| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 181.01% |
| CAGR﹪ | 14.74% | 6.05% |
| Sharpe | 1.0 | 0.76 |
| Prob. Sharpe Ratio | 100.0% | 99.89% |
| Smart Sharpe | 0.9 | 0.68 |
| Sortino | 1.65 | 1.22 |
| Smart Sortino | 1.48 | 1.09 |
| Sortino/√2 | 1.17 | 0.86 |
| Smart Sortino/√2 | 1.05 | 0.77 |
| Omega | 2.07 | 1.78 |
| Max Drawdown | -23.93% | -13.33% |
| Max DD Date | 2022-09-30 | 2023-10-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-07-31 |
| Longest DD Days | 669 | 913 |
| Volatility (ann.) | 14.92% | 8.19% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.21 | -0.21 |
| Calmar | 0.62 | 0.45 |
| Skew | -0.37 | -0.37 |
| Kurtosis | 0.47 | 1.3 |
| Ulcer Performance Index | 181.23 | 38.27 |
| Risk-Adjusted Return | 1695.98% | 243.49% |
| Risk-Return Ratio | 0.29 | 0.22 |
| Avg. Return | 1.25% | 0.52% |
| Avg. Win | 3.77% | 2.03% |
| Avg. Loss | -3.95% | -2.17% |
| Win/Loss Ratio | 0.95 | 0.94 |
| Profit Ratio | 0.45 | 0.75 |
| Expected Daily | 1.15% | 0.49% |
| Expected Monthly | 1.15% | 0.49% |
| Expected Yearly | 14.38% | 5.91% |
| Kelly Criterion | 34.68% | 18.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.37% |
| Expected Shortfall (cVaR) | -8.19% | -4.9% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 1.07 | 0.78 |
| Gain/Pain (1M) | 1.07 | 0.78 |
| Payoff Ratio | 0.95 | 0.94 |
| Profit Factor | 2.07 | 1.78 |
| Common Sense Ratio | 2.52 | 2.18 |
| CPC Index | 1.35 | 1.01 |
| Tail Ratio | 1.21 | 1.22 |
| Outlier Win Ratio | 3.08 | 2.8 |
| Outlier Loss Ratio | 2.52 | 3.85 |
| MTD | -1.05% | -0.5% |
| 3M | 13.91% | -0.2% |
| 6M | 8.94% | 1.31% |
| YTD | 8.94% | 1.31% |
| 1Y | 20.92% | 13.54% |
| 3Y (ann.) | 18.77% | 11.47% |
| 5Y (ann.) | 12.51% | 5.82% |
| 10Y (ann.) | 15.13% | 5.09% |
| All-time (ann.) | 14.74% | 6.05% |
| Best Day | 12.7% | 8.46% |
| Worst Day | -12.49% | -8.41% |
| Best Month | 12.7% | 8.46% |
| Worst Month | -12.49% | -8.41% |
| Best Year | 32.31% | 21.41% |
| Worst Year | -18.18% | -9.49% |
| Avg. Drawdown | -5.74% | -3.87% |
| Avg. Drawdown Days | 66 | 149 |
| Recovery Factor | 10.98 | 8.21 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 13.13 | 5.35 |
| Avg. Up Month | 3.77% | 2.03% |
| Avg. Down Month | -3.95% | -2.17% |
| Win Days | 68.1% | 60.66% |
| Win Month | 68.1% | 60.66% |
| Win Quarter | 77.46% | 64.79% |
| Win Year | 88.89% | 77.78% |
| Beta | - | 0.33 |
| Alpha | - | 0.01 |
| Correlation | - | 59.93% |
| Treynor Ratio | - | 550.33% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 3.87 | 0.15 | - |
| 2010 | 15.06 | 19.34 | 1.28 | + |
| 2011 | 1.89 | 5.67 | 2.99 | + |
| 2012 | 15.99 | 9.59 | 0.60 | - |
| 2013 | 32.31 | 4.11 | 0.13 | - |
| 2014 | 13.46 | 13.54 | 1.01 | + |
| 2015 | 1.23 | -2.13 | -1.73 | - |
| 2016 | 12.00 | -1.28 | -0.11 | - |
| 2017 | 21.71 | 12.50 | 0.58 | - |
| 2018 | -4.57 | -6.38 | 1.40 | - |
| 2019 | 31.22 | 14.01 | 0.45 | - |
| 2020 | 18.33 | 2.77 | 0.15 | - |
| 2021 | 28.73 | 9.31 | 0.32 | - |
| 2022 | -18.18 | -9.49 | 0.52 | + |
| 2023 | 26.18 | 0.77 | 0.03 | - |
| 2024 | 24.89 | 13.26 | 0.53 | - |
| 2025 | 17.72 | 21.41 | 1.21 | + |
| 2026 | 8.94 | 1.31 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -13.33 | 913 |
| 2011-05-31 | 2012-01-31 | -9.10 | 246 |
| 2020-02-29 | 2020-11-30 | -8.67 | 276 |
| 2013-05-31 | 2014-03-31 | -8.44 | 305 |
| 2015-02-28 | 2017-03-31 | -8.14 | 763 |
| 2009-01-31 | 2009-10-31 | -6.95 | 274 |
| 2026-03-31 | 2026-07-31 | -6.71 | 123 |
| 2018-01-31 | 2019-05-31 | -6.46 | 486 |
| 2010-05-31 | 2010-08-31 | -5.28 | 93 |
| 2010-01-31 | 2010-02-28 | -3.40 | 29 |