| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 218.90% |
| CAGR﹪ | 14.74% | 6.82% |
| Sharpe | 1.0 | 0.86 |
| Prob. Sharpe Ratio | 100.0% | 99.96% |
| Smart Sharpe | 0.89 | 0.77 |
| Sortino | 1.65 | 1.35 |
| Smart Sortino | 1.47 | 1.2 |
| Sortino/√2 | 1.17 | 0.95 |
| Smart Sortino/√2 | 1.04 | 0.85 |
| Omega | 2.07 | 1.93 |
| Max Drawdown | -23.93% | -12.04% |
| Max DD Date | 2022-09-30 | 2016-01-31 |
| Max DD Period Start | 2022-01-31 | 2014-09-30 |
| Max DD Period End | 2023-11-30 | 2017-04-30 |
| Longest DD Days | 669 | 944 |
| Volatility (ann.) | 14.92% | 8.06% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.62 | 0.57 |
| Skew | -0.37 | -0.58 |
| Kurtosis | 0.47 | 1.48 |
| Ulcer Performance Index | 181.23 | 44.04 |
| Risk-Adjusted Return | 1695.98% | 299.51% |
| Risk-Return Ratio | 0.29 | 0.25 |
| Avg. Return | 1.25% | 0.59% |
| Avg. Win | 3.66% | 1.97% |
| Avg. Loss | -3.39% | -2.36% |
| Win/Loss Ratio | 1.08 | 0.84 |
| Profit Ratio | 0.45 | 0.54 |
| Expected Daily | 1.15% | 0.55% |
| Expected Monthly | 1.15% | 0.55% |
| Expected Yearly | 14.38% | 6.65% |
| Kelly Criterion | 38.54% | 23.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.25% |
| Expected Shortfall (cVaR) | -8.19% | -5.05% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 0.93 |
| Gain/Pain (1M) | 1.07 | 0.93 |
| Payoff Ratio | 1.08 | 0.84 |
| Profit Factor | 2.07 | 1.93 |
| Common Sense Ratio | 2.52 | 2.33 |
| CPC Index | 1.52 | 1.06 |
| Tail Ratio | 1.21 | 1.2 |
| Outlier Win Ratio | 3.08 | 3.08 |
| Outlier Loss Ratio | 2.52 | 3.71 |
| MTD | -1.05% | -3.22% |
| 3M | 13.91% | 7.58% |
| 6M | 8.94% | 8.51% |
| YTD | 8.94% | 8.51% |
| 1Y | 20.92% | 20.35% |
| 3Y (ann.) | 18.77% | 13.66% |
| 5Y (ann.) | 12.51% | 7.91% |
| 10Y (ann.) | 15.13% | 8.57% |
| All-time (ann.) | 14.74% | 6.82% |
| Best Day | 12.7% | 6.93% |
| Worst Day | -12.49% | -7.65% |
| Best Month | 12.7% | 6.93% |
| Worst Month | -12.49% | -7.65% |
| Best Year | 32.31% | 26.89% |
| Worst Year | -18.18% | -10.08% |
| Avg. Drawdown | -5.74% | -3.22% |
| Avg. Drawdown Days | 66 | 122 |
| Recovery Factor | 10.98 | 10.14 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 13.13 | 5.37 |
| Avg. Up Month | 3.66% | 1.97% |
| Avg. Down Month | -3.39% | -2.36% |
| Win Days | 68.1% | 65.4% |
| Win Month | 68.1% | 65.4% |
| Win Quarter | 77.46% | 69.01% |
| Win Year | 88.89% | 77.78% |
| Beta | - | 0.29 |
| Alpha | - | 0.03 |
| Correlation | - | 53.76% |
| Treynor Ratio | - | 754.12% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 7.60 | 0.29 | - |
| 2010 | 15.06 | 1.05 | 0.07 | - |
| 2011 | 1.89 | 8.04 | 4.25 | + |
| 2012 | 15.99 | 1.62 | 0.10 | - |
| 2013 | 32.31 | 23.07 | 0.71 | - |
| 2014 | 13.46 | 5.14 | 0.38 | - |
| 2015 | 1.23 | -8.44 | -6.84 | - |
| 2016 | 12.00 | -1.43 | -0.12 | - |
| 2017 | 21.71 | 26.89 | 1.24 | + |
| 2018 | -4.57 | -4.04 | 0.88 | + |
| 2019 | 31.22 | 5.90 | 0.19 | - |
| 2020 | 18.33 | 18.73 | 1.02 | + |
| 2021 | 28.73 | 4.99 | 0.17 | - |
| 2022 | -18.18 | -10.08 | 0.55 | + |
| 2023 | 26.18 | 11.39 | 0.44 | - |
| 2024 | 24.89 | 12.42 | 0.50 | - |
| 2025 | 17.72 | 16.46 | 0.93 | - |
| 2026 | 8.94 | 8.51 | 0.95 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-09-30 | 2017-04-30 | -12.04 | 944 |
| 2022-01-31 | 2023-11-30 | -11.21 | 669 |
| 2018-02-28 | 2020-05-31 | -10.26 | 824 |
| 2026-03-31 | 2026-04-30 | -7.65 | 31 |
| 2010-05-31 | 2011-01-31 | -7.11 | 246 |
| 2014-01-31 | 2014-04-30 | -4.33 | 90 |
| 2024-04-30 | 2024-05-31 | -3.56 | 32 |
| 2025-02-28 | 2025-05-31 | -3.55 | 93 |
| 2020-09-30 | 2020-10-31 | -3.38 | 32 |
| 2013-05-31 | 2013-06-30 | -3.37 | 31 |