| Metric | S&P 500 | Backtest |
|---|---|---|
| Risk-Free Rate | 2.75% | 2.75% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 181.38% | 271.29% |
| CAGR﹪ | 16.21% | 20.99% |
| Sharpe | 0.72 | 1.09 |
| Prob. Sharpe Ratio | 86.19% | 98.56% |
| Smart Sharpe | 0.7 | 1.06 |
| Sortino | 1.01 | 1.67 |
| Smart Sortino | 0.98 | 1.61 |
| Sortino/√2 | 0.72 | 1.18 |
| Smart Sortino/√2 | 0.69 | 1.14 |
| Omega | 1.15 | 1.21 |
| Max Drawdown | -33.72% | -25.41% |
| Max DD Date | 2020-03-23 | 2020-03-18 |
| Max DD Period Start | 2020-02-20 | 2019-12-27 |
| Max DD Period End | 2020-08-07 | 2020-07-02 |
| Longest DD Days | 708 | 283 |
| Volatility (ann.) | 19.84% | 16.11% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.48 | 0.83 |
| Skew | -0.27 | 0.36 |
| Kurtosis | 13.74 | 7.89 |
| Ulcer Performance Index | 21.83 | 53.64 |
| Risk-Adjusted Return | 16.21% | 20.99% |
| Risk-Return Ratio | 0.05 | 0.08 |
| Avg. Return | 0.07% | 0.08% |
| Avg. Win | 0.88% | 0.81% |
| Avg. Loss | -1.0% | -0.78% |
| Win/Loss Ratio | 0.89 | 1.04 |
| Profit Ratio | 0.76 | 1.05 |
| Expected Daily | 0.06% | 0.08% |
| Expected Monthly | 1.25% | 1.59% |
| Expected Yearly | 13.81% | 17.82% |
| Kelly Criterion | 5.21% | 6.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.99% | -1.59% |
| Expected Shortfall (cVaR) | -3.26% | -2.34% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.18 | 0.24 |
| Gain/Pain (1M) | 1.1 | 1.61 |
| Payoff Ratio | 0.89 | 1.04 |
| Profit Factor | 1.18 | 1.24 |
| Common Sense Ratio | 1.14 | 1.49 |
| CPC Index | 0.58 | 0.68 |
| Tail Ratio | 0.97 | 1.2 |
| Outlier Win Ratio | 3.77 | 3.17 |
| Outlier Loss Ratio | 4.06 | 3.5 |
| MTD | 0.03% | 4.48% |
| 3M | 5.25% | 0.53% |
| 6M | 8.53% | 12.16% |
| YTD | 10.13% | 19.98% |
| 1Y | 19.05% | 30.41% |
| 3Y (ann.) | 20.54% | 26.94% |
| 5Y (ann.) | 12.33% | 25.14% |
| 10Y (ann.) | 16.21% | 20.99% |
| All-time (ann.) | 16.21% | 20.99% |
| Best Day | 10.5% | 10.01% |
| Worst Day | -10.94% | -6.72% |
| Best Month | 12.7% | 16.22% |
| Worst Month | -12.49% | -9.75% |
| Best Year | 28.73% | 37.03% |
| Worst Year | -18.18% | 2.24% |
| Avg. Drawdown | -1.81% | -2.42% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 3.47 | 5.52 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 0.9 | 1.93 |
| Avg. Up Month | 4.06% | 4.27% |
| Avg. Down Month | -4.09% | -4.08% |
| Win Days | 55.45% | 52.1% |
| Win Month | 66.27% | 66.27% |
| Win Quarter | 75.86% | 75.86% |
| Win Year | 87.5% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.16 |
| Correlation | - | 33.38% |
| Treynor Ratio | - | 990.71% |
| Year | S&P 500 | Backtest | Multiplier | Won |
|---|---|---|---|---|
| 2019 | 10.51 | 7.41 | 0.70 | - |
| 2020 | 18.33 | 2.24 | 0.12 | - |
| 2021 | 28.73 | 11.54 | 0.40 | - |
| 2022 | -18.18 | 29.44 | -1.62 | + |
| 2023 | 26.18 | 28.84 | 1.10 | + |
| 2024 | 24.89 | 37.03 | 1.49 | + |
| 2025 | 17.72 | 10.56 | 0.60 | - |
| 2026 | 10.13 | 19.98 | 1.97 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2019-12-27 | 2020-07-02 | -25.41 | 189 |
| 2020-08-05 | 2021-05-14 | -17.02 | 283 |
| 2022-04-05 | 2022-08-22 | -13.48 | 140 |
| 2025-01-16 | 2025-10-10 | -11.13 | 268 |
| 2026-06-03 | 2026-07-31 | -8.66 | 59 |
| 2023-07-26 | 2023-11-17 | -8.37 | 115 |
| 2021-11-10 | 2022-01-13 | -7.45 | 65 |
| 2023-01-26 | 2023-03-31 | -7.09 | 65 |
| 2022-09-15 | 2022-10-26 | -6.83 | 42 |
| 2021-06-11 | 2021-09-10 | -6.70 | 92 |
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