| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 395.62% |
| CAGR﹪ | 10.92% | 8.83% |
| Sharpe | 0.74 | 1.03 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.7 | 0.97 |
| Sortino | 1.14 | 1.91 |
| Smart Sortino | 1.07 | 1.79 |
| Sortino/√2 | 0.8 | 1.35 |
| Smart Sortino/√2 | 0.75 | 1.27 |
| Omega | 1.73 | 2.25 |
| Max Drawdown | -50.78% | -15.61% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2025-05-31 |
| Longest DD Days | 1553 | 1340 |
| Volatility (ann.) | 15.62% | 8.56% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.57 |
| Skew | -0.55 | 0.18 |
| Kurtosis | 0.93 | 0.67 |
| Ulcer Performance Index | 48.48 | 84.57 |
| Risk-Adjusted Return | 781.06% | 491.17% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.97% | 0.75% |
| Avg. Win | 3.66% | 2.05% |
| Avg. Loss | -3.73% | -2.14% |
| Win/Loss Ratio | 0.98 | 0.96 |
| Profit Ratio | 0.46 | 0.49 |
| Expected Daily | 0.87% | 0.71% |
| Expected Monthly | 0.87% | 0.71% |
| Expected Yearly | 10.3% | 8.33% |
| Kelly Criterion | 31.14% | 35.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -3.33% |
| Expected Shortfall (cVaR) | -9.17% | -4.33% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.73 | 1.25 |
| Gain/Pain (1M) | 0.73 | 1.25 |
| Payoff Ratio | 0.98 | 0.96 |
| Profit Factor | 1.73 | 2.25 |
| Common Sense Ratio | 1.78 | 3.46 |
| CPC Index | 1.12 | 1.48 |
| Tail Ratio | 1.03 | 1.53 |
| Outlier Win Ratio | 3.1 | 3.63 |
| Outlier Loss Ratio | 2.66 | 2.78 |
| MTD | -1.05% | -2.54% |
| 3M | 13.91% | -0.04% |
| 6M | 8.94% | 5.51% |
| YTD | 8.94% | 5.51% |
| 1Y | 20.92% | 20.2% |
| 3Y (ann.) | 18.77% | 11.7% |
| 5Y (ann.) | 12.51% | 4.26% |
| 10Y (ann.) | 15.13% | 7.78% |
| All-time (ann.) | 10.92% | 8.83% |
| Best Day | 12.7% | 8.03% |
| Worst Day | -16.52% | -5.9% |
| Best Month | 12.7% | 8.03% |
| Worst Month | -16.52% | -5.9% |
| Best Year | 32.31% | 26.54% |
| Worst Year | -36.79% | -8.33% |
| Avg. Drawdown | -6.67% | -3.37% |
| Avg. Drawdown Days | 114 | 130 |
| Recovery Factor | 4.33 | 10.73 |
| Ulcer Index | 0.13 | 0.05 |
| Serenity Index | 2.31 | 7.15 |
| Avg. Up Month | 3.66% | 2.05% |
| Avg. Down Month | -3.73% | -2.14% |
| Win Days | 65.93% | 68.28% |
| Win Month | 65.93% | 68.28% |
| Win Quarter | 72.73% | 70.13% |
| Win Year | 85.0% | 90.0% |
| Beta | - | 0.31 |
| Alpha | - | 0.05 |
| Correlation | - | 56.97% |
| Treynor Ratio | - | 1266.35% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 7.90 | 125.10 | + |
| 2008 | -36.79 | 2.01 | -0.05 | + |
| 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 | 5.51 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-05-31 | -15.61 | 1340 |
| 2007-11-30 | 2009-04-30 | -10.25 | 518 |
| 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 | -4.76 | 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 |