| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 987.76% | 609.08% |
| CAGR﹪ | 14.99% | 12.15% |
| Sharpe | 1.05 | 0.95 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.96 | 0.87 |
| Sortino | 1.76 | 1.67 |
| Smart Sortino | 1.61 | 1.53 |
| Sortino/√2 | 1.24 | 1.18 |
| Smart Sortino/√2 | 1.14 | 1.08 |
| Omega | 2.14 | 2.03 |
| Max Drawdown | -23.93% | -18.7% |
| Max DD Date | 2022-09-30 | 2022-12-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-05-31 |
| Longest DD Days | 669 | 852 |
| Volatility (ann.) | 14.37% | 13.02% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.63 | 0.65 |
| Skew | -0.34 | 0.08 |
| Kurtosis | 0.52 | 0.66 |
| Ulcer Performance Index | 179.76 | 96.41 |
| Risk-Adjusted Return | 1780.08% | 1011.04% |
| Risk-Return Ratio | 0.3 | 0.27 |
| Avg. Return | 1.26% | 1.05% |
| Avg. Win | 3.39% | 2.96% |
| Avg. Loss | -3.12% | -3.19% |
| Win/Loss Ratio | 1.09 | 0.93 |
| Profit Ratio | 0.44 | 0.55 |
| Expected Daily | 1.17% | 0.96% |
| Expected Monthly | 1.17% | 0.96% |
| Expected Yearly | 14.18% | 11.5% |
| Kelly Criterion | 39.82% | 29.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.57% | -5.15% |
| Expected Shortfall (cVaR) | -7.65% | -6.98% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.14 | 1.03 |
| Gain/Pain (1M) | 1.14 | 1.03 |
| Payoff Ratio | 1.09 | 0.93 |
| Profit Factor | 2.14 | 2.03 |
| Common Sense Ratio | 2.6 | 2.64 |
| CPC Index | 1.6 | 1.24 |
| Tail Ratio | 1.21 | 1.3 |
| Outlier Win Ratio | 3.17 | 3.69 |
| Outlier Loss Ratio | 2.5 | 2.74 |
| MTD | -1.05% | -0.76% |
| 3M | 13.91% | 1.72% |
| 6M | 8.94% | 2.78% |
| YTD | 8.94% | 2.78% |
| 1Y | 20.92% | 11.27% |
| 3Y (ann.) | 18.77% | 11.25% |
| 5Y (ann.) | 12.51% | 6.68% |
| 10Y (ann.) | 15.13% | 11.07% |
| All-time (ann.) | 14.99% | 12.15% |
| Best Day | 12.7% | 13.21% |
| Worst Day | -12.49% | -8.87% |
| Best Month | 12.7% | 13.21% |
| Worst Month | -12.49% | -8.87% |
| Best Year | 32.31% | 28.8% |
| Worst Year | -18.18% | -18.7% |
| Avg. Drawdown | -5.54% | -5.18% |
| Avg. Drawdown Days | 68 | 113 |
| Recovery Factor | 10.77 | 11.29 |
| Ulcer Index | 0.05 | 0.06 |
| Serenity Index | 12.9 | 8.01 |
| Avg. Up Month | 3.39% | 2.96% |
| Avg. Down Month | -3.12% | -3.19% |
| Win Days | 68.63% | 65.85% |
| Win Month | 68.63% | 65.85% |
| Win Quarter | 78.26% | 68.12% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.47 |
| Alpha | - | 0.05 |
| Correlation | - | 51.99% |
| Treynor Ratio | - | 1293.55% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 22.43 | 21.26 | 0.95 | - |
| 2010 | 15.06 | 7.66 | 0.51 | - |
| 2011 | 1.89 | 22.45 | 11.85 | + |
| 2012 | 15.99 | 14.44 | 0.90 | - |
| 2013 | 32.31 | 25.00 | 0.77 | - |
| 2014 | 13.46 | 14.12 | 1.05 | + |
| 2015 | 1.23 | -0.89 | -0.72 | - |
| 2016 | 12.00 | 1.06 | 0.09 | - |
| 2017 | 21.71 | 23.48 | 1.08 | + |
| 2018 | -4.57 | -1.04 | 0.23 | + |
| 2019 | 31.22 | 13.13 | 0.42 | - |
| 2020 | 18.33 | 28.80 | 1.57 | + |
| 2021 | 28.73 | 20.23 | 0.70 | - |
| 2022 | -18.18 | -18.70 | 1.03 | - |
| 2023 | 26.18 | 11.77 | 0.45 | - |
| 2024 | 24.89 | 12.83 | 0.52 | - |
| 2025 | 17.72 | 20.24 | 1.14 | + |
| 2026 | 8.94 | 2.78 | 0.31 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -18.70 | 852 |
| 2015-06-30 | 2017-03-31 | -11.89 | 641 |
| 2020-01-31 | 2020-05-31 | -11.60 | 122 |
| 2010-05-31 | 2010-11-30 | -10.47 | 184 |
| 2026-03-31 | 2026-07-31 | -8.53 | 123 |
| 2012-04-30 | 2012-11-30 | -8.29 | 215 |
| 2024-10-31 | 2025-04-30 | -7.38 | 182 |
| 2020-09-30 | 2020-10-31 | -7.17 | 32 |
| 2018-10-31 | 2019-03-31 | -6.91 | 152 |
| 2018-02-28 | 2018-07-31 | -6.77 | 154 |