| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 278.92% |
| CAGR﹪ | 14.74% | 7.87% |
| Sharpe | 1.0 | 1.05 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.93 | 0.98 |
| Sortino | 1.65 | 1.95 |
| Smart Sortino | 1.54 | 1.82 |
| Sortino/√2 | 1.17 | 1.38 |
| Smart Sortino/√2 | 1.09 | 1.29 |
| Omega | 2.07 | 2.28 |
| Max Drawdown | -23.93% | -10.13% |
| Max DD Date | 2022-09-30 | 2023-02-28 |
| Max DD Period Start | 2022-01-31 | 2022-06-30 |
| Max DD Period End | 2023-11-30 | 2025-08-31 |
| Longest DD Days | 669 | 1159 |
| Volatility (ann.) | 14.92% | 7.53% |
| R^2 | 0.11 | 0.11 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 0.62 | 0.78 |
| Skew | -0.37 | 0.19 |
| Kurtosis | 0.47 | 1.03 |
| Ulcer Performance Index | 181.23 | 78.32 |
| Risk-Adjusted Return | 1695.98% | 390.87% |
| Risk-Return Ratio | 0.29 | 0.3 |
| Avg. Return | 1.25% | 0.67% |
| Avg. Win | 3.51% | 1.8% |
| Avg. Loss | -3.57% | -1.96% |
| Win/Loss Ratio | 0.98 | 0.92 |
| Profit Ratio | 0.45 | 0.64 |
| Expected Daily | 1.15% | 0.63% |
| Expected Monthly | 1.15% | 0.63% |
| Expected Yearly | 14.38% | 7.68% |
| Kelly Criterion | 35.68% | 27.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -2.92% |
| Expected Shortfall (cVaR) | -8.19% | -4.06% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.28 |
| Gain/Pain (1M) | 1.07 | 1.28 |
| Payoff Ratio | 0.98 | 0.92 |
| Profit Factor | 2.07 | 2.28 |
| Common Sense Ratio | 2.52 | 4.04 |
| CPC Index | 1.39 | 1.36 |
| Tail Ratio | 1.21 | 1.77 |
| Outlier Win Ratio | 3.08 | 3.54 |
| Outlier Loss Ratio | 2.52 | 3.04 |
| MTD | -1.05% | -1.15% |
| 3M | 13.91% | 3.67% |
| 6M | 8.94% | 10.34% |
| YTD | 8.94% | 10.34% |
| 1Y | 20.92% | 26.51% |
| 3Y (ann.) | 18.77% | 8.62% |
| 5Y (ann.) | 12.51% | 4.73% |
| 10Y (ann.) | 15.13% | 8.03% |
| All-time (ann.) | 14.74% | 7.87% |
| Best Day | 12.7% | 6.96% |
| Worst Day | -12.49% | -6.41% |
| Best Month | 12.7% | 6.96% |
| Worst Month | -12.49% | -6.41% |
| Best Year | 32.31% | 16.85% |
| Worst Year | -18.18% | -1.21% |
| Avg. Drawdown | -5.74% | -2.86% |
| Avg. Drawdown Days | 66 | 118 |
| Recovery Factor | 10.98 | 13.68 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 13.13 | 10.8 |
| Avg. Up Month | 3.51% | 1.8% |
| Avg. Down Month | -3.57% | -1.96% |
| Win Days | 68.1% | 65.4% |
| Win Month | 68.1% | 65.4% |
| Win Quarter | 77.46% | 73.24% |
| Win Year | 88.89% | 94.44% |
| Beta | - | 0.16 |
| Alpha | - | 0.05 |
| Correlation | - | 32.5% |
| Treynor Ratio | - | 1699.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 12.86 | 0.49 | - |
| 2010 | 15.06 | 10.47 | 0.70 | - |
| 2011 | 1.89 | 2.78 | 1.47 | + |
| 2012 | 15.99 | 8.51 | 0.53 | - |
| 2013 | 32.31 | 12.71 | 0.39 | - |
| 2014 | 13.46 | 5.83 | 0.43 | - |
| 2015 | 1.23 | -1.21 | -0.98 | - |
| 2016 | 12.00 | 4.13 | 0.34 | - |
| 2017 | 21.71 | 12.67 | 0.58 | - |
| 2018 | -4.57 | 7.45 | -1.63 | + |
| 2019 | 31.22 | 13.25 | 0.42 | - |
| 2020 | 18.33 | 16.85 | 0.92 | - |
| 2021 | 28.73 | 7.98 | 0.28 | - |
| 2022 | -18.18 | 1.94 | -0.11 | + |
| 2023 | 26.18 | 3.17 | 0.12 | - |
| 2024 | 24.89 | 1.12 | 0.04 | - |
| 2025 | 17.72 | 9.41 | 0.53 | - |
| 2026 | 8.94 | 10.34 | 1.16 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-30 | 2025-08-31 | -10.13 | 1159 |
| 2009-01-31 | 2009-06-30 | -7.74 | 151 |
| 2015-02-28 | 2016-06-30 | -7.02 | 489 |
| 2010-05-31 | 2010-09-30 | -5.71 | 123 |
| 2011-05-31 | 2012-04-30 | -5.39 | 336 |
| 2026-03-31 | 2026-04-30 | -4.60 | 31 |
| 2016-08-31 | 2017-06-30 | -4.39 | 304 |
| 2020-09-30 | 2020-11-30 | -4.31 | 62 |
| 2021-08-31 | 2022-01-31 | -4.03 | 154 |
| 2009-10-31 | 2009-10-31 | -3.42 | 1 |