| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 702.61% | 440.71% |
| CAGR﹪ | 12.21% | 9.78% |
| Sharpe | 0.82 | 0.97 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.69 | 0.82 |
| Sortino | 1.26 | 1.8 |
| Smart Sortino | 1.06 | 1.51 |
| Sortino/√2 | 0.89 | 1.27 |
| Smart Sortino/√2 | 0.75 | 1.06 |
| Omega | 1.83 | 2.1 |
| Max Drawdown | -41.8% | -13.89% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2008-09-30 | 2022-04-30 |
| Max DD Period End | 2010-11-30 | 2024-04-30 |
| Longest DD Days | 792 | 732 |
| Volatility (ann.) | 15.61% | 10.15% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.29 | 0.7 |
| Skew | -0.57 | 0.31 |
| Kurtosis | 1.04 | 1.15 |
| Ulcer Performance Index | 78.05 | 115.67 |
| Risk-Adjusted Return | 1023.03% | 609.89% |
| Risk-Return Ratio | 0.24 | 0.28 |
| Avg. Return | 1.07% | 0.84% |
| Avg. Win | 3.64% | 2.49% |
| Avg. Loss | -4.09% | -2.43% |
| Win/Loss Ratio | 0.89 | 1.02 |
| Profit Ratio | 0.43 | 0.75 |
| Expected Daily | 0.96% | 0.78% |
| Expected Monthly | 0.96% | 0.78% |
| Expected Yearly | 11.58% | 9.29% |
| Kelly Criterion | 30.2% | 26.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.35% | -3.99% |
| Expected Shortfall (cVaR) | -9.03% | -5.28% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.83 | 1.1 |
| Gain/Pain (1M) | 0.83 | 1.1 |
| Payoff Ratio | 0.89 | 1.02 |
| Profit Factor | 1.83 | 2.1 |
| Common Sense Ratio | 2.06 | 2.99 |
| CPC Index | 1.09 | 1.35 |
| Tail Ratio | 1.12 | 1.42 |
| Outlier Win Ratio | 3.1 | 3.45 |
| Outlier Loss Ratio | 2.69 | 2.78 |
| MTD | -1.05% | 6.86% |
| 3M | 13.91% | 9.43% |
| 6M | 8.94% | 11.76% |
| YTD | 8.94% | 11.76% |
| 1Y | 20.92% | 27.84% |
| 3Y (ann.) | 18.77% | 16.44% |
| 5Y (ann.) | 12.51% | 8.55% |
| 10Y (ann.) | 15.13% | 9.36% |
| All-time (ann.) | 12.21% | 9.78% |
| Best Day | 12.7% | 12.05% |
| Worst Day | -16.52% | -7.28% |
| Best Month | 12.7% | 12.05% |
| Worst Month | -16.52% | -7.28% |
| Best Year | 32.31% | 20.31% |
| Worst Year | -28.51% | -9.85% |
| Avg. Drawdown | -6.5% | -3.43% |
| Avg. Drawdown Days | 90 | 90 |
| Recovery Factor | 5.54 | 12.86 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 4.42 | 12.95 |
| Avg. Up Month | 3.64% | 2.49% |
| Avg. Down Month | -4.09% | -2.43% |
| Win Days | 67.13% | 62.67% |
| Win Month | 67.13% | 62.67% |
| Win Quarter | 75.34% | 72.6% |
| Win Year | 84.21% | 94.74% |
| Beta | - | 0.33 |
| Alpha | - | 0.06 |
| Correlation | - | 51.05% |
| Treynor Ratio | - | 1328.65% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -28.51 | 3.10 | -0.11 | + |
| 2009 | 26.35 | 8.26 | 0.31 | - |
| 2010 | 15.06 | 17.09 | 1.14 | + |
| 2011 | 1.89 | 18.05 | 9.53 | + |
| 2012 | 15.99 | 9.23 | 0.58 | - |
| 2013 | 32.31 | 14.14 | 0.44 | - |
| 2014 | 13.46 | 5.59 | 0.42 | - |
| 2015 | 1.23 | 0.36 | 0.29 | - |
| 2016 | 12.00 | 3.27 | 0.27 | - |
| 2017 | 21.71 | 14.93 | 0.69 | - |
| 2018 | -4.57 | 3.20 | -0.70 | + |
| 2019 | 31.22 | 8.02 | 0.26 | - |
| 2020 | 18.33 | 13.55 | 0.74 | - |
| 2021 | 28.73 | 17.97 | 0.63 | - |
| 2022 | -18.18 | -9.85 | 0.54 | + |
| 2023 | 26.18 | 6.43 | 0.25 | - |
| 2024 | 24.89 | 20.31 | 0.82 | - |
| 2025 | 17.72 | 15.99 | 0.90 | - |
| 2026 | 8.94 | 11.76 | 1.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-30 | 2024-04-30 | -13.89 | 732 |
| 2009-12-31 | 2010-07-31 | -10.13 | 213 |
| 2008-09-30 | 2008-11-30 | -8.94 | 62 |
| 2009-01-31 | 2009-07-31 | -7.97 | 182 |
| 2016-08-31 | 2017-04-30 | -5.55 | 243 |
| 2020-08-31 | 2020-10-31 | -5.39 | 62 |
| 2018-05-31 | 2019-02-28 | -5.24 | 274 |
| 2021-09-30 | 2022-01-31 | -5.13 | 124 |
| 2026-03-31 | 2026-03-31 | -4.98 | 1 |
| 2013-05-31 | 2013-06-30 | -4.74 | 31 |