Tearsheet (generated by QuantStats)

Key Performance Metrics

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

Cumulative Return	2,964.41%	2,221.12%
CAGR﹪	10.76%	9.84%

Sharpe	0.77	1.76
Prob. Sharpe Ratio	100.0%	100.0%
Smart Sharpe	0.75	1.71
Sortino	1.18	3.96
Smart Sortino	1.15	3.84
Sortino/√2	0.84	2.8
Smart Sortino/√2	0.81	2.71
Omega	1.76	3.92

Max Drawdown	-50.78%	-7.9%
Max DD Date	2009-02-28	2008-10-31
Max DD Period Start	2007-11-30	2008-03-31
Max DD Period End	2012-02-29	2008-11-30
Longest DD Days	2223	398
Volatility (ann.)	14.76%	5.43%
R^2	0.23	0.23
Information Ratio	-0.04	-0.04
Calmar	0.21	1.25
Skew	-0.55	0.29
Kurtosis	0.98	1.5
Ulcer Performance Index	211.25	1795.73
Risk-Adjusted Return	754.56%	617.97%
Risk-Return Ratio	0.22	0.51

Avg. Return	0.95%	0.8%
Avg. Win	3.44%	1.58%
Avg. Loss	-3.97%	-1.17%
Win/Loss Ratio	0.87	1.35
Profit Ratio	0.5	0.52

Expected Daily	0.85%	0.79%
Expected Monthly	0.85%	0.79%
Expected Yearly	10.59%	9.69%
Kelly Criterion	24.84%	53.64%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-6.06%	-1.78%
Expected Shortfall (cVaR)	-8.96%	-2.59%

Max Consecutive Wins	15	13
Max Consecutive Losses	5	4
Gain/Pain Ratio	0.76	2.92
Gain/Pain (1M)	0.76	2.92

Payoff Ratio	0.87	1.35
Profit Factor	1.76	3.92
Common Sense Ratio	1.85	8.88
CPC Index	0.99	3.88
Tail Ratio	1.05	2.27
Outlier Win Ratio	2.95	3.64
Outlier Loss Ratio	2.93	2.63

MTD	-1.05%	-0.84%
3M	13.91%	-5.27%
6M	8.94%	2.83%
YTD	8.94%	2.83%
1Y	20.92%	11.07%
3Y (ann.)	18.77%	10.48%
5Y (ann.)	12.51%	7.62%
10Y (ann.)	15.13%	8.28%
All-time (ann.)	10.76%	9.84%

Best Day	12.7%	6.73%
Worst Day	-16.52%	-4.65%
Best Month	12.7%	6.73%
Worst Month	-16.52%	-4.65%
Best Year	38.05%	23.42%
Worst Year	-36.79%	-1.16%

Avg. Drawdown	-6.27%	-1.48%
Avg. Drawdown Days	122	48
Recovery Factor	7.49	40.57
Ulcer Index	0.14	0.01
Serenity Index	3.21	115.71

Avg. Up Month	3.44%	1.58%
Avg. Down Month	-3.97%	-1.17%
Win Days	65.09%	73.38%
Win Month	65.09%	73.38%
Win Quarter	73.33%	82.22%
Win Year	82.35%	94.12%

Beta	-	0.18
Alpha	-	0.08
Correlation	-	47.86%
Treynor Ratio	-	12610.16%

EOY Returns vs Benchmark

Year	SPY	Strategy	Multiplier	Won
1993	8.71	12.28	1.41	+
1994	0.40	0.36	0.91	-
1995	38.05	23.42	0.62	-
1996	22.50	8.94	0.40	-
1997	33.48	12.42	0.37	-
1998	28.69	13.89	0.48	-
1999	20.39	9.18	0.45	-
2000	-9.74	10.28	-1.06	+
2001	-11.76	3.60	-0.31	+
2002	-21.58	11.70	-0.54	+
2003	28.18	22.86	0.81	-
2004	10.70	13.06	1.22	+
2005	4.83	10.64	2.20	+
2006	15.85	20.35	1.28	+
2007	5.15	15.14	2.94	+
2008	-36.79	5.34	-0.15	+
2009	26.35	13.19	0.50	-
2010	15.06	12.13	0.81	-
2011	1.89	8.50	4.49	+
2012	15.99	5.09	0.32	-
2013	32.31	5.40	0.17	-
2014	13.46	7.14	0.53	-
2015	1.23	-1.16	-0.94	-
2016	12.00	4.42	0.37	-
2017	21.71	10.97	0.51	-
2018	-4.57	1.81	-0.40	+
2019	31.22	13.31	0.43	-
2020	18.33	18.10	0.99	-
2021	28.73	5.36	0.19	-
2022	-18.18	-0.63	0.03	+
2023	26.18	8.87	0.34	-
2024	24.89	10.61	0.43	-
2025	17.72	15.79	0.89	-
2026	8.94	2.83	0.32	-

Worst 10 Drawdowns

Started	Recovered	Drawdown	Days
2008-03-31	2008-11-30	-7.90	245
2026-05-31	2026-07-31	-6.03	62
2004-04-30	2004-08-31	-4.41	124
2016-08-31	2017-03-31	-4.29	213
2009-01-31	2009-04-30	-4.02	90
2020-09-30	2020-11-30	-3.52	62
1994-02-28	1994-09-30	-3.50	215
2015-02-28	2016-03-31	-3.13	398
2018-10-31	2019-02-28	-3.08	121
2012-05-31	2012-07-31	-2.97	62

Meta Walk-Forward: Maximum Diversification / Low Rising-Rate Exposure (Compounded)
28 Feb, 1993 - 31 Jul, 2026 (matched dates)

Benchmark: SPY • Periods/Year: 12 • RF: 0.0% | Generated by QuantStats (v. 0.0.81)

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

Meta Walk-Forward: Maximum Diversification / Low Rising-Rate Exposure (Compounded) 28 Feb, 1993 - 31 Jul, 2026 (matched dates)

Benchmark: SPY • Periods/Year: 12 • RF: 0.0% | Generated by QuantStats (v. 0.0.81)

Key Performance Metrics

EOY Returns vs Benchmark

Worst 10 Drawdowns

Meta Walk-Forward: Maximum Diversification / Low Rising-Rate Exposure (Compounded)
28 Feb, 1993 - 31 Jul, 2026 (matched dates)