GOOG 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	2,033.33%	507.17%
CAGR﹪	21.12%	11.95%
Sharpe	0.59	0.35
Prob. Sharpe Ratio	13.07%	7.13%
Smart Sharpe	0.57	0.34
Sortino	0.86	0.48
Smart Sortino	0.83	0.47
Sortino/√2	0.61	0.34
Smart Sortino/√2	0.59	0.33
Omega	1.11	1.11
Max Drawdown	-44.6%	-33.92%
Longest DD Days	797	745
Volatility (ann.)	27.66%	17.34%
R^2	0.47	0.47
Information Ratio	0.03	0.03
Calmar	0.47	0.35
Skew	0.38	-0.37
Kurtosis	7.82	12.85
Expected Daily	0.08%	0.04%
Expected Monthly	1.61%	0.94%
Expected Yearly	21.08%	11.93%
Kelly Criterion	5.54%	5.88%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-2.77%	-1.75%
Expected Shortfall (cVaR)	-2.77%	-1.75%
Max Consecutive Wins	10	9
Max Consecutive Losses	13	9
Gain/Pain Ratio	0.17	0.15
Gain/Pain (1M)	0.96	0.93
Payoff Ratio	0.98	0.93
Profit Factor	1.17	1.15
Common Sense Ratio	1.18	1.09
CPC Index	0.61	0.58
Tail Ratio	1.02	0.94
Outlier Win Ratio	3.03	5.19
Outlier Loss Ratio	3.36	5.36
MTD	-1.39%	1.21%
3M	25.1%	4.13%
6M	90.15%	15.05%
YTD	65.76%	17.86%
1Y	61.06%	16.04%
3Y (ann.)	47.68%	20.53%
5Y (ann.)	27.66%	12.76%
10Y (ann.)	23.72%	12.87%
All-time (ann.)	21.12%	11.95%
Best Day	16.05%	9.52%
Worst Day	-11.1%	-11.98%
Best Month	20.19%	12.68%
Worst Month	-17.67%	-12.51%
Best Year	65.76%	29.6%
Worst Year	-38.67%	-19.44%
Avg. Drawdown	-3.89%	-1.81%
Avg. Drawdown Days	33	19
Recovery Factor	45.59	14.95
Ulcer Index	0.12	0.07
Serenity Index	12.36	6.07
Avg. Up Month	6.71%	3.54%
Avg. Down Month	-6.42%	-4.27%
Win Days	53.19%	54.69%
Win Month	60.94%	66.67%
Win Quarter	62.5%	76.56%
Win Year	75.0%	75.0%
Beta	1.09	-
Alpha	0.09	-
Correlation	68.35%	-
Treynor Ratio	1858.49%	-