| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 687.18% | 3,605.13% |
| CAGR﹪ | 14.83% | 27.4% |
| Sharpe | 1.05 | 1.59 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.98 | 1.48 |
| Sortino | 1.74 | 4.46 |
| Smart Sortino | 1.63 | 4.16 |
| Sortino/√2 | 1.23 | 3.15 |
| Smart Sortino/√2 | 1.15 | 2.94 |
| Omega | 2.16 | 4.0 |
| Max Drawdown | -23.93% | -12.48% |
| Max DD Date | 2022-09-30 | 2022-08-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2023-03-31 |
| Longest DD Days | 669 | 425 |
| Volatility (ann.) | 14.24% | 16.2% |
| R^2 | 0.05 | 0.05 |
| Information Ratio | 0.16 | 0.16 |
| Calmar | 0.62 | 2.2 |
| Skew | -0.35 | 1.84 |
| Kurtosis | 0.77 | 8.49 |
| Ulcer Performance Index | 126.59 | 1076.5 |
| Risk-Adjusted Return | 1726.04% | 16065.69% |
| Risk-Return Ratio | 0.3 | 0.46 |
| Avg. Return | 1.24% | 2.14% |
| Avg. Win | 3.6% | 3.57% |
| Avg. Loss | -3.3% | -3.13% |
| Win/Loss Ratio | 1.09 | 1.14 |
| Profit Ratio | 0.42 | 0.63 |
| Expected Daily | 1.16% | 2.04% |
| Expected Monthly | 1.16% | 2.04% |
| Expected Yearly | 13.76% | 25.33% |
| Kelly Criterion | 41.13% | 46.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.52% | -5.55% |
| Expected Shortfall (cVaR) | -7.63% | -7.26% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 1.16 | 3.0 |
| Gain/Pain (1M) | 1.16 | 3.0 |
| Payoff Ratio | 1.09 | 1.14 |
| Profit Factor | 2.16 | 4.0 |
| Common Sense Ratio | 2.51 | 8.89 |
| CPC Index | 1.63 | 3.26 |
| Tail Ratio | 1.16 | 2.23 |
| Outlier Win Ratio | 3.26 | 4.23 |
| Outlier Loss Ratio | 2.55 | 2.35 |
| MTD | -1.05% | -4.48% |
| 3M | 13.91% | 6.31% |
| 6M | 8.94% | 15.16% |
| YTD | 8.94% | 15.16% |
| 1Y | 20.92% | 33.53% |
| 3Y (ann.) | 18.77% | 35.23% |
| 5Y (ann.) | 12.51% | 24.75% |
| 10Y (ann.) | 15.13% | 32.73% |
| All-time (ann.) | 14.83% | 27.4% |
| Best Day | 12.7% | 28.59% |
| Worst Day | -12.49% | -9.91% |
| Best Month | 12.7% | 28.59% |
| Worst Month | -12.49% | -9.91% |
| Best Year | 32.31% | 113.57% |
| Worst Year | -18.18% | -5.05% |
| Avg. Drawdown | -5.0% | -3.83% |
| Avg. Drawdown Days | 59 | 54 |
| Recovery Factor | 9.3 | 30.7 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | 10.92 | 59.52 |
| Avg. Up Month | 3.6% | 3.57% |
| Avg. Down Month | -3.3% | -3.13% |
| Win Days | 69.27% | 71.51% |
| Win Month | 69.27% | 71.51% |
| Win Quarter | 77.05% | 78.69% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.26 |
| Alpha | - | 0.22 |
| Correlation | - | 22.86% |
| Treynor Ratio | - | 13867.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2011 | 3.87 | -1.48 | -0.38 | - |
| 2012 | 15.99 | 25.90 | 1.62 | + |
| 2013 | 32.31 | 11.75 | 0.36 | - |
| 2014 | 13.46 | 31.80 | 2.36 | + |
| 2015 | 1.23 | 0.14 | 0.12 | - |
| 2016 | 12.00 | 17.68 | 1.47 | + |
| 2017 | 21.71 | 34.10 | 1.57 | + |
| 2018 | -4.57 | 25.59 | -5.60 | + |
| 2019 | 31.22 | 39.40 | 1.26 | + |
| 2020 | 18.33 | 113.57 | 6.20 | + |
| 2021 | 28.73 | 25.26 | 0.88 | - |
| 2022 | -18.18 | -5.05 | 0.28 | + |
| 2023 | 26.18 | 21.24 | 0.81 | - |
| 2024 | 24.89 | 21.02 | 0.84 | - |
| 2025 | 17.72 | 70.79 | 3.99 | + |
| 2026 | 8.94 | 15.16 | 1.70 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-03-31 | -12.48 | 425 |
| 2023-08-31 | 2023-11-30 | -10.25 | 92 |
| 2013-05-31 | 2013-09-30 | -7.20 | 123 |
| 2026-06-30 | 2026-07-31 | -6.80 | 32 |
| 2018-02-28 | 2018-07-31 | -6.78 | 154 |
| 2015-03-31 | 2015-12-31 | -6.16 | 276 |
| 2021-09-30 | 2021-09-30 | -5.87 | 1 |
| 2016-08-31 | 2016-12-31 | -5.19 | 123 |
| 2012-10-31 | 2012-10-31 | -4.99 | 1 |
| 2021-01-31 | 2021-03-31 | -4.05 | 60 |