1.19 | 1.6 |
| Common Sense Ratio | 1.15 | 2.17 |
| CPC Index | 0.68 | 1.01 |
| Tail Ratio | 0.96 | 1.35 |
| Outlier Win Ratio | 5.51 | 3.43 |
| Outlier Loss Ratio | 4.61 | 3.66 |
| MTD | 1.37% | -3.71% |
| 3M | 4.44% | 6.02% |
| 6M | 9.64% | -0.32% |
| YTD | 14.26% | -3.42% |
| 1Y | 16.41% | -3.93% |
| 3Y (ann.) | 21.6% | 40.93% |
| 5Y (ann.) | 12.3% | 80.49% |
| 10Y (ann.) | 15.52% | 88.31% |
| All-time (ann.) | 14.63% | 74.65% |
| Best Day | 10.5% | 21.59% |
| Worst Day | -10.94% | -12.61% |
| Best Month | 12.7% | 77.73% |
| Worst Month | -12.49% | -9.81% |
| Best Year | 32.31% | 372.78% |
| Worst Year | -18.17% | -3.42% |
| Avg. Drawdown | -1.61% | -2.36% |
| Avg. Drawdown Days | 16 | 11 |
| Recovery Factor | 6.47 | 39.96 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 3.1 | 33.29 |
| Avg. Up Month | 3.35% | 6.86% |
| Avg. Down Month | -4.11% | -3.59% |
| Win Days | 55.27% | 56.79% |
| Win Month | 70.29% | 75.43% |
| Win Quarter | 81.36% | 88.14% |
| Win Year | 86.67% | 93.33% |
| Beta | - | 0.44 |
| Alpha | - | 0.52 |
| Correlation | - | 29.45% |
| Treynor Ratio | - | 736335.03% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 5.96 | 14.14 | 2.37 | + |
| 2013 | 32.31 | 75.01 | 2.32 | + |
| 2014 | 13.46 | 51.09 | 3.80 | + |
| 2015 | 1.24 | 35.44 | 28.65 | + |
| 2016 | 12.00 | 41.25 | 3.44 | + |
| 2017 | 21.71 | 23.43 | 1.08 | + |
| 2018 | -4.57 | 76.09 | -16.66 | + |
| 2019 | 31.22 | 50.80 | 1.63 | + |
| 2020 | 18.34 | 372.78 | 20.33 | + |
| 2021 | 28.73 | 124.22 | 4.32 | + |
| 2022 | -18.17 | 155.06 | -8.53 | + |
| 2023 | 26.18 | 163.16 | 6.23 | + |
| 2024 | 24.89 | 117.42 | 4.72 | + |
| 2025 | 17.72 | 13.70 | 0.77 | - |
| 2026 | 14.26 | -3.42 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-19 | 2025-07-03 | -21.31 | 107 |
| 2026-02-26 | 2026-10-21 | -21.18 | 238 |
| 2015-07-21 | 2015-10-27 | -15.96 | 99 |
| 2020-02-20 | 2020-03-11 | -15.94 | 21 |
| 2018-11-15 | 2019-01-30 | -15.15 | 77 |
| 2012-04-30 | 2012-07-03 | -13.51 | 65 |
| 2015-12-02 | 2016-03-29 | -12.30 | 119 |
| 2020-10-05 | 2021-02-24 | -11.41 | 143 |
| 2022-10-27 | 2023-01-30 | -11.26 | 96 |
| 2020-01-23 | 2020-02-11 | -9.77 | 20 |
Report generated on October 21, 2026 at 05:31 PM EDT.
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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