| Metric | S&P 500 | GOOGL |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 109.82% | 311.29% |
| CAGR﹪ | 13.91% | 28.21% |
| Sharpe | 0.87 | 0.95 |
| Prob. Sharpe Ratio | 98.11% | 98.86% |
| Smart Sharpe | 0.87 | 0.95 |
| Sortino | 1.26 | 1.42 |
| Smart Sortino | 1.26 | 1.42 |
| Sortino/√2 | 0.89 | 1.01 |
| Smart Sortino/√2 | 0.89 | 1.01 |
| Omega | 1.17 | 1.18 |
| Max Drawdown | -25.43% | -44.32% |
| Max DD Date | 2022-10-12 | 2022-11-03 |
| Max DD Period Start | 2022-01-04 | 2021-11-19 |
| Max DD Period End | 2024-01-18 | 2024-01-24 |
| Longest DD Days | 745 | 797 |
| Volatility (ann.) | 16.54% | 31.31% |
| R^2 | 0.45 | 0.00 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.55 | 0.64 |
| Skew | 0.13 | 0.17 |
| Kurtosis | 6.91 | 3.19 |
| Expected Daily | 0.05% | 0.10% |
| Expected Monthly | 1.08% | 2.07% |
| Expected Yearly | 13.15% | 26.58% |
| Kelly Criterion | 7.65% | 8.12% |
| Risk of Ruin | 0.00% | 0.00% |
| Daily Value-at-Risk | -1.66% | -3.13% |
| Expected Shortfall (cVaR) | -1.66% | -3.13% |
| Max Consecutive Wins | 9 | 10 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.17 | 0.18 |
| Gain/Pain (1M) | 0.98 | 1.06 |
| Payoff Ratio | 1.01 | 1.03 |
| Profit Factor | 1.17 | 1.18 |
| Common Sense Ratio | 1.17 | 1.27 |
| Tail Ratio | 1.00 | 1.08 |
| CPC Index | 0.63 | 0.65 |
| Outlier Win Ratio | 3.38 | 3.77 |
| Outlier Loss Ratio | 3.88 | 3.35 |
| MTD | 1.02% | 4.60% |
| 3M | 3.52% | -3.55% |
| 6M | 19.34% | 17.93% |
| YTD | 13.43% | 13.41% |
| 1Y | 16.51% | 39.36% |
| 3Y (ann.) | 23.39% | 39.40% |
| 5Y (ann.) | 11.61% | 20.63% |
| 10Y (ann.) | 13.91% | 28.21% |
| All-time (ann.) | 13.91% | 28.21% |
| Best Day | 9.52% | 10.22% |
| Worst Day | -5.97% | -9.51% |
| Best Month | 10.42% | 33.82% |
| Worst Month | -9.34% | -17.95% |
| Best Year | 28.79% | 67.83% |
| Worst Year | -19.44% | -39.09% |
| Avg. Drawdown | -1.85% | -4.08% |
| Avg. Drawdown Days | 19 | 27 |
| Recovery Factor | 3.22 | 3.82 |
| Ulcer Index | 0.09 | 0.16 |
| Serenity Index | 0.52 | 0.56 |
| Avg. Up Month | 3.59% | 8.41% |
| Avg. Down Month | -3.93% | -7.36% |
| Win Days | 53.70% | 53.35% |
| Win Month | 65.22% | 59.42% |
| Win Quarter | 73.91% | 65.22% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 1.27 |
| Alpha | - | 0.11 |
| Correlation | - | 67.17% |
| Treynor Ratio | - | 244.83% |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 28.79 | 67.83 | 2.36 | + |
| 2022 | -19.44 | -39.09 | 2.01 | - |
| 2023 | 24.23 | 58.32 | 2.41 | + |
| 2024 | 23.31 | 35.51 | 1.52 | + |
| 2025 | 16.39 | 65.35 | 3.99 | + |
| 2026 | 13.43 | 13.41 | 1.00 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-19 | 2024-01-24 | -44.32 | 797 |
| 2025-02-05 | 2025-08-22 | -29.89 | 199 |
| 2024-07-11 | 2024-12-10 | -22.24 | 153 |
| 2026-05-14 | 2026-09-21 | -21.09 | 131 |
| 2026-02-03 | 2026-04-23 | -20.42 | 80 |
| 2024-01-30 | 2024-03-28 | -14.40 | 59 |
| 2025-11-26 | 2026-01-07 | -8.26 | 43 |
| 2021-04-30 | 2021-06-03 | -8.05 | 35 |
| 2021-09-02 | 2021-10-26 | -7.96 | 55 |
| 2025-09-22 | 2025-10-17 | -7.13 | 26 |