AAPL USD[Strategy] vs ^GSPC USD[Benchmark]

7 Jan, 2010 - 24 Dec, 2025

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	7.0%	7.0%
Time in Market	100.0%	100.0%
Cumulative Return	3,540.74%	507.17%
CAGR﹪	25.24%	11.95%
Sharpe	0.7	0.35
Prob. Sharpe Ratio	24.84%	7.13%
Smart Sharpe	0.68	0.34
Sortino	1.02	0.48
Smart Sortino	0.99	0.47
Sortino/√2	0.72	0.34
Smart Sortino/√2	0.7	0.33
Omega	1.13	1.13
Max Drawdown	-44.38%	-33.92%
Longest DD Days	720	745
Volatility (ann.)	28.2%	17.34%
R^2	0.48	0.48
Information Ratio	0.04	0.04
Calmar	0.57	0.35
Skew	0.07	-0.37
Kurtosis	6.16	12.85
Expected Daily	0.09%	0.04%
Expected Monthly	1.89%	0.94%
Expected Yearly	25.19%	11.93%
Kelly Criterion	4.9%	5.01%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.82%	-1.75%
Expected Shortfall (cVaR)	-2.82%	-1.75%
Max Consecutive Wins	11	9
Max Consecutive Losses	8	9
Gain/Pain Ratio	0.18	0.15
Gain/Pain (1M)	1.08	0.93
Payoff Ratio	0.97	0.91
Profit Factor	1.18	1.15
Common Sense Ratio	1.22	1.09
CPC Index	0.61	0.57
Tail Ratio	1.03	0.94
Outlier Win Ratio	2.97	5.34
Outlier Loss Ratio	3.22	5.29
MTD	-1.81%	1.21%
3M	7.62%	4.13%
6M	35.89%	15.05%
YTD	9.34%	17.86%
1Y	7.26%	16.04%
3Y (ann.)	25.51%	20.53%
5Y (ann.)	14.78%	12.76%
10Y (ann.)	25.97%	12.87%
All-time (ann.)	25.24%	11.95%
Best Day	15.33%	9.52%
Worst Day	-12.86%	-11.98%
Best Month	21.44%	12.68%
Worst Month	-18.4%	-12.51%
Best Year	86.16%	29.6%
Worst Year	-26.83%	-19.44%
Avg. Drawdown	-4.58%	-1.81%
Avg. Drawdown Days	36	19
Recovery Factor	79.79	14.95
Ulcer Index	0.15	0.07
Serenity Index	16.06	6.07
Avg. Up Month	7.54%	3.71%
Avg. Down Month	-5.56%	-4.15%
Win Days	53.08%	54.69%
Win Month	59.38%	66.67%
Win Quarter	68.75%	76.56%
Win Year	81.25%	75.0%
Beta	1.12	-
Alpha	0.12	-
Correlation	68.93%	-
Treynor Ratio	3152.61%	-