| Metric | S&P 500 | Backtest |
|---|---|---|
| Risk-Free Rate | 2.78% | 2.78% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1.87% | 279.86% |
| CAGR﹪ | 0.26% | 20.71% |
| Sharpe | 0.16 | 1.08 |
| Prob. Sharpe Ratio | 32.66% | 98.55% |
| Smart Sharpe | 0.15 | 1.05 |
| Sortino | 0.18 | 1.65 |
| Smart Sortino | 0.17 | 1.6 |
| Sortino/√2 | 0.12 | 1.17 |
| Smart Sortino/√2 | 0.12 | 1.13 |
| Omega | 1.05 | 1.21 |
| Max Drawdown | -65.03% | -25.41% |
| Max DD Date | 2026-09-16 | 2020-03-18 |
| Max DD Period Start | 2026-06-03 | 2019-12-27 |
| Max DD Period End | 2026-10-14 | 2020-07-02 |
| Longest DD Days | 708 | 283 |
| Volatility (ann.) | 31.15% | 16.02% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.0 | 0.81 |
| Skew | -19.85 | 0.35 |
| Kurtosis | 650.98 | 7.85 |
| Ulcer Performance Index | -0.07 | 55.55 |
| Risk-Adjusted Return | 0.26% | 20.71% |
| Risk-Return Ratio | 0.02 | 0.08 |
| Avg. Return | 0.03% | 0.08% |
| Avg. Win | 0.88% | 0.81% |
| Avg. Loss | -0.98% | -0.77% |
| Win/Loss Ratio | 0.89 | 1.04 |
| Profit Ratio | 0.72 | 1.05 |
| Expected Daily | 0.0% | 0.07% |
| Expected Monthly | 0.02% | 1.56% |
| Expected Yearly | 0.23% | 18.16% |
| Kelly Criterion | 4.69% | 6.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -3.2% | -1.58% |
| Expected Shortfall (cVaR) | -7.19% | -2.32% |
| Max Consecutive Wins | 11 | 9 |
| Max Consecutive Losses | 7 | 8 |
| Gain/Pain Ratio | 0.07 | 0.24 |
| Gain/Pain (1M) | 0.32 | 1.62 |
| Payoff Ratio | 0.89 | 1.04 |
| Profit Factor | 1.07 | 1.24 |
| Common Sense Ratio | 1.04 | 1.49 |
| CPC Index | 0.53 | 0.68 |
| Tail Ratio | 0.96 | 1.2 |
| Outlier Win Ratio | 3.72 | 3.16 |
| Outlier Loss Ratio | 3.81 | 3.4 |
| MTD | 0.91% | 3.01% |
| 3M | -63.9% | 3.73% |
| 6M | -60.48% | 4.24% |
| YTD | -60.13% | 22.74% |
| 1Y | -58.87% | 31.58% |
| 3Y (ann.) | -14.47% | 30.88% |
| 5Y (ann.) | -9.39% | 25.62% |
| 10Y (ann.) | 0.26% | 20.71% |
| All-time (ann.) | 0.26% | 20.71% |
| Best Day | 10.5% | 10.01% |
| Worst Day | -64.36% | -6.72% |
| Best Month | 12.7% | 16.22% |
| Worst Month | -63.92% | -9.75% |
| Best Year | 28.73% | 37.03% |
| Worst Year | -60.13% | 2.24% |
| Avg. Drawdown | -2.26% | -2.42% |
| Avg. Drawdown Days | 16 | 22 |
| Recovery Factor | 0.84 | 5.61 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 0.13 | 1.97 |
| Avg. Up Month | 4.0% | 4.24% |
| Avg. Down Month | -7.24% | -3.94% |
| Win Days | 55.01% | 52.15% |
| Win Month | 65.12% | 66.28% |
| Win Quarter | 73.33% | 76.67% |
| Win Year | 75.0% | 100.0% |
| Beta | - | 0.1 |
| Alpha | - | 0.19 |
| Correlation | - | 20.27% |
| Treynor Ratio | - | 2657.18% |
| 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 | -60.13 | 22.74 | -0.38 | + |
| 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 | 2026-10-14 | -8.66 | 134 |
| 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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