Tearsheet (generated by QuantStats)

Key Performance Metrics

Metric	^SPX	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	100.0%	100.0%

Cumulative Return	15,380.55%	1,037,088,255,865,692.75%
CAGR﹪	7.61%	54.65%

Sharpe	0.54	1.64
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	0.53	1.63
Sortino	0.76	2.55
Smart Sortino	0.75	2.53
Sortino/√2	0.53	1.8
Smart Sortino/√2	0.53	1.79
Omega	1.37	1.37

Max Drawdown	-56.78%	-45.06%
Max DD Date	2009-03-09	1987-10-19
Max DD Period Start	2007-10-10	1987-08-26
Max DD Period End	2013-03-27	1989-04-26
Longest DD Days	2743	610
Volatility (ann.)	16.12%	29.14%
R^2	0.33	0.33
Information Ratio	0.1	0.1
Calmar	0.13	1.21
Skew	-0.57	0.07
Kurtosis	20.02	18.45

Expected Daily	0.03%	0.17%
Expected Monthly	0.61%	3.69%
Expected Yearly	7.58%	54.4%
Kelly Criterion	1.85%	14.24%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-1.64%	-2.83%
Expected Shortfall (cVaR)	-3.91%	-3.91%

Max Consecutive Wins	14	21
Max Consecutive Losses	12	11
Gain/Pain Ratio	0.11	0.37
Gain/Pain (1M)	0.56	3.16

Payoff Ratio	0.91	1.08
Profit Factor	1.11	1.37
Common Sense Ratio	1.1	1.67
CPC Index	0.54	0.82
Tail Ratio	0.99	1.22
Outlier Win Ratio	6.17	3.29
Outlier Loss Ratio	5.38	3.25

MTD	-0.05%	-6.56%
3M	2.77%	7.47%
6M	10.89%	2.66%
YTD	16.39%	34.56%
1Y	15.89%	34.57%
3Y (ann.)	20.1%	49.55%
5Y (ann.)	13.28%	46.26%
10Y (ann.)	12.77%	48.61%
All-time (ann.)	7.61%	54.65%

Best Day	11.58%	27.17%
Worst Day	-20.47%	-34.37%
Best Month	16.3%	30.35%
Worst Month	-21.76%	-29.69%
Best Year	38.06%	278.46%
Worst Year	-38.49%	-11.23%

Avg. Drawdown	-2.35%	-3.23%
Avg. Drawdown Days	39	15
Recovery Factor	10.46	73.06
Ulcer Index	0.15	0.1
Serenity Index	1.23	17.84

Avg. Up Month	3.38%	7.97%
Avg. Down Month	-4.12%	-5.85%
Win Days	53.29%	55.43%
Win Month	60.65%	73.73%
Win Quarter	66.3%	81.52%
Win Year	72.46%	95.65%

