| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 191.15% |
| CAGR﹪ | 14.74% | 6.27% |
| Sharpe | 1.0 | 1.09 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.9 | 0.98 |
| Sortino | 1.65 | 1.83 |
| Smart Sortino | 1.48 | 1.64 |
| Sortino/√2 | 1.17 | 1.3 |
| Smart Sortino/√2 | 1.05 | 1.16 |
| Omega | 2.07 | 2.28 |
| Max Drawdown | -23.93% | -8.08% |
| Max DD Date | 2022-09-30 | 2022-04-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2023-10-31 |
| Longest DD Days | 669 | 732 |
| Volatility (ann.) | 14.92% | 5.72% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 0.62 | 0.78 |
| Skew | -0.37 | -0.35 |
| Kurtosis | 0.47 | 1.71 |
| Ulcer Performance Index | 181.23 | 69.97 |
| Risk-Adjusted Return | 1695.98% | 258.35% |
| Risk-Return Ratio | 0.29 | 0.32 |
| Avg. Return | 1.25% | 0.53% |
| Avg. Win | 3.75% | 1.41% |
| Avg. Loss | -3.35% | -1.51% |
| Win/Loss Ratio | 1.12 | 0.94 |
| Profit Ratio | 0.45 | 0.54 |
| Expected Daily | 1.15% | 0.51% |
| Expected Monthly | 1.15% | 0.51% |
| Expected Yearly | 14.38% | 6.12% |
| Kelly Criterion | 39.58% | 32.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -2.19% |
| Expected Shortfall (cVaR) | -8.19% | -3.49% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.28 |
| Gain/Pain (1M) | 1.07 | 1.28 |
| Payoff Ratio | 1.12 | 0.94 |
| Profit Factor | 2.07 | 2.28 |
| Common Sense Ratio | 2.52 | 2.82 |
| CPC Index | 1.58 | 1.44 |
| Tail Ratio | 1.21 | 1.24 |
| Outlier Win Ratio | 3.08 | 3.05 |
| Outlier Loss Ratio | 2.52 | 3.44 |
| MTD | -1.05% | -1.61% |
| 3M | 13.91% | 3.89% |
| 6M | 8.94% | 7.62% |
| YTD | 8.94% | 7.62% |
| 1Y | 20.92% | 15.14% |
| 3Y (ann.) | 18.77% | 10.8% |
| 5Y (ann.) | 12.51% | 6.26% |
| 10Y (ann.) | 15.13% | 7.3% |
| All-time (ann.) | 14.74% | 6.27% |
| Best Day | 12.7% | 6.93% |
| Worst Day | -12.49% | -5.19% |
| Best Month | 12.7% | 6.93% |
| Worst Month | -12.49% | -5.19% |
| Best Year | 32.31% | 20.52% |
| Worst Year | -18.18% | -6.81% |
| Avg. Drawdown | -5.74% | -1.8% |
| Avg. Drawdown Days | 66 | 72 |
| Recovery Factor | 10.98 | 13.61 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 13.13 | 9.78 |
| Avg. Up Month | 3.75% | 1.41% |
| Avg. Down Month | -3.35% | -1.51% |
| Win Days | 68.1% | 67.3% |
| Win Month | 68.1% | 67.3% |
| Win Quarter | 77.46% | 74.65% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.18 |
| Alpha | - | 0.04 |
| Correlation | - | 46.26% |
| Treynor Ratio | - | 1077.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 4.03 | 0.15 | - |
| 2010 | 15.06 | 4.45 | 0.30 | - |
| 2011 | 1.89 | 8.01 | 4.22 | + |
| 2012 | 15.99 | 3.37 | 0.21 | - |
| 2013 | 32.31 | 11.66 | 0.36 | - |
| 2014 | 13.46 | 7.05 | 0.52 | - |
| 2015 | 1.23 | -3.74 | -3.03 | - |
| 2016 | 12.00 | 1.27 | 0.11 | - |
| 2017 | 21.71 | 20.52 | 0.95 | - |
| 2018 | -4.57 | -0.26 | 0.06 | + |
| 2019 | 31.22 | 8.76 | 0.28 | - |
| 2020 | 18.33 | 17.32 | 0.94 | - |
| 2021 | 28.73 | 0.20 | 0.01 | - |
| 2022 | -18.18 | -6.81 | 0.37 | + |
| 2023 | 26.18 | 9.51 | 0.36 | - |
| 2024 | 24.89 | 9.11 | 0.37 | - |
| 2025 | 17.72 | 11.84 | 0.67 | - |
| 2026 | 8.94 | 7.62 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-10-31 | -8.08 | 639 |
| 2018-02-28 | 2019-07-31 | -6.73 | 519 |
| 2015-02-28 | 2017-02-28 | -5.41 | 732 |
| 2026-03-31 | 2026-05-31 | -5.19 | 62 |
| 2013-05-31 | 2013-09-30 | -4.70 | 123 |
| 2020-09-30 | 2020-10-31 | -2.87 | 32 |
| 2025-02-28 | 2025-04-30 | -2.82 | 62 |
| 2011-03-31 | 2011-04-30 | -2.74 | 31 |
| 2010-05-31 | 2010-06-30 | -2.68 | 31 |
| 2014-01-31 | 2014-01-31 | -2.38 | 1 |