| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 319.92% | 53,674.32% |
| CAGR﹪ | 13.14% | 71.97% |
| Sharpe | 0.79 | 1.81 |
| Prob. Sharpe Ratio | 99.62% | 100.0% |
| Smart Sharpe | 0.76 | 1.75 |
| Sortino | 1.12 | 4.04 |
| Smart Sortino | 1.08 | 3.89 |
| Sortino/√2 | 0.79 | 2.86 |
| Smart Sortino/√2 | 0.76 | 2.75 |
| Omega | 1.58 | 1.58 |
| Max Drawdown | -33.72% | -19.21% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 17.61% | 32.68% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.39 | 3.75 |
| Skew | -0.3 | 8.64 |
| Kurtosis | 14.04 | 170.7 |
| Expected Daily | 0.05% | 0.22% |
| Expected Monthly | 1.03% | 4.59% |
| Expected Yearly | 11.67% | 62.2% |
| Kelly Criterion | 9.23% | 14.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -3.15% |
| Expected Shortfall (cVaR) | -1.77% | -3.15% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.58 |
| Gain/Pain (1M) | 1.02 | 6.26 |
| Payoff Ratio | 0.99 | 1.05 |
| Profit Factor | 1.17 | 1.58 |
| Common Sense Ratio | 1.09 | 1.85 |
| CPC Index | 0.63 | 0.93 |
| Tail Ratio | 0.94 | 1.17 |
| Outlier Win Ratio | 5.79 | 3.62 |
| Outlier Loss Ratio | 4.41 | 3.58 |
| MTD | 5.5% | 1.03% |
| 3M | -1.03% | -1.72% |
| 6M | 5.66% | 8.49% |
| YTD | 0.89% | 2.97% |
| 1Y | 29.97% | 28.77% |
| 3Y (ann.) | 20.61% | 43.34% |
| 5Y (ann.) | 12.58% | 51.85% |
| 10Y (ann.) | 14.53% | 78.58% |
| All-time (ann.) | 13.14% | 71.97% |
| Best Day | 10.5% | 50.01% |
| Worst Day | -10.95% | -14.76% |
| Best Month | 12.7% | 95.23% |
| Worst Month | -12.49% | -8.07% |
| Best Year | 31.23% | 701.61% |
| Worst Year | -18.17% | 0.08% |
| Avg. Drawdown | -1.69% | -2.94% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 4.79 | 35.69 |
| Ulcer Index | 0.07 | 0.04 |
| Serenity Index | 2.0 | 40.46 |
| Avg. Up Month | 3.33% | 7.17% |
| Avg. Down Month | -3.24% | -3.55% |
| Win Days | 54.85% | 56.08% |
| Win Month | 68.57% | 72.86% |
| Win Quarter | 77.08% | 83.33% |
| Win Year | 84.62% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.54 |
| Correlation | - | 19.4% |
| Treynor Ratio | - | 149094.26% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 4.17 | 23.87 | 5.72 | + |
| 2015 | 1.23 | 0.08 | 0.07 | - |
| 2016 | 12.00 | 49.60 | 4.13 | + |
| 2017 | 21.71 | 82.34 | 3.79 | + |
| 2018 | -4.57 | 44.37 | -9.70 | + |
| 2019 | 31.23 | 79.41 | 2.54 | + |
| 2020 | 18.33 | 701.61 | 38.27 | + |
| 2021 | 28.73 | 50.84 | 1.77 | + |
| 2022 | -18.17 | 64.25 | -3.53 | + |
| 2023 | 26.18 | 46.23 | 1.77 | + |
| 2024 | 24.88 | 38.87 | 1.56 | + |
| 2025 | 17.72 | 47.82 | 2.70 | + |
| 2026 | 0.89 | 2.97 | 3.34 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-20 | 2025-04-08 | -19.21 | 48 |
| 2026-01-29 | 2026-04-13 | -19.21 | 75 |
| 2018-10-30 | 2019-03-21 | -15.58 | 143 |
| 2021-11-22 | 2022-03-07 | -14.89 | 106 |
| 2015-05-19 | 2015-10-05 | -14.65 | 140 |
| 2021-02-16 | 2021-06-09 | -14.58 | 114 |
| 2017-02-13 | 2017-02-22 | -14.42 | 10 |
| 2017-05-01 | 2017-05-16 | -13.85 | 16 |
| 2015-10-30 | 2016-01-14 | -11.16 | 77 |
| 2022-06-17 | 2022-09-30 | -11.13 | 106 |
Report generated on April 14, 2026 at 02:57 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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