Beta	-	1.05
Alpha	-	0.39
Correlation	-	57.86%
Treynor Ratio	-	991595427893703.6%

EOY Returns vs Benchmark

Year	^SPX	Strategy	Multiplier	Won
1927	0.00	nan	nan	-
1928	37.88	nan	nan	-
1929	-11.91	nan	nan	-
1930	-28.48	nan	nan	-
1931	-47.07	nan	nan	-
1932	-14.78	nan	nan	-
1933	44.08	nan	nan	-
1934	-4.71	nan	nan	-
1935	41.37	nan	nan	-
1936	27.92	nan	nan	-
1937	-38.59	nan	nan	-
1938	24.55	nan	nan	-
1939	-5.18	nan	nan	-
1940	-15.09	nan	nan	-
1941	-17.86	nan	nan	-
1942	12.43	nan	nan	-
1943	19.45	nan	nan	-
1944	13.80	nan	nan	-
1945	30.72	nan	nan	-
1946	-11.87	nan	nan	-
1947	-0.00	nan	nan	-
1948	-0.65	nan	nan	-
1949	10.46	nan	nan	-
1950	21.68	nan	nan	-
1951	16.35	nan	nan	-
1952	11.78	nan	nan	-
1953	-6.62	nan	nan	-
1954	45.02	nan	nan	-
1955	26.40	nan	nan	-
1956	2.62	nan	nan	-
1957	-14.31	8.48	-0.59	+
1958	38.06	86.46	2.27	+
1959	8.48	61.79	7.29	+
1960	-2.97	17.54	-5.90	+
1961	23.13	65.40	2.83	+
1962	-11.81	-11.23	0.95	+
1963	18.89	82.92	4.39	+
1964	12.97	32.22	2.48	+
1965	9.06	8.95	0.99	-
1966	-13.09	4.85	-0.37	+
1967	20.09	115.77	5.76	+
1968	7.66	39.21	5.12	+
1969	-11.36	21.76	-1.91	+
1970	0.10	31.70	324.22	+
1971	10.79	38.67	3.59	+
1972	15.63	25.89	1.66	+
1973	-17.37	59.42	-3.42	+
1974	-29.72	7.00	-0.24	+
1975	31.55	91.41	2.90	+
1976	19.15	68.92	3.60	+
1977	-11.50	-7.00	0.61	+
1978	1.06	4.08	3.84	+
1979	12.31	69.91	5.68	+
1980	25.77	25.46	0.99	-
1981	-9.73	-10.75	1.10	-
1982	14.76	101.65	6.89	+
1983	17.27	152.41	8.82	+
1984	1.40	56.66	40.45	+
1985	26.33	69.93	2.66	+
1986	14.62	39.19	2.68	+
1987	2.03	15.55	7.67	+
1988	12.40	23.11	1.86	+
1989	27.25	69.08	2.54	+
1990	-6.56	17.40	-2.65	+
1991	26.31	157.91	6.00	+
1992	4.46	45.54	10.20	+
1993	7.06	97.89	13.87	+
1994	-1.54	59.55	-38.68	+
1995	34.11	120.01	3.52	+
1996	20.26	214.54	10.59	+
1997	31.01	236.89	7.64	+
1998	26.67	132.77	4.98	+
1999	19.53	233.18	11.94	+
2000	-10.14	278.46	-27.46	+
2001	-13.04	30.72	-2.36	+
2002	-23.37	6.68	-0.29	+
2003	26.38	105.83	4.01	+
2004	8.99	65.69	7.30	+
2005	3.00	38.39	12.79	+
2006	13.62	75.66	5.56	+
2007	3.53	46.57	13.20	+
2008	-38.49	16.19	-0.42	+
2009	23.45	74.05	3.16	+
2010	12.78	17.04	1.33	+
2011	-0.00	9.66	-3033.94	+
2012	13.41	43.99	3.28	+
2013	29.60	120.81	4.08	+
2014	11.39	62.73	5.51	+
2015	-0.73	51.19	-70.45	+
2016	9.54	26.80	2.81	+
2017	19.42	52.19	2.69	+
2018	-6.24	14.85	-2.38	+
2019	28.88	72.39	2.51	+
2020	16.26	133.83	8.23	+
2021	26.89	37.29	1.39	+
2022	-19.44	38.86	-2.00	+
2023	24.23	19.09	0.79	-
2024	23.31	91.89	3.94	+
2025	16.39	34.56	2.11	+
2026	-4.63	nan	nan	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
1987-08-26	1989-04-26	-45.06	610
1981-04-24	1982-09-21	-43.58	516
1965-03-16	1966-01-11	-41.07	302
1974-01-08	1975-01-09	-40.34	367
1978-09-12	1979-06-05	-33.55	267
1998-08-26	1998-11-05	-33.21	72
1977-06-28	1978-05-11	-32.84	318
2002-05-23	2003-04-01	-32.73	314
1957-07-11	1958-06-16	-31.86	341
2018-09-25	2019-07-25	-30.76	304

Strategy Tearsheet
6 Mar, 1957 - 31 Dec, 2025

Benchmark is ^SPX | Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

Strategy Tearsheet 6 Mar, 1957 - 31 Dec, 2025

Benchmark is ^SPX | Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

Strategy Tearsheet
6 Mar, 1957 - 31 Dec, 2025