| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 445.8% | 200.89% |
| CAGR﹪ | 14.14% | 8.96% |
| Sharpe | 0.99 | 1.37 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.93 | 1.29 |
| Sortino | 1.63 | 2.94 |
| Smart Sortino | 1.54 | 2.78 |
| Sortino/√2 | 1.15 | 2.08 |
| Smart Sortino/√2 | 1.09 | 1.96 |
| Omega | 2.07 | 2.96 |
| Max Drawdown | -23.93% | -6.63% |
| Max DD Date | 2022-09-30 | 2023-05-31 |
| Max DD Period Start | 2022-01-31 | 2022-07-31 |
| Max DD Period End | 2023-11-30 | 2024-01-31 |
| Longest DD Days | 669 | 550 |
| Volatility (ann.) | 14.49% | 6.44% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.59 | 1.35 |
| Skew | -0.36 | 0.4 |
| Kurtosis | 0.71 | 1.09 |
| Ulcer Performance Index | 77.02 | 109.13 |
| Risk-Adjusted Return | 1507.17% | 506.54% |
| Risk-Return Ratio | 0.29 | 0.4 |
| Avg. Return | 1.2% | 0.73% |
| Avg. Win | 3.35% | 1.74% |
| Avg. Loss | -2.95% | -1.46% |
| Win/Loss Ratio | 1.14 | 1.19 |
| Profit Ratio | 0.42 | 0.82 |
| Expected Daily | 1.11% | 0.72% |
| Expected Monthly | 1.11% | 0.72% |
| Expected Yearly | 12.89% | 8.19% |
| Kelly Criterion | 41.37% | 36.66% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.68% | -2.32% |
| Expected Shortfall (cVaR) | -8.06% | -3.34% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 1.07 | 1.96 |
| Gain/Pain (1M) | 1.07 | 1.96 |
| Payoff Ratio | 1.14 | 1.19 |
| Profit Factor | 2.07 | 2.96 |
| Common Sense Ratio | 2.46 | 5.39 |
| CPC Index | 1.62 | 2.31 |
| Tail Ratio | 1.19 | 1.82 |
| Outlier Win Ratio | 3.18 | 3.21 |
| Outlier Loss Ratio | 2.52 | 3.37 |
| MTD | -1.05% | -0.83% |
| 3M | 13.91% | 1.94% |
| 6M | 8.94% | 7.07% |
| YTD | 8.94% | 7.07% |
| 1Y | 20.92% | 16.13% |
| 3Y (ann.) | 18.77% | 11.24% |
| 5Y (ann.) | 12.51% | 8.76% |
| 10Y (ann.) | 15.13% | 9.16% |
| All-time (ann.) | 14.14% | 8.96% |
| Best Day | 12.7% | 7.51% |
| Worst Day | -12.49% | -4.11% |
| Best Month | 12.7% | 7.51% |
| Worst Month | -12.49% | -4.11% |
| Best Year | 31.22% | 19.24% |
| Worst Year | -18.18% | -1.77% |
| Avg. Drawdown | -5.41% | -1.72% |
| Avg. Drawdown Days | 67 | 62 |
| Recovery Factor | 7.69 | 17.07 |
| Ulcer Index | 0.06 | 0.02 |
| Serenity Index | 8.43 | 22.93 |
| Avg. Up Month | 3.35% | 1.74% |
| Avg. Down Month | -2.95% | -1.46% |
| Win Days | 68.83% | 65.58% |
| Win Month | 68.83% | 65.58% |
| Win Quarter | 78.85% | 78.85% |
| Win Year | 85.71% | 92.86% |
| Beta | - | 0.14 |
| Alpha | - | 0.07 |
| Correlation | - | 32.32% |
| Treynor Ratio | - | 1398.93% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2013 | 10.52 | 10.50 | 1.00 | - |
| 2014 | 13.46 | 7.26 | 0.54 | - |
| 2015 | 1.23 | -1.77 | -1.43 | - |
| 2016 | 12.00 | 6.19 | 0.52 | - |
| 2017 | 21.71 | 12.96 | 0.60 | - |
| 2018 | -4.57 | 2.57 | -0.56 | + |
| 2019 | 31.22 | 7.10 | 0.23 | - |
| 2020 | 18.33 | 13.69 | 0.75 | - |
| 2021 | 28.73 | 19.24 | 0.67 | - |
| 2022 | -18.18 | 3.77 | -0.21 | + |
| 2023 | 26.18 | 1.82 | 0.07 | - |
| 2024 | 24.89 | 12.20 | 0.49 | - |
| 2025 | 17.72 | 13.99 | 0.79 | - |
| 2026 | 8.94 | 7.07 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-07-31 | 2024-01-31 | -6.63 | 550 |
| 2020-09-30 | 2020-10-31 | -6.28 | 32 |
| 2015-08-31 | 2016-05-31 | -4.75 | 275 |
| 2018-02-28 | 2018-07-31 | -3.94 | 154 |
| 2014-01-31 | 2014-04-30 | -3.52 | 90 |
| 2016-07-31 | 2017-01-31 | -3.16 | 185 |
| 2014-07-31 | 2014-08-31 | -2.17 | 32 |
| 2018-10-31 | 2019-02-28 | -2.12 | 121 |
| 2015-06-30 | 2015-06-30 | -1.95 | 1 |
| 2025-04-30 | 2025-05-31 | -1.78 | 32 |