| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 590.26% | 325,384.12% |
| CAGR﹪ | 14.69% | 77.79% |
| Sharpe | 0.91 | 2.45 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.9 | 2.43 |
| Sortino | 1.28 | 4.35 |
| Smart Sortino | 1.28 | 4.32 |
| Sortino/√2 | 0.91 | 3.08 |
| Smart Sortino/√2 | 0.9 | 3.06 |
| Omega | 1.62 | 1.62 |
| Max Drawdown | -33.72% | -21.31% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 16.7% | 24.8% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | 0.11 | 0.11 |
| Calmar | 0.44 | 3.65 |
| Skew | -0.31 | 1.74 |
| Kurtosis | 14.52 | 22.12 |
| Expected Daily | 0.05% | 0.23% |
| Expected Monthly | 1.14% | 4.87% |
| Expected Yearly | 13.75% | 71.46% |
| Kelly Criterion | 12.21% | 17.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.67% | -2.33% |
| Expected Shortfall (cVaR) | -1.67% | -2.33% |
| Max Consecutive Wins | 10 | 16 |
| Max Consecutive Losses | 8 | 12 |
| Gain/Pain Ratio | 0.19 | 0.62 |
| Gain/Pain (1M) | 1.2 | 8.78 |
| Payoff Ratio | 1.03 | 1.1 |
| Profit Factor | 1.19 | 1.62 |
| Common Sense Ratio | 1.13 | 2.21 |
| CPC Index | 0.68 | 1.02 |
| Tail Ratio | 0.95 | 1.36 |
| Outlier Win Ratio | 5.56 | 3.43 |
| Outlier Loss Ratio | 4.59 | 3.65 |
| MTD | 2.78% | 2.78% |
| 3M | 8.47% | -7.38% |
| 6M | 11.6% | -3.21% |
| YTD | 8.62% | -2.11% |
| 1Y | 25.74% | 15.47% |
| 3Y (ann.) | 21.18% | 58.46% |
| 5Y (ann.) | 13.95% | 91.37% |
| 10Y (ann.) | 15.55% | 94.36% |
| All-time (ann.) | 14.69% | 77.79% |
| 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% | -2.11% |
| Avg. Drawdown | -1.6% | -2.36% |
| Avg. Drawdown Days | 15 | 11 |
| Recovery Factor | 6.31 | 39.99 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 2.96 | 47.92 |
| Avg. Up Month | 3.36% | 6.93% |
| Avg. Down Month | -4.57% | -3.76% |
| Win Days | 55.44% | 56.97% |
| Win Month | 70.59% | 76.47% |
| Win Quarter | 80.7% | 89.47% |
| Win Year | 86.67% | 93.33% |
| Beta | - | 0.44 |
| Alpha | - | 0.54 |
| Correlation | - | 29.96% |
| Treynor Ratio | - | 731682.72% |
| 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 | 8.62 | -2.11 | -0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-03-19 | 2025-07-03 | -21.31 | 107 |
| 2026-02-26 | 2026-05-18 | -16.15 | 82 |
| 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 May 18, 2026 at 05:35 PM 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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