| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 541.16% | 324,427.90% |
| CAGR﹪ | 14.2% | 78.46% |
| Sharpe | 0.88 | 2.46 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.88 | 2.45 |
| Sortino | 1.24 | 4.38 |
| Smart Sortino | 1.24 | 4.35 |
| Sortino/√2 | 0.88 | 3.1 |
| Smart Sortino/√2 | 0.87 | 3.08 |
| Omega | 1.63 | 1.63 |
| Max Drawdown | -33.72% | -21.31% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 16.74% | 24.84% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.42 | 3.68 |
| Skew | -0.31 | 1.74 |
| Kurtosis | 14.51 | 22.13 |
| Expected Daily | 0.05% | 0.23% |
| Expected Monthly | 1.11% | 4.9% |
| Expected Yearly | 13.19% | 71.43% |
| Kelly Criterion | 12.15% | 17.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.68% | -2.33% |
| Expected Shortfall (cVaR) | -1.68% | -2.33% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 8 | 12 |
| Gain/Pain Ratio | 0.18 | 0.63 |
| Gain/Pain (1M) | 1.16 | 9.0 |
| Payoff Ratio | 1.03 | 1.1 |
| Profit Factor | 1.18 | 1.63 |
| Common Sense Ratio | 1.12 | 2.24 |
| CPC Index | 0.68 | 1.02 |
| Tail Ratio | 0.95 | 1.38 |
| Outlier Win Ratio | 5.59 | 3.43 |
| Outlier Loss Ratio | 4.58 | 3.66 |
| MTD | 5.5% | -5.63% |
| 3M | -1.03% | -5.36% |
| 6M | 5.66% | 3.03% |
| YTD | 0.89% | -2.4% |
| 1Y | 29.97% | 13.45% |
| 3Y (ann.) | 20.61% | 60.86% |
| 5Y (ann.) | 12.58% | 98.07% |
| 10Y (ann.) | 14.53% | 93.99% |
| All-time (ann.) | 14.2% | 78.46% |
| Best Day | 10.5% | 21.58% |
| Worst Day | -10.95% | -12.61% |
| Best Month | 12.7% | 77.8% |
| Worst Month | -12.49% | -9.81% |
| Best Year | 32.31% | 372.83% |
| Worst Year | -18.17% | -2.4% |
| Avg. Drawdown | -1.62% | -2.36% |
| Avg. Drawdown Days | 16 | 11 |
| Recovery Factor | 6.09 | 39.97 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 2.84 | 52.62 |
| Avg. Up Month | 3.37% | 6.97% |
| Avg. Down Month | -4.57% | -3.76% |
| Win Days | 55.4% | 56.98% |
| Win Month | 70.41% | 76.33% |
| Win Quarter | 80.7% | 89.47% |
| Win Year | 86.67% | 93.33% |
| Beta | - | 0.45 |
| Alpha | - | 0.54 |
| Correlation | - | 30.27% |
| Treynor Ratio | - | 722190.76% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 5.95 | 14.13 | 2.37 | + |
| 2013 | 32.31 | 74.99 | 2.32 | + |
| 2014 | 13.47 | 51.07 | 3.79 | + |
| 2015 | 1.23 | 35.42 | 28.71 | + |
| 2016 | 12.00 | 41.22 | 3.43 | + |
| 2017 | 21.71 | 23.42 | 1.08 | + |
| 2018 | -4.57 | 76.24 | -16.67 | + |
| 2019 | 31.23 | 50.81 | 1.63 | + |
| 2020 | 18.33 | 372.83 | 20.34 | + |
| 2021 | 28.73 | 124.16 | 4.32 | + |
| 2022 | -18.17 | 154.98 | -8.53 | + |
| 2023 | 26.18 | 163.10 | 6.23 | + |
| 2024 | 24.88 | 117.37 | 4.72 | + |
| 2025 | 17.72 | 13.67 | 0.77 | - |
| 2026 | 0.89 | -2.40 | -2.70 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-19 | 2025-07-03 | -21.31 | 107 |
| 2026-02-26 | 2026-04-13 | -16.11 | 47 |
| 2015-07-21 | 2015-10-27 | -15.97 | 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 | -13.50 | 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 | -11.27 | 96 |
| 2020-01-23 | 2020-02-11 | -9.77 | 20 |
Report generated on April 14, 2026 at 02:43 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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