| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 387.76% |
| CAGR﹪ | 14.19% | 9.34% |
| Sharpe | 0.97 | 1.1 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.91 | 1.04 |
| Sortino | 1.58 | 2.06 |
| Smart Sortino | 1.49 | 1.94 |
| Sortino/√2 | 1.12 | 1.46 |
| Smart Sortino/√2 | 1.05 | 1.37 |
| Omega | 2.02 | 2.39 |
| Max Drawdown | -23.93% | -15.61% |
| Max DD Date | 2022-09-30 | 2023-02-28 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2025-05-31 |
| Longest DD Days | 669 | 1340 |
| Volatility (ann.) | 14.97% | 8.43% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.59 | 0.6 |
| Skew | -0.37 | 0.16 |
| Kurtosis | 0.43 | 0.79 |
| Ulcer Performance Index | 162.39 | 84.04 |
| Risk-Adjusted Return | 1523.54% | 551.95% |
| Risk-Return Ratio | 0.28 | 0.32 |
| Avg. Return | 1.21% | 0.79% |
| Avg. Win | 3.7% | 2.01% |
| Avg. Loss | -3.59% | -2.11% |
| Win/Loss Ratio | 1.03 | 0.95 |
| Profit Ratio | 0.44 | 0.46 |
| Expected Daily | 1.11% | 0.75% |
| Expected Monthly | 1.11% | 0.75% |
| Expected Yearly | 13.2% | 8.7% |
| Kelly Criterion | 36.86% | 37.4% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -3.23% |
| Expected Shortfall (cVaR) | -8.11% | -4.32% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 1.02 | 1.39 |
| Gain/Pain (1M) | 1.02 | 1.39 |
| Payoff Ratio | 1.03 | 0.95 |
| Profit Factor | 2.02 | 2.39 |
| Common Sense Ratio | 2.35 | 3.59 |
| CPC Index | 1.42 | 1.58 |
| Tail Ratio | 1.16 | 1.5 |
| Outlier Win Ratio | 3.09 | 3.67 |
| Outlier Loss Ratio | 2.49 | 2.86 |
| MTD | -1.05% | -2.28% |
| 3M | 13.91% | 0.23% |
| 6M | 8.94% | 5.79% |
| YTD | 8.94% | 5.79% |
| 1Y | 20.92% | 20.52% |
| 3Y (ann.) | 18.77% | 11.8% |
| 5Y (ann.) | 12.51% | 4.32% |
| 10Y (ann.) | 15.13% | 7.81% |
| All-time (ann.) | 14.19% | 9.34% |
| Best Day | 12.7% | 8.03% |
| Worst Day | -12.49% | -5.9% |
| Best Month | 12.7% | 8.03% |
| Worst Month | -12.49% | -5.9% |
| Best Year | 32.31% | 26.54% |
| Worst Year | -18.18% | -8.33% |
| Avg. Drawdown | -6.07% | -3.33% |
| Avg. Drawdown Days | 72 | 115 |
| Recovery Factor | 10.73 | 10.59 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 11.83 | 7.08 |
| Avg. Up Month | 3.7% | 2.01% |
| Avg. Down Month | -3.59% | -2.11% |
| Win Days | 67.92% | 69.48% |
| Win Month | 67.92% | 69.48% |
| Win Quarter | 76.39% | 72.22% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.33 |
| Alpha | - | 0.05 |
| Correlation | - | 57.95% |
| Treynor Ratio | - | 1188.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 8.04 | -1.33 | + |
| 2009 | 26.35 | 26.54 | 1.01 | + |
| 2010 | 15.06 | 18.56 | 1.23 | + |
| 2011 | 1.89 | 3.60 | 1.90 | + |
| 2012 | 15.99 | 12.08 | 0.76 | - |
| 2013 | 32.31 | 10.39 | 0.32 | - |
| 2014 | 13.46 | 4.89 | 0.36 | - |
| 2015 | 1.23 | -0.82 | -0.66 | - |
| 2016 | 12.00 | 5.88 | 0.49 | - |
| 2017 | 21.71 | 15.63 | 0.72 | - |
| 2018 | -4.57 | 1.24 | -0.27 | + |
| 2019 | 31.22 | 13.30 | 0.43 | - |
| 2020 | 18.33 | 19.22 | 1.05 | + |
| 2021 | 28.73 | 5.33 | 0.19 | - |
| 2022 | -18.18 | -8.33 | 0.46 | + |
| 2023 | 26.18 | 5.33 | 0.20 | - |
| 2024 | 24.89 | 3.18 | 0.13 | - |
| 2025 | 17.72 | 21.42 | 1.21 | + |
| 2026 | 8.94 | 5.79 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-05-31 | -15.61 | 1340 |
| 2009-01-31 | 2009-04-30 | -9.26 | 90 |
| 2015-02-28 | 2016-03-31 | -6.37 | 398 |
| 2010-05-31 | 2010-09-30 | -5.93 | 123 |
| 2019-05-31 | 2019-07-31 | -5.90 | 62 |
| 2018-09-30 | 2019-02-28 | -5.11 | 152 |
| 2026-03-31 | 2026-07-31 | -4.73 | 123 |
| 2011-05-31 | 2011-12-31 | -4.24 | 215 |
| 2020-01-31 | 2020-04-30 | -4.22 | 91 |
| 2014-09-30 | 2014-12-31 | -3.92 | 93 |