| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 322.51% | 54,251.47% |
| CAGR﹪ | 13.5% | 74.13% |
| Sharpe | 0.81 | 1.86 |
| Prob. Sharpe Ratio | 99.64% | 100.0% |
| Smart Sharpe | 0.77 | 1.78 |
| Sortino | 1.14 | 4.22 |
| Smart Sortino | 1.09 | 4.04 |
| Sortino/√2 | 0.81 | 2.98 |
| Smart Sortino/√2 | 0.77 | 2.86 |
| Omega | 1.61 | 1.61 |
| Max Drawdown | -33.72% | -19.21% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 17.66% | 32.59% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 0.4 | 3.86 |
| Skew | -0.31 | 8.89 |
| Kurtosis | 14.18 | 176.06 |
| Expected Daily | 0.05% | 0.22% |
| Expected Monthly | 1.06% | 4.7% |
| Expected Yearly | 11.72% | 62.33% |
| Kelly Criterion | 9.25% | 15.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.77% | -3.14% |
| Expected Shortfall (cVaR) | -1.77% | -3.14% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.61 |
| Gain/Pain (1M) | 1.06 | 6.63 |
| Payoff Ratio | 0.99 | 1.07 |
| Profit Factor | 1.17 | 1.61 |
| Common Sense Ratio | 1.1 | 1.88 |
| CPC Index | 0.63 | 0.96 |
| Tail Ratio | 0.94 | 1.17 |
| Outlier Win Ratio | 5.76 | 3.63 |
| Outlier Loss Ratio | 4.33 | 3.59 |
| MTD | 1.51% | 4.07% |
| 3M | 4.84% | 6.99% |
| 6M | 11.43% | 28.14% |
| YTD | 1.51% | 4.07% |
| 1Y | 20.3% | 54.17% |
| 3Y (ann.) | 20.91% | 45.21% |
| 5Y (ann.) | 13.84% | 50.52% |
| 10Y (ann.) | 15.83% | 81.33% |
| All-time (ann.) | 13.5% | 74.13% |
| Best Day | 10.5% | 50.01% |
| Worst Day | -10.94% | -14.76% |
| Best Month | 12.7% | 95.23% |
| Worst Month | -12.49% | -8.07% |
| Best Year | 31.22% | 701.61% |
| Worst Year | -18.18% | 0.08% |
| Avg. Drawdown | -1.64% | -2.86% |
| Avg. Drawdown Days | 16 | 16 |
| Recovery Factor | 4.8 | 35.66 |
| Ulcer Index | 0.07 | 0.04 |
| Serenity Index | 1.98 | 43.55 |
| Avg. Up Month | 3.3% | 7.21% |
| Avg. Down Month | -3.16% | -3.39% |
| Win Days | 54.95% | 56.15% |
| Win Month | 69.34% | 72.99% |
| Win Quarter | 78.72% | 82.98% |
| Win Year | 84.62% | 100.0% |
| Beta | - | 0.35 |
| Alpha | - | 0.56 |
| Correlation | - | 18.79% |
| Treynor Ratio | - | 156476.4% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 4.17 | 23.87 | 5.73 | + |
| 2015 | 1.24 | 0.08 | 0.07 | - |
| 2016 | 12.00 | 49.60 | 4.13 | + |
| 2017 | 21.71 | 82.34 | 3.79 | + |
| 2018 | -4.57 | 44.37 | -9.71 | + |
| 2019 | 31.22 | 79.41 | 2.54 | + |
| 2020 | 18.33 | 701.61 | 38.27 | + |
| 2021 | 28.73 | 50.84 | 1.77 | + |
| 2022 | -18.18 | 64.25 | -3.53 | + |
| 2023 | 26.18 | 46.23 | 1.77 | + |
| 2024 | 24.89 | 38.87 | 1.56 | + |
| 2025 | 17.72 | 47.82 | 2.70 | + |
| 2026 | 1.51 | 4.07 | 2.69 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2025-02-20 | 2025-04-08 | -19.21 | 48 |
| 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 |
| 2020-03-25 | 2020-05-21 | -10.64 | 58 |
Report generated on January 16, 2026 at 11:15 AM CST.
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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