| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 362.99% | 54,414.81% |
| CAGR﹪ | 13.94% | 71.17% |
| Sharpe | 0.83 | 1.8 |
| Prob. Sharpe Ratio | 99.76% | 100.0% |
| Smart Sharpe | 0.81 | 1.74 |
| Sortino | 1.18 | 3.98 |
| Smart Sortino | 1.14 | 3.84 |
| Sortino/√2 | 0.83 | 2.81 |
| Smart Sortino/√2 | 0.8 | 2.71 |
| Omega | 1.57 | 1.57 |
| Max Drawdown | -33.72% | -19.21% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 17.55% | 32.64% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.41 | 3.71 |
| Skew | -0.31 | 8.57 |
| Kurtosis | 14.1 | 169.79 |
| Expected Daily | 0.05% | 0.21% |
| Expected Monthly | 1.09% | 4.57% |
| Expected Yearly | 12.51% | 62.37% |
| Kelly Criterion | 9.62% | 14.37% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.76% | -3.15% |
| Expected Shortfall (cVaR) | -1.76% | -3.15% |
| Max Consecutive Wins | 10 | 13 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.57 |
| Gain/Pain (1M) | 1.08 | 6.1 |
| Payoff Ratio | 0.99 | 1.05 |
| Profit Factor | 1.17 | 1.57 |
| Common Sense Ratio | 1.11 | 1.83 |
| CPC Index | 0.64 | 0.93 |
| Tail Ratio | 0.94 | 1.16 |
| Outlier Win Ratio | 5.77 | 3.6 |
| Outlier Loss Ratio | 4.46 | 3.58 |
| MTD | 5.26% | -3.27% |
| 3M | 10.58% | -4.77% |
| 6M | 11.33% | 4.42% |
| YTD | 11.24% | 4.39% |
| 1Y | 30.19% | 35.41% |
| 3Y (ann.) | 22.05% | 43.12% |
| 5Y (ann.) | 13.8% | 49.91% |
| 10Y (ann.) | 15.56% | 79.26% |
| All-time (ann.) | 13.94% | 71.17% |
| 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 | -1.65% | -2.94% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 5.08 | 35.79 |
| Ulcer Index | 0.07 | 0.04 |
| Serenity Index | 2.14 | 39.28 |
| Avg. Up Month | 3.39% | 7.23% |
| Avg. Down Month | -3.24% | -3.55% |
| Win Days | 54.95% | 56.13% |
| Win Month | 68.79% | 72.34% |
| Win Quarter | 77.08% | 83.33% |
| Win Year | 84.62% | 100.0% |
| Beta | - | 0.36 |
| Alpha | - | 0.53 |
| Correlation | - | 19.45% |
| Treynor Ratio | - | 150442.53% |
| 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 | 11.24 | 4.39 | 0.39 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-20 | 2025-04-08 | -19.21 | 48 |
| 2026-01-29 | 2026-05-29 | -19.21 | 121 |
| 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 May 29, 2026 at 07:38 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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