| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 359.15% | 48,116.22% |
| CAGR﹪ | 13.68% | 68.3% |
| Sharpe | 0.82 | 1.75 |
| Prob. Sharpe Ratio | 99.74% | 100.0% |
| Smart Sharpe | 0.79 | 1.69 |
| Sortino | 1.16 | 3.82 |
| Smart Sortino | 1.12 | 3.69 |
| Sortino/√2 | 0.82 | 2.7 |
| Smart Sortino/√2 | 0.79 | 2.61 |
| Omega | 1.55 | 1.55 |
| Max Drawdown | -33.72% | -21.5% |
| Longest DD Days | 708 | 174 |
| Volatility (ann.) | 17.52% | 32.63% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.41 | 3.18 |
| Skew | -0.3 | 8.48 |
| Kurtosis | 14.02 | 168.13 |
| Expected Daily | 0.05% | 0.21% |
| Expected Monthly | 1.07% | 4.42% |
| Expected Yearly | 12.44% | 60.84% |
| Kelly Criterion | 9.6% | 13.66% |
| 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 | 11 | 13 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.55 |
| Gain/Pain (1M) | 1.07 | 5.43 |
| Payoff Ratio | 1.0 | 1.04 |
| Profit Factor | 1.17 | 1.55 |
| Common Sense Ratio | 1.11 | 1.79 |
| CPC Index | 0.64 | 0.9 |
| Tail Ratio | 0.95 | 1.15 |
| Outlier Win Ratio | 5.74 | 3.58 |
| Outlier Loss Ratio | 4.45 | 3.54 |
| MTD | 0.2% | -1.67% |
| 3M | 5.85% | -17.35% |
| 6M | 11.02% | -11.34% |
| YTD | 10.31% | -7.81% |
| 1Y | 20.55% | 12.71% |
| 3Y (ann.) | 21.58% | 35.05% |
| 5Y (ann.) | 12.59% | 40.28% |
| 10Y (ann.) | 15.05% | 74.97% |
| All-time (ann.) | 13.68% | 68.3% |
| Best Day | 10.5% | 50.01% |
| Worst Day | -10.94% | -14.76% |
| Best Month | 12.7% | 95.24% |
| Worst Month | -12.49% | -10.19% |
| Best Year | 31.22% | 701.82% |
| Worst Year | -18.17% | -7.81% |
| Avg. Drawdown | -1.66% | -2.95% |
| Avg. Drawdown Days | 16 | 17 |
| Recovery Factor | 5.06 | 31.43 |
| Ulcer Index | 0.07 | 0.05 |
| Serenity Index | 2.15 | 32.25 |
| Avg. Up Month | 3.39% | 7.23% |
| Avg. Down Month | -3.15% | -3.82% |
| Win Days | 54.91% | 55.91% |
| Win Month | 68.53% | 71.33% |
| Win Quarter | 77.55% | 79.59% |
| Win Year | 84.62% | 92.31% |
| Beta | - | 0.37 |
| Alpha | - | 0.52 |
| Correlation | - | 20.1% |
| Treynor Ratio | - | 128525.74% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 4.17 | 23.87 | 5.72 | + |
| 2015 | 1.24 | 0.09 | 0.07 | - |
| 2016 | 12.00 | 49.62 | 4.14 | + |
| 2017 | 21.71 | 82.36 | 3.79 | + |
| 2018 | -4.57 | 44.39 | -9.72 | + |
| 2019 | 31.22 | 79.43 | 2.54 | + |
| 2020 | 18.34 | 701.82 | 38.28 | + |
| 2021 | 28.73 | 50.85 | 1.77 | + |
| 2022 | -18.17 | 64.30 | -3.54 | + |
| 2023 | 26.18 | 46.25 | 1.77 | + |
| 2024 | 24.89 | 38.88 | 1.56 | + |
| 2025 | 17.72 | 47.84 | 2.70 | + |
| 2026 | 10.31 | -7.81 | -0.76 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-01-29 | 2026-07-21 | -21.50 | 174 |
| 2025-02-20 | 2025-04-08 | -19.20 | 48 |
| 2018-11-08 | 2019-03-21 | -15.58 | 134 |
| 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 | -11.12 | 106 |
Report generated on July 21, 2026 at 06:36 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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