| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 675.24% | 233.36% |
| CAGR﹪ | 11.76% | 6.76% |
| Sharpe | 0.79 | 0.61 |
| Prob. Sharpe Ratio | 99.93% | 99.66% |
| Smart Sharpe | 0.74 | 0.57 |
| Sortino | 1.21 | 1.07 |
| Smart Sortino | 1.13 | 1.0 |
| Sortino/√2 | 0.86 | 0.76 |
| Smart Sortino/√2 | 0.8 | 0.71 |
| Omega | 1.79 | 1.67 |
| Max Drawdown | -46.32% | -22.38% |
| Max DD Date | 2009-02-28 | 2023-08-31 |
| Max DD Period Start | 2008-06-30 | 2021-06-30 |
| Max DD Period End | 2011-01-31 | 2025-12-31 |
| Longest DD Days | 946 | 1646 |
| Volatility (ann.) | 15.66% | 11.92% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.25 | 0.3 |
| Skew | -0.58 | 0.49 |
| Kurtosis | 1.0 | 2.67 |
| Ulcer Performance Index | 63.92 | 23.82 |
| Risk-Adjusted Return | 933.23% | 294.69% |
| Risk-Return Ratio | 0.23 | 0.18 |
| Avg. Return | 1.04% | 0.61% |
| Avg. Win | 3.36% | 2.24% |
| Avg. Loss | -3.73% | -2.79% |
| Win/Loss Ratio | 0.9 | 0.8 |
| Profit Ratio | 0.44 | 0.79 |
| Expected Daily | 0.93% | 0.55% |
| Expected Monthly | 0.93% | 0.55% |
| Expected Yearly | 11.38% | 6.54% |
| Kelly Criterion | 30.02% | 8.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.4% | -5.05% |
| Expected Shortfall (cVaR) | -9.17% | -7.7% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.79 | 0.67 |
| Gain/Pain (1M) | 0.79 | 0.67 |
| Payoff Ratio | 0.9 | 0.8 |
| Profit Factor | 1.79 | 1.67 |
| Common Sense Ratio | 1.81 | 2.59 |
| CPC Index | 1.08 | 0.8 |
| Tail Ratio | 1.01 | 1.55 |
| Outlier Win Ratio | 3.1 | 4.23 |
| Outlier Loss Ratio | 2.66 | 2.91 |
| MTD | -1.05% | -1.92% |
| 3M | 13.91% | 1.18% |
| 6M | 8.94% | 5.17% |
| YTD | 8.94% | 5.17% |
| 1Y | 20.92% | 20.19% |
| 3Y (ann.) | 18.77% | 6.45% |
| 5Y (ann.) | 12.51% | -0.24% |
| 10Y (ann.) | 15.13% | 5.88% |
| All-time (ann.) | 11.76% | 6.76% |
| Best Day | 12.7% | 13.6% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 13.6% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 32.31% | 26.67% |
| Worst Year | -30.94% | -7.08% |
| Avg. Drawdown | -6.65% | -6.41% |
| Avg. Drawdown Days | 95 | 257 |
| Recovery Factor | 4.93 | 5.97 |
| Ulcer Index | 0.11 | 0.1 |
| Serenity Index | 3.17 | 2.29 |
| Avg. Up Month | 3.36% | 2.24% |
| Avg. Down Month | -3.73% | -2.79% |
| Win Days | 66.82% | 59.28% |
| Win Month | 66.82% | 59.28% |
| Win Quarter | 73.33% | 60.0% |
| Win Year | 84.21% | 68.42% |
| Beta | - | 0.1 |
| Alpha | - | 0.06 |
| Correlation | - | 13.3% |
| Treynor Ratio | - | 2305.33% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -30.94 | 7.51 | -0.24 | + |
| 2009 | 26.35 | -1.09 | -0.04 | - |
| 2010 | 15.06 | 1.95 | 0.13 | - |
| 2011 | 1.89 | 25.88 | 13.65 | + |
| 2012 | 15.99 | 9.96 | 0.62 | - |
| 2013 | 32.31 | 9.90 | 0.31 | - |
| 2014 | 13.46 | 8.39 | 0.62 | - |
| 2015 | 1.23 | -2.59 | -2.10 | - |
| 2016 | 12.00 | 8.03 | 0.67 | - |
| 2017 | 21.71 | 18.94 | 0.87 | - |
| 2018 | -4.57 | -1.19 | 0.26 | + |
| 2019 | 31.22 | 10.26 | 0.33 | - |
| 2020 | 18.33 | 26.67 | 1.45 | + |
| 2021 | 28.73 | -2.61 | -0.09 | - |
| 2022 | -18.18 | -7.08 | 0.39 | + |
| 2023 | 26.18 | 2.08 | 0.08 | - |
| 2024 | 24.89 | -3.27 | -0.13 | - |
| 2025 | 17.72 | 14.90 | 0.84 | - |
| 2026 | 8.94 | 5.17 | 0.58 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-30 | 2025-12-31 | -22.38 | 1646 |
| 2009-01-31 | 2010-02-28 | -17.68 | 394 |
| 2015-02-28 | 2017-03-31 | -11.32 | 763 |
| 2026-03-31 | 2026-07-31 | -9.50 | 123 |
| 2018-02-28 | 2019-07-31 | -8.86 | 519 |
| 2008-04-30 | 2008-11-30 | -7.41 | 215 |
| 2010-07-31 | 2011-07-31 | -7.22 | 366 |
| 2014-09-30 | 2014-10-31 | -5.00 | 32 |
| 2019-09-30 | 2020-01-31 | -4.71 | 124 |
| 2011-10-31 | 2012-04-30 | -4.67 | 183 |