| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 788.48% | 219.12% |
| CAGR﹪ | 14.08% | 7.25% |
| Sharpe | 0.99 | 0.68 |
| Prob. Sharpe Ratio | 99.99% | 99.85% |
| Smart Sharpe | 0.98 | 0.67 |
| Sortino | 1.64 | 1.27 |
| Smart Sortino | 1.62 | 1.25 |
| Sortino/√2 | 1.16 | 0.9 |
| Smart Sortino/√2 | 1.14 | 0.89 |
| Omega | 2.06 | 1.78 |
| Max Drawdown | -23.93% | -22.38% |
| Max DD Date | 2022-09-30 | 2023-08-31 |
| Max DD Period Start | 2022-01-31 | 2021-06-30 |
| Max DD Period End | 2023-11-30 | 2025-12-31 |
| Longest DD Days | 669 | 1646 |
| Volatility (ann.) | 14.41% | 11.15% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.59 | 0.32 |
| Skew | -0.32 | 0.69 |
| Kurtosis | 0.53 | 1.94 |
| Ulcer Performance Index | 141.41 | 22.38 |
| Risk-Adjusted Return | 1489.65% | 334.68% |
| Risk-Return Ratio | 0.29 | 0.2 |
| Avg. Return | 1.2% | 0.64% |
| Avg. Win | 3.27% | 2.02% |
| Avg. Loss | -3.15% | -2.7% |
| Win/Loss Ratio | 1.04 | 0.75 |
| Profit Ratio | 0.44 | 0.74 |
| Expected Daily | 1.1% | 0.58% |
| Expected Monthly | 1.1% | 0.58% |
| Expected Yearly | 13.71% | 7.06% |
| Kelly Criterion | 37.48% | 8.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.65% | -4.66% |
| Expected Shortfall (cVaR) | -7.81% | -6.28% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 1.06 | 0.78 |
| Gain/Pain (1M) | 1.06 | 0.78 |
| Payoff Ratio | 1.04 | 0.75 |
| Profit Factor | 2.06 | 1.78 |
| Common Sense Ratio | 2.39 | 2.7 |
| CPC Index | 1.45 | 0.81 |
| Tail Ratio | 1.16 | 1.52 |
| Outlier Win Ratio | 3.21 | 4.12 |
| Outlier Loss Ratio | 2.48 | 2.95 |
| MTD | -1.05% | -1.56% |
| 3M | 13.91% | 1.54% |
| 6M | 8.94% | 5.55% |
| YTD | 8.94% | 5.55% |
| 1Y | 20.92% | 20.63% |
| 3Y (ann.) | 18.77% | 7.14% |
| 5Y (ann.) | 12.51% | 0.15% |
| 10Y (ann.) | 15.13% | 6.08% |
| All-time (ann.) | 14.08% | 7.25% |
| Best Day | 12.7% | 13.21% |
| Worst Day | -12.49% | -9.5% |
| Best Month | 12.7% | 13.21% |
| Worst Month | -12.49% | -9.5% |
| Best Year | 32.31% | 26.67% |
| Worst Year | -18.18% | -7.08% |
| Avg. Drawdown | -5.65% | -5.69% |
| Avg. Drawdown Days | 70 | 239 |
| Recovery Factor | 9.9 | 5.65 |
| Ulcer Index | 0.06 | 0.1 |
| Serenity Index | 11.52 | 2.03 |
| Avg. Up Month | 3.27% | 2.02% |
| Avg. Down Month | -3.15% | -2.7% |
| Win Days | 68.18% | 60.8% |
| Win Month | 68.18% | 60.8% |
| Win Quarter | 77.61% | 58.21% |
| Win Year | 88.24% | 70.59% |
| Beta | - | 0.03 |
| Alpha | - | 0.07 |
| Correlation | - | 4.26% |
| Treynor Ratio | - | 6645.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 15.06 | 1.95 | 0.13 | - |
| 2011 | 1.89 | 25.88 | 13.65 | + |
| 2012 | 15.99 | 9.78 | 0.61 | - |
| 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 | -2.60 | -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 | 16.73 | 0.94 | - |
| 2026 | 8.94 | 5.55 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-06-30 | 2025-12-31 | -22.38 | 1646 |
| 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 |
| 2010-07-31 | 2011-07-31 | -7.22 | 366 |
| 2010-01-31 | 2010-02-28 | -5.69 | 29 |
| 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 |
| 2013-05-31 | 2013-11-30 | -4.53 | 184 |