| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 313.14% | 51,891.41% |
| CAGR﹪ | 13.38% | 74.14% |
| Sharpe | 0.8 | 1.85 |
| Prob. Sharpe Ratio | 99.6% | 100.0% |
| Smart Sharpe | 0.77 | 1.77 |
| Sortino | 1.13 | 4.21 |
| Smart Sortino | 1.08 | 4.03 |
| Sortino/√2 | 0.8 | 2.98 |
| Smart Sortino/√2 | 0.76 | 2.85 |
| Omega | 1.61 | 1.61 |
| Max Drawdown | -33.72% | -19.21% |
| Longest DD Days | 708 | 143 |
| Volatility (ann.) | 17.7% | 32.67% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 0.4 | 3.86 |
| Skew | -0.31 | 8.88 |
| Kurtosis | 14.12 | 175.45 |
| Expected Daily | 0.05% | 0.22% |
| Expected Monthly | 1.05% | 4.71% |
| Expected Yearly | 12.55% | 68.39% |
| Kelly Criterion | 9.17% | 14.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.78% | -3.15% |
| Expected Shortfall (cVaR) | -1.78% | -3.15% |
| Max Consecutive Wins | 11 | 13 |
| Max Consecutive Losses | 8 | 8 |
| Gain/Pain Ratio | 0.17 | 0.61 |
| Gain/Pain (1M) | 1.04 | 6.56 |
| Payoff Ratio | 0.98 | 1.06 |
| 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 | 5.77 | 3.64 |
| Outlier Loss Ratio | 4.32 | 3.59 |
| MTD | -0.66% | -0.41% |
| 3M | 3.0% | 11.38% |
| 6M | 14.37% | 25.43% |
| YTD | 16.85% | 47.17% |
| 1Y | 13.72% | 41.67% |
| 3Y (ann.) | 21.66% | 45.5% |
| 5Y (ann.) | 14.16% | 50.71% |
| 10Y (ann.) | 14.47% | 82.13% |
| All-time (ann.) | 13.38% | 74.14% |
| 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 | -1.66% | -2.87% |
| Avg. Drawdown Days | 17 | 16 |
| Recovery Factor | 4.73 | 35.42 |
| Ulcer Index | 0.07 | 0.04 |
| Serenity Index | 1.94 | 43.14 |
| Avg. Up Month | 3.36% | 7.34% |
| Avg. Down Month | -3.06% | -3.26% |
| Win Days | 54.97% | 56.19% |
| Win Month | 68.38% | 72.06% |
| Win Quarter | 78.26% | 82.61% |
| Win Year | 83.33% | 100.0% |
| Beta | - | 0.34 |
| Alpha | - | 0.56 |
| Correlation | - | 18.69% |
| Treynor Ratio | - | 150462.7% |
| 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 | -9.71 | + |
| 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 | 16.85 | 47.17 | 2.80 | + |
| 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 December 16, 2025 at 09:40 PM 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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