| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 360.11% | 209.76% |
| CAGR﹪ | 15.13% | 11.0% |
| Sharpe | 1.01 | 1.12 |
| Prob. Sharpe Ratio | 99.92% | 99.99% |
| Smart Sharpe | 1.0 | 1.12 |
| Sortino | 1.66 | 2.07 |
| Smart Sortino | 1.65 | 2.06 |
| Sortino/√2 | 1.18 | 1.46 |
| Smart Sortino/√2 | 1.17 | 1.46 |
| Omega | 2.1 | 2.35 |
| Max Drawdown | -23.93% | -14.82% |
| Max DD Date | 2022-09-30 | 2022-10-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-01-31 |
| Longest DD Days | 669 | 731 |
| Volatility (ann.) | 15.17% | 9.74% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.63 | 0.74 |
| Skew | -0.39 | 0.27 |
| Kurtosis | 0.6 | 1.68 |
| Ulcer Performance Index | 58.01 | 48.77 |
| Risk-Adjusted Return | 1827.2% | 795.0% |
| Risk-Return Ratio | 0.29 | 0.32 |
| Avg. Return | 1.28% | 0.91% |
| Avg. Win | 3.64% | 2.44% |
| Avg. Loss | -4.6% | -2.99% |
| Win/Loss Ratio | 0.79 | 0.82 |
| Profit Ratio | 0.39 | 0.43 |
| Expected Daily | 1.18% | 0.87% |
| Expected Monthly | 1.18% | 0.87% |
| Expected Yearly | 13.56% | 9.88% |
| Kelly Criterion | 32.18% | 33.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -3.71% |
| Expected Shortfall (cVaR) | -8.6% | -4.68% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 1.1 | 1.35 |
| Gain/Pain (1M) | 1.1 | 1.35 |
| Payoff Ratio | 0.79 | 0.82 |
| Profit Factor | 2.1 | 2.35 |
| Common Sense Ratio | 2.55 | 3.35 |
| CPC Index | 1.17 | 1.34 |
| Tail Ratio | 1.21 | 1.42 |
| Outlier Win Ratio | 3.1 | 3.14 |
| Outlier Loss Ratio | 2.37 | 2.35 |
| MTD | -1.05% | -0.86% |
| 3M | 13.91% | 1.41% |
| 6M | 8.94% | 1.59% |
| YTD | 8.94% | 1.59% |
| 1Y | 20.92% | 18.04% |
| 3Y (ann.) | 18.77% | 17.28% |
| 5Y (ann.) | 12.51% | 9.95% |
| 10Y (ann.) | 15.13% | 11.37% |
| All-time (ann.) | 15.13% | 11.0% |
| Best Day | 12.7% | 12.45% |
| Worst Day | -12.49% | -5.93% |
| Best Month | 12.7% | 12.45% |
| Worst Month | -12.49% | -5.93% |
| Best Year | 31.22% | 27.8% |
| Worst Year | -18.18% | -13.54% |
| Avg. Drawdown | -6.39% | -3.88% |
| Avg. Drawdown Days | 79 | 100 |
| Recovery Factor | 6.93 | 8.0 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 7.42 | 7.08 |
| Avg. Up Month | 3.64% | 2.44% |
| Avg. Down Month | -4.6% | -2.99% |
| Win Days | 70.0% | 70.0% |
| Win Month | 70.0% | 70.0% |
| Win Quarter | 77.27% | 75.0% |
| Win Year | 83.33% | 83.33% |
| Beta | - | 0.48 |
| Alpha | - | 0.04 |
| Correlation | - | 75.31% |
| Treynor Ratio | - | 433.65% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | 7.02 | -0.07 | -0.01 | - |
| 2016 | 12.00 | 6.21 | 0.52 | - |
| 2017 | 21.71 | 8.88 | 0.41 | - |
| 2018 | -4.57 | 2.33 | -0.51 | + |
| 2019 | 31.22 | 19.15 | 0.61 | - |
| 2020 | 18.33 | 27.80 | 1.52 | + |
| 2021 | 28.73 | 8.93 | 0.31 | - |
| 2022 | -18.18 | -13.54 | 0.75 | + |
| 2023 | 26.18 | 13.38 | 0.51 | - |
| 2024 | 24.89 | 24.29 | 0.98 | - |
| 2025 | 17.72 | 27.59 | 1.56 | + |
| 2026 | 8.94 | 1.59 | 0.18 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -14.82 | 731 |
| 2020-02-29 | 2020-05-31 | -9.49 | 93 |
| 2015-12-31 | 2016-04-30 | -6.69 | 122 |
| 2018-09-30 | 2019-03-31 | -6.34 | 183 |
| 2020-09-30 | 2020-10-31 | -4.13 | 32 |
| 2018-02-28 | 2018-07-31 | -4.03 | 154 |
| 2016-08-31 | 2017-01-31 | -3.96 | 154 |
| 2019-05-31 | 2019-05-31 | -3.35 | 1 |
| 2021-09-30 | 2021-11-30 | -3.14 | 62 |
| 2024-12-31 | 2024-12-31 | -2.62 | 1 |