| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 788.48% | 346.8% |
| CAGR﹪ | 14.08% | 9.45% |
| Sharpe | 0.99 | 0.82 |
| Prob. Sharpe Ratio | 99.99% | 99.93% |
| Smart Sharpe | 0.89 | 0.73 |
| Sortino | 1.64 | 1.32 |
| Smart Sortino | 1.47 | 1.18 |
| Sortino/√2 | 1.16 | 0.93 |
| Smart Sortino/√2 | 1.04 | 0.83 |
| Omega | 2.06 | 1.83 |
| Max Drawdown | -23.93% | -22.33% |
| Max DD Date | 2022-09-30 | 2023-10-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-10-31 |
| Longest DD Days | 669 | 1005 |
| Volatility (ann.) | 14.41% | 11.98% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.59 | 0.42 |
| Skew | -0.32 | -0.3 |
| Kurtosis | 0.53 | 0.79 |
| Ulcer Performance Index | 141.41 | 44.86 |
| Risk-Adjusted Return | 1489.65% | 565.67% |
| Risk-Return Ratio | 0.29 | 0.24 |
| Avg. Return | 1.2% | 0.82% |
| Avg. Win | 3.48% | 2.78% |
| Avg. Loss | -3.28% | -3.28% |
| Win/Loss Ratio | 1.06 | 0.85 |
| Profit Ratio | 0.44 | 0.54 |
| Expected Daily | 1.1% | 0.76% |
| Expected Monthly | 1.1% | 0.76% |
| Expected Yearly | 13.71% | 9.2% |
| Kelly Criterion | 38.18% | 23.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.65% | -4.87% |
| Expected Shortfall (cVaR) | -7.81% | -7.17% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 1.06 | 0.83 |
| Gain/Pain (1M) | 1.06 | 0.83 |
| Payoff Ratio | 1.06 | 0.85 |
| Profit Factor | 2.06 | 1.83 |
| Common Sense Ratio | 2.39 | 2.27 |
| CPC Index | 1.49 | 1.0 |
| Tail Ratio | 1.16 | 1.24 |
| Outlier Win Ratio | 3.21 | 3.16 |
| Outlier Loss Ratio | 2.48 | 3.16 |
| MTD | -1.05% | -0.81% |
| 3M | 13.91% | -6.97% |
| 6M | 8.94% | -2.15% |
| YTD | 8.94% | -2.15% |
| 1Y | 20.92% | 16.42% |
| 3Y (ann.) | 18.77% | 17.76% |
| 5Y (ann.) | 12.51% | 8.56% |
| 10Y (ann.) | 15.13% | 9.92% |
| All-time (ann.) | 14.08% | 9.45% |
| Best Day | 12.7% | 10.96% |
| Worst Day | -12.49% | -10.21% |
| Best Month | 12.7% | 10.96% |
| Worst Month | -12.49% | -10.21% |
| Best Year | 32.31% | 41.11% |
| Worst Year | -18.18% | -17.59% |
| Avg. Drawdown | -5.65% | -5.63% |
| Avg. Drawdown Days | 70 | 134 |
| Recovery Factor | 9.9 | 7.26 |
| Ulcer Index | 0.06 | 0.08 |
| Serenity Index | 11.52 | 4.11 |
| Avg. Up Month | 3.48% | 2.78% |
| Avg. Down Month | -3.28% | -3.28% |
| Win Days | 68.18% | 64.82% |
| Win Month | 68.18% | 64.82% |
| Win Quarter | 77.61% | 70.15% |
| Win Year | 88.24% | 64.71% |
| Beta | - | 0.46 |
| Alpha | - | 0.03 |
| Correlation | - | 55.41% |
| Treynor Ratio | - | 752.93% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 15.06 | 7.83 | 0.52 | - |
| 2011 | 1.89 | 8.52 | 4.50 | + |
| 2012 | 15.99 | 11.31 | 0.71 | - |
| 2013 | 32.31 | 25.86 | 0.80 | - |
| 2014 | 13.46 | 8.58 | 0.64 | - |
| 2015 | 1.23 | -0.46 | -0.38 | - |
| 2016 | 12.00 | -6.61 | -0.55 | - |
| 2017 | 21.71 | 23.23 | 1.07 | + |
| 2018 | -4.57 | -3.30 | 0.72 | + |
| 2019 | 31.22 | 14.01 | 0.45 | - |
| 2020 | 18.33 | 20.51 | 1.12 | + |
| 2021 | 28.73 | 19.43 | 0.68 | - |
| 2022 | -18.18 | -17.59 | 0.97 | + |
| 2023 | 26.18 | -1.62 | -0.06 | - |
| 2024 | 24.89 | 23.38 | 0.94 | - |
| 2025 | 17.72 | 41.11 | 2.32 | + |
| 2026 | 8.94 | -2.15 | -0.24 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-10-31 | -22.33 | 1005 |
| 2026-03-31 | 2026-07-31 | -16.00 | 123 |
| 2015-06-30 | 2017-06-30 | -11.55 | 732 |
| 2010-05-31 | 2010-11-30 | -10.21 | 184 |
| 2018-10-31 | 2019-11-30 | -10.03 | 396 |
| 2020-01-31 | 2020-04-30 | -9.79 | 91 |
| 2012-04-30 | 2012-11-30 | -6.48 | 215 |
| 2020-09-30 | 2020-11-30 | -5.86 | 62 |
| 2013-05-31 | 2013-08-31 | -5.66 | 93 |
| 2018-02-28 | 2018-07-31 | -5.49 | 154 |