| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 675.24% | 406.52% |
| CAGR﹪ | 11.76% | 9.21% |
| Sharpe | 0.79 | 1.24 |
| Prob. Sharpe Ratio | 99.93% | 100.0% |
| Smart Sharpe | 0.69 | 1.08 |
| Sortino | 1.21 | 2.58 |
| Smart Sortino | 1.06 | 2.25 |
| Sortino/√2 | 0.86 | 1.82 |
| Smart Sortino/√2 | 0.75 | 1.59 |
| Omega | 1.79 | 2.68 |
| Max Drawdown | -46.32% | -7.83% |
| Max DD Date | 2009-02-28 | 2009-04-30 |
| Max DD Period Start | 2008-06-30 | 2009-03-31 |
| Max DD Period End | 2011-01-31 | 2009-06-30 |
| Longest DD Days | 946 | 550 |
| Volatility (ann.) | 15.66% | 7.35% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.25 | 1.18 |
| Skew | -0.58 | 0.41 |
| Kurtosis | 1.0 | 1.15 |
| Ulcer Performance Index | 63.92 | 187.02 |
| Risk-Adjusted Return | 933.23% | 535.96% |
| Risk-Return Ratio | 0.23 | 0.36 |
| Avg. Return | 1.04% | 0.76% |
| Avg. Win | 3.36% | 1.92% |
| Avg. Loss | -2.83% | -1.5% |
| Win/Loss Ratio | 1.19 | 1.28 |
| Profit Ratio | 0.44 | 0.8 |
| Expected Daily | 0.93% | 0.74% |
| Expected Monthly | 0.93% | 0.74% |
| Expected Yearly | 11.38% | 8.91% |
| Kelly Criterion | 38.9% | 37.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.4% | -2.73% |
| Expected Shortfall (cVaR) | -9.17% | -3.71% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.79 | 1.68 |
| Gain/Pain (1M) | 0.79 | 1.68 |
| Payoff Ratio | 1.19 | 1.28 |
| Profit Factor | 1.79 | 2.68 |
| Common Sense Ratio | 1.81 | 4.8 |
| CPC Index | 1.42 | 2.23 |
| Tail Ratio | 1.01 | 1.79 |
| Outlier Win Ratio | 3.1 | 3.75 |
| Outlier Loss Ratio | 2.66 | 2.94 |
| MTD | -1.05% | -0.96% |
| 3M | 13.91% | 1.81% |
| 6M | 8.94% | 6.93% |
| YTD | 8.94% | 6.93% |
| 1Y | 20.92% | 15.97% |
| 3Y (ann.) | 18.77% | 11.26% |
| 5Y (ann.) | 12.51% | 8.77% |
| 10Y (ann.) | 15.13% | 9.16% |
| All-time (ann.) | 11.76% | 9.21% |
| Best Day | 12.7% | 7.51% |
| Worst Day | -16.52% | -6.31% |
| Best Month | 12.7% | 7.51% |
| Worst Month | -16.52% | -6.31% |
| Best Year | 32.31% | 19.24% |
| Worst Year | -30.94% | -1.77% |
| Avg. Drawdown | -6.65% | -2.15% |
| Avg. Drawdown Days | 95 | 71 |
| Recovery Factor | 4.93 | 21.43 |
| Ulcer Index | 0.11 | 0.02 |
| Serenity Index | 3.17 | 31.32 |
| Avg. Up Month | 3.36% | 1.92% |
| Avg. Down Month | -2.83% | -1.5% |
| Win Days | 66.82% | 64.71% |
| Win Month | 66.82% | 64.71% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.07 |
| Alpha | - | 0.08 |
| Correlation | - | 15.05% |
| Treynor Ratio | - | 5758.23% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -30.94 | 10.18 | -0.33 | + |
| 2009 | 26.35 | 14.35 | 0.54 | - |
| 2010 | 15.06 | 10.30 | 0.68 | - |
| 2011 | 1.89 | 12.90 | 6.81 | + |
| 2012 | 15.99 | -0.48 | -0.03 | - |
| 2013 | 32.31 | 19.06 | 0.59 | - |
| 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 | 12.41 | 0.50 | - |
| 2025 | 17.72 | 13.99 | 0.79 | - |
| 2026 | 8.94 | 6.93 | 0.78 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-03-31 | 2009-06-30 | -7.83 | 92 |
| 2022-07-31 | 2024-01-31 | -6.63 | 550 |
| 2020-09-30 | 2020-10-31 | -6.28 | 32 |
| 2011-09-30 | 2013-02-28 | -5.69 | 518 |
| 2009-12-31 | 2010-02-28 | -4.77 | 60 |
| 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 |
| 2008-07-31 | 2008-09-30 | -3.48 | 62 |
| 2016-07-31 | 2017-01-31 | -3.16 | 185 |