| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 484.14% |
| CAGR﹪ | 11.13% | 9.15% |
| Sharpe | 0.77 | 0.83 |
| Prob. Sharpe Ratio | 99.95% | 99.99% |
| Smart Sharpe | 0.72 | 0.77 |
| Sortino | 1.18 | 1.38 |
| Smart Sortino | 1.09 | 1.28 |
| Sortino/√2 | 0.84 | 0.98 |
| Smart Sortino/√2 | 0.77 | 0.9 |
| Omega | 1.77 | 1.92 |
| Max Drawdown | -50.78% | -18.88% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2009-10-31 |
| Longest DD Days | 1553 | 885 |
| Volatility (ann.) | 15.22% | 11.39% |
| R^2 | 0.12 | 0.12 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.22 | 0.48 |
| Skew | -0.56 | -0.0 |
| Kurtosis | 1.09 | 3.03 |
| Ulcer Performance Index | 60.76 | 76.52 |
| Risk-Adjusted Return | 817.9% | 528.33% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.98% | 0.79% |
| Avg. Win | 3.63% | 2.55% |
| Avg. Loss | -4.04% | -2.95% |
| Win/Loss Ratio | 0.9 | 0.86 |
| Profit Ratio | 0.43 | 0.58 |
| Expected Daily | 0.88% | 0.73% |
| Expected Monthly | 0.88% | 0.73% |
| Expected Yearly | 10.67% | 8.77% |
| Kelly Criterion | 29.92% | 23.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -4.62% |
| Expected Shortfall (cVaR) | -8.99% | -6.91% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.77 | 0.92 |
| Gain/Pain (1M) | 0.77 | 0.92 |
| Payoff Ratio | 0.9 | 0.86 |
| Profit Factor | 1.77 | 1.92 |
| Common Sense Ratio | 1.89 | 2.39 |
| CPC Index | 1.06 | 1.07 |
| Tail Ratio | 1.07 | 1.24 |
| Outlier Win Ratio | 3.19 | 3.67 |
| Outlier Loss Ratio | 2.65 | 3.35 |
| MTD | -1.05% | -0.81% |
| 3M | 13.91% | -3.5% |
| 6M | 8.94% | -1.73% |
| YTD | 8.94% | -1.73% |
| 1Y | 20.92% | 15.29% |
| 3Y (ann.) | 18.77% | 14.75% |
| 5Y (ann.) | 12.51% | 7.29% |
| 10Y (ann.) | 15.13% | 8.47% |
| All-time (ann.) | 11.13% | 9.15% |
| Best Day | 12.7% | 14.34% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 14.34% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 32.31% | 28.9% |
| Worst Year | -36.79% | -13.98% |
| Avg. Drawdown | -6.45% | -4.53% |
| Avg. Drawdown Days | 110 | 108 |
| Recovery Factor | 4.67 | 10.07 |
| Ulcer Index | 0.12 | 0.06 |
| Serenity Index | 2.58 | 6.93 |
| Avg. Up Month | 3.63% | 2.55% |
| Avg. Down Month | -4.04% | -2.95% |
| Win Days | 66.8% | 64.46% |
| Win Month | 66.8% | 64.46% |
| Win Quarter | 74.39% | 70.73% |
| Win Year | 85.71% | 71.43% |
| Beta | - | 0.26 |
| Alpha | - | 0.06 |
| Correlation | - | 34.88% |
| Treynor Ratio | - | 1854.78% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 3.97 | 0.31 | - |
| 2007 | 5.15 | 13.82 | 2.69 | + |
| 2008 | -36.79 | 20.46 | -0.56 | + |
| 2009 | 26.35 | -3.69 | -0.14 | - |
| 2010 | 15.06 | 13.71 | 0.91 | - |
| 2011 | 1.89 | 15.08 | 7.96 | + |
| 2012 | 15.99 | 8.93 | 0.56 | - |
| 2013 | 32.31 | 22.33 | 0.69 | - |
| 2014 | 13.46 | 10.36 | 0.77 | - |
| 2015 | 1.23 | -6.01 | -4.87 | - |
| 2016 | 12.00 | -1.14 | -0.09 | - |
| 2017 | 21.71 | 14.50 | 0.67 | - |
| 2018 | -4.57 | -9.92 | 2.17 | - |
| 2019 | 31.22 | 15.51 | 0.50 | - |
| 2020 | 18.33 | 20.32 | 1.11 | + |
| 2021 | 28.73 | 22.16 | 0.77 | - |
| 2022 | -18.18 | -13.98 | 0.77 | + |
| 2023 | 26.18 | 7.12 | 0.27 | - |
| 2024 | 24.89 | 16.40 | 0.66 | - |
| 2025 | 17.72 | 28.90 | 1.63 | + |
| 2026 | 8.94 | -1.73 | -0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-10-31 | -18.88 | 274 |
| 2022-01-31 | 2024-05-31 | -17.93 | 852 |
| 2018-10-31 | 2019-12-31 | -14.31 | 427 |
| 2015-02-28 | 2017-07-31 | -13.62 | 885 |
| 2008-03-31 | 2008-10-31 | -12.36 | 215 |
| 2026-03-31 | 2026-07-31 | -9.93 | 123 |
| 2009-12-31 | 2010-03-31 | -6.28 | 91 |
| 2018-02-28 | 2018-07-31 | -4.92 | 154 |
| 2020-09-30 | 2020-11-30 | -4.36 | 62 |
| 2012-10-31 | 2013-03-31 | -4.05 | 152 |