| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 391.65% |
| CAGR﹪ | 14.74% | 9.48% |
| Sharpe | 1.0 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 99.99% |
| Smart Sharpe | 0.94 | 0.83 |
| Sortino | 1.65 | 1.58 |
| Smart Sortino | 1.55 | 1.49 |
| Sortino/√2 | 1.17 | 1.12 |
| Smart Sortino/√2 | 1.1 | 1.05 |
| Omega | 2.07 | 2.07 |
| Max Drawdown | -23.93% | -15.83% |
| Max DD Date | 2022-09-30 | 2025-07-31 |
| Max DD Period Start | 2022-01-31 | 2024-10-31 |
| Max DD Period End | 2023-11-30 | 2025-12-31 |
| Longest DD Days | 669 | 519 |
| Volatility (ann.) | 14.92% | 10.91% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.62 | 0.6 |
| Skew | -0.37 | 0.19 |
| Kurtosis | 0.47 | 1.66 |
| Ulcer Performance Index | 181.23 | 89.19 |
| Risk-Adjusted Return | 1695.98% | 569.97% |
| Risk-Return Ratio | 0.29 | 0.26 |
| Avg. Return | 1.25% | 0.81% |
| Avg. Win | 3.59% | 2.64% |
| Avg. Loss | -3.59% | -2.8% |
| Win/Loss Ratio | 1.0 | 0.94 |
| Profit Ratio | 0.45 | 0.77 |
| Expected Daily | 1.15% | 0.76% |
| Expected Monthly | 1.15% | 0.76% |
| Expected Yearly | 14.38% | 9.25% |
| Kelly Criterion | 36.17% | 21.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -4.37% |
| Expected Shortfall (cVaR) | -8.19% | -6.71% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.07 |
| Gain/Pain (1M) | 1.07 | 1.07 |
| Payoff Ratio | 1.0 | 0.94 |
| Profit Factor | 2.07 | 2.07 |
| Common Sense Ratio | 2.52 | 3.88 |
| CPC Index | 1.41 | 1.22 |
| Tail Ratio | 1.21 | 1.87 |
| Outlier Win Ratio | 3.08 | 3.99 |
| Outlier Loss Ratio | 2.52 | 3.82 |
| MTD | -1.05% | -6.83% |
| 3M | 13.91% | 2.66% |
| 6M | 8.94% | 6.56% |
| YTD | 8.94% | 6.56% |
| 1Y | 20.92% | 16.93% |
| 3Y (ann.) | 18.77% | 4.16% |
| 5Y (ann.) | 12.51% | 2.25% |
| 10Y (ann.) | 15.13% | 9.23% |
| All-time (ann.) | 14.74% | 9.48% |
| Best Day | 12.7% | 11.01% |
| Worst Day | -12.49% | -9.25% |
| Best Month | 12.7% | 11.01% |
| Worst Month | -12.49% | -9.25% |
| Best Year | 32.31% | 27.33% |
| Worst Year | -18.18% | -4.21% |
| Avg. Drawdown | -5.74% | -3.97% |
| Avg. Drawdown Days | 66 | 109 |
| Recovery Factor | 10.98 | 10.75 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 13.13 | 10.66 |
| Avg. Up Month | 3.59% | 2.64% |
| Avg. Down Month | -3.59% | -2.8% |
| Win Days | 68.1% | 62.09% |
| Win Month | 68.1% | 62.09% |
| Win Quarter | 77.46% | 69.01% |
| Win Year | 88.89% | 88.89% |
| Beta | - | 0.27 |
| Alpha | - | 0.06 |
| Correlation | - | 36.63% |
| Treynor Ratio | - | 1462.02% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 17.74 | 0.67 | - |
| 2010 | 15.06 | 3.81 | 0.25 | - |
| 2011 | 1.89 | 5.69 | 3.00 | + |
| 2012 | 15.99 | 16.14 | 1.01 | + |
| 2013 | 32.31 | 13.58 | 0.42 | - |
| 2014 | 13.46 | 12.65 | 0.94 | - |
| 2015 | 1.23 | -1.36 | -1.10 | - |
| 2016 | 12.00 | 10.64 | 0.89 | - |
| 2017 | 21.71 | 12.66 | 0.58 | - |
| 2018 | -4.57 | 13.41 | -2.93 | + |
| 2019 | 31.22 | 16.69 | 0.53 | - |
| 2020 | 18.33 | 27.33 | 1.49 | + |
| 2021 | 28.73 | 5.79 | 0.20 | - |
| 2022 | -18.18 | 2.73 | -0.15 | + |
| 2023 | 26.18 | 7.28 | 0.28 | - |
| 2024 | 24.89 | 3.88 | 0.16 | - |
| 2025 | 17.72 | -4.21 | -0.24 | - |
| 2026 | 8.94 | 6.56 | 0.73 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-31 | 2025-12-31 | -15.83 | 427 |
| 2009-01-31 | 2009-06-30 | -9.32 | 151 |
| 2026-03-31 | 2026-07-31 | -9.25 | 123 |
| 2022-06-30 | 2023-11-30 | -8.73 | 519 |
| 2020-09-30 | 2021-03-31 | -8.65 | 183 |
| 2019-05-31 | 2019-07-31 | -8.23 | 62 |
| 2015-02-28 | 2016-06-30 | -7.70 | 489 |
| 2010-05-31 | 2011-03-31 | -7.67 | 305 |
| 2012-06-30 | 2012-11-30 | -6.54 | 154 |
| 2021-08-31 | 2022-02-28 | -6.50 | 182 |