| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 479.43% |
| CAGR﹪ | 14.74% | 10.51% |
| Sharpe | 1.0 | 1.16 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.9 | 1.05 |
| Sortino | 1.65 | 2.17 |
| Smart Sortino | 1.49 | 1.96 |
| Sortino/√2 | 1.17 | 1.54 |
| Smart Sortino/√2 | 1.05 | 1.38 |
| Omega | 2.07 | 2.35 |
| Max Drawdown | -23.93% | -8.07% |
| Max DD Date | 2022-09-30 | 2015-09-30 |
| Max DD Period Start | 2022-01-31 | 2015-02-28 |
| Max DD Period End | 2023-11-30 | 2016-05-31 |
| Longest DD Days | 669 | 732 |
| Volatility (ann.) | 14.92% | 8.98% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.62 | 1.3 |
| Skew | -0.37 | 0.02 |
| Kurtosis | 0.47 | 0.24 |
| Ulcer Performance Index | 181.23 | 155.69 |
| Risk-Adjusted Return | 1695.98% | 715.19% |
| Risk-Return Ratio | 0.29 | 0.34 |
| Avg. Return | 1.25% | 0.87% |
| Avg. Win | 3.82% | 2.39% |
| Avg. Loss | -3.66% | -2.44% |
| Win/Loss Ratio | 1.04 | 0.98 |
| Profit Ratio | 0.45 | 0.68 |
| Expected Daily | 1.15% | 0.84% |
| Expected Monthly | 1.15% | 0.84% |
| Expected Yearly | 14.38% | 10.25% |
| Kelly Criterion | 37.51% | 29.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.39% |
| Expected Shortfall (cVaR) | -8.19% | -4.39% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.35 |
| Gain/Pain (1M) | 1.07 | 1.35 |
| Payoff Ratio | 1.04 | 0.98 |
| Profit Factor | 2.07 | 2.35 |
| Common Sense Ratio | 2.52 | 3.47 |
| CPC Index | 1.47 | 1.49 |
| Tail Ratio | 1.21 | 1.48 |
| Outlier Win Ratio | 3.08 | 3.09 |
| Outlier Loss Ratio | 2.52 | 2.52 |
| MTD | -1.05% | 4.73% |
| 3M | 13.91% | -0.56% |
| 6M | 8.94% | 10.6% |
| YTD | 8.94% | 10.6% |
| 1Y | 20.92% | 29.62% |
| 3Y (ann.) | 18.77% | 20.08% |
| 5Y (ann.) | 12.51% | 15.89% |
| 10Y (ann.) | 15.13% | 12.19% |
| All-time (ann.) | 14.74% | 10.51% |
| Best Day | 12.7% | 8.29% |
| Worst Day | -12.49% | -7.1% |
| Best Month | 12.7% | 8.29% |
| Worst Month | -12.49% | -7.1% |
| Best Year | 32.31% | 33.44% |
| Worst Year | -18.18% | -3.36% |
| Avg. Drawdown | -5.74% | -3.55% |
| Avg. Drawdown Days | 66 | 112 |
| Recovery Factor | 10.98 | 22.73 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 13.13 | 22.43 |
| Avg. Up Month | 3.82% | 2.39% |
| Avg. Down Month | -3.66% | -2.44% |
| Win Days | 68.1% | 64.93% |
| Win Month | 68.1% | 64.93% |
| Win Quarter | 77.46% | 70.42% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.23 |
| Alpha | - | 0.07 |
| Correlation | - | 38.11% |
| Treynor Ratio | - | 2090.83% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 9.06 | 0.34 | - |
| 2010 | 15.06 | 12.88 | 0.86 | - |
| 2011 | 1.89 | 12.74 | 6.72 | + |
| 2012 | 15.99 | -2.24 | -0.14 | - |
| 2013 | 32.31 | 16.00 | 0.50 | - |
| 2014 | 13.46 | 8.73 | 0.65 | - |
| 2015 | 1.23 | -3.13 | -2.54 | - |
| 2016 | 12.00 | 7.54 | 0.63 | - |
| 2017 | 21.71 | 4.70 | 0.22 | - |
| 2018 | -4.57 | -3.36 | 0.74 | + |
| 2019 | 31.22 | 11.53 | 0.37 | - |
| 2020 | 18.33 | 19.55 | 1.07 | + |
| 2021 | 28.73 | 21.15 | 0.74 | - |
| 2022 | -18.18 | 8.25 | -0.45 | + |
| 2023 | 26.18 | 6.58 | 0.25 | - |
| 2024 | 24.89 | 16.78 | 0.67 | - |
| 2025 | 17.72 | 33.44 | 1.89 | + |
| 2026 | 8.94 | 10.60 | 1.19 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2016-05-31 | -8.07 | 459 |
| 2026-05-31 | 2026-07-31 | -7.89 | 62 |
| 2018-10-31 | 2019-07-31 | -7.86 | 274 |
| 2009-12-31 | 2010-03-31 | -7.82 | 91 |
| 2009-01-31 | 2009-07-31 | -7.49 | 182 |
| 2011-09-30 | 2013-09-30 | -7.18 | 732 |
| 2022-06-30 | 2022-12-31 | -6.68 | 185 |
| 2023-08-31 | 2023-11-30 | -5.45 | 92 |
| 2020-09-30 | 2020-11-30 | -5.03 | 62 |
| 2011-05-31 | 2011-07-31 | -4.95 | 62 |