| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 240.89% |
| CAGR﹪ | 10.92% | 6.7% |
| Sharpe | 0.74 | 0.81 |
| Prob. Sharpe Ratio | 99.89% | 99.95% |
| Smart Sharpe | 0.7 | 0.77 |
| Sortino | 1.14 | 1.27 |
| Smart Sortino | 1.07 | 1.2 |
| Sortino/√2 | 0.8 | 0.9 |
| Smart Sortino/√2 | 0.76 | 0.85 |
| Omega | 1.73 | 1.85 |
| Max Drawdown | -50.78% | -21.1% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2025-05-31 |
| Longest DD Days | 1553 | 1217 |
| Volatility (ann.) | 15.62% | 8.42% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.32 |
| Skew | -0.55 | -0.54 |
| Kurtosis | 0.93 | 1.64 |
| Ulcer Performance Index | 48.48 | 42.24 |
| Risk-Adjusted Return | 781.06% | 290.18% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.97% | 0.58% |
| Avg. Win | 3.79% | 1.94% |
| Avg. Loss | -4.27% | -2.51% |
| Win/Loss Ratio | 0.89 | 0.77 |
| Profit Ratio | 0.46 | 0.53 |
| Expected Daily | 0.87% | 0.54% |
| Expected Monthly | 0.87% | 0.54% |
| Expected Yearly | 10.3% | 6.32% |
| Kelly Criterion | 27.5% | 20.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -3.43% |
| Expected Shortfall (cVaR) | -9.17% | -5.24% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.73 | 0.85 |
| Gain/Pain (1M) | 0.73 | 0.85 |
| Payoff Ratio | 0.89 | 0.77 |
| Profit Factor | 1.73 | 1.85 |
| Common Sense Ratio | 1.78 | 2.28 |
| CPC Index | 1.01 | 0.93 |
| Tail Ratio | 1.03 | 1.23 |
| Outlier Win Ratio | 3.1 | 3.16 |
| Outlier Loss Ratio | 2.66 | 3.78 |
| MTD | -1.05% | -0.65% |
| 3M | 13.91% | 2.27% |
| 6M | 8.94% | 3.92% |
| YTD | 8.94% | 3.92% |
| 1Y | 20.92% | 11.05% |
| 3Y (ann.) | 18.77% | 8.37% |
| 5Y (ann.) | 12.51% | 2.78% |
| 10Y (ann.) | 15.13% | 5.74% |
| All-time (ann.) | 10.92% | 6.7% |
| Best Day | 12.7% | 7.4% |
| Worst Day | -16.52% | -8.46% |
| Best Month | 12.7% | 7.4% |
| Worst Month | -16.52% | -8.46% |
| Best Year | 32.31% | 18.7% |
| Worst Year | -36.79% | -18.92% |
| Avg. Drawdown | -6.67% | -3.59% |
| Avg. Drawdown Days | 114 | 134 |
| Recovery Factor | 4.33 | 6.14 |
| Ulcer Index | 0.13 | 0.06 |
| Serenity Index | 2.31 | 3.69 |
| Avg. Up Month | 3.79% | 1.94% |
| Avg. Down Month | -4.27% | -2.51% |
| Win Days | 65.93% | 65.2% |
| Win Month | 65.93% | 65.2% |
| Win Quarter | 72.73% | 76.62% |
| Win Year | 85.0% | 80.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.03 |
| Correlation | - | 57.47% |
| Treynor Ratio | - | 777.62% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 7.36 | 116.61 | + |
| 2008 | -36.79 | 1.21 | -0.03 | + |
| 2009 | 26.35 | 0.58 | 0.02 | - |
| 2010 | 15.06 | 13.64 | 0.91 | - |
| 2011 | 1.89 | 18.14 | 9.57 | + |
| 2012 | 15.99 | 7.64 | 0.48 | - |
| 2013 | 32.31 | -0.86 | -0.03 | - |
| 2014 | 13.46 | 13.43 | 1.00 | - |
| 2015 | 1.23 | -2.47 | -2.00 | - |
| 2016 | 12.00 | 6.68 | 0.56 | - |
| 2017 | 21.71 | 11.97 | 0.55 | - |
| 2018 | -4.57 | -2.50 | 0.55 | + |
| 2019 | 31.22 | 18.70 | 0.60 | - |
| 2020 | 18.33 | 17.99 | 0.98 | - |
| 2021 | 28.73 | 8.41 | 0.29 | - |
| 2022 | -18.18 | -18.92 | 1.04 | - |
| 2023 | 26.18 | 10.10 | 0.39 | - |
| 2024 | 24.89 | 5.79 | 0.23 | - |
| 2025 | 17.72 | 13.38 | 0.75 | - |
| 2026 | 8.94 | 3.92 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-05-31 | -21.10 | 1217 |
| 2008-05-31 | 2009-08-31 | -12.32 | 458 |
| 2016-08-31 | 2017-07-31 | -6.86 | 335 |
| 2015-02-28 | 2016-03-31 | -6.19 | 398 |
| 2013-05-31 | 2014-02-28 | -6.06 | 274 |
| 2021-01-31 | 2021-05-31 | -4.66 | 121 |
| 2018-09-30 | 2019-01-31 | -4.42 | 124 |
| 2020-09-30 | 2020-10-31 | -3.81 | 32 |
| 2009-12-31 | 2010-03-31 | -3.52 | 91 |
| 2026-03-31 | 2026-04-30 | -3.20 | 31 |