| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 856.36% | 722.72% |
| CAGR﹪ | 9.45% | 8.8% |
| Sharpe | 0.68 | 1.15 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.64 | 1.08 |
| Sortino | 1.03 | 2.03 |
| Smart Sortino | 0.97 | 1.91 |
| Sortino/√2 | 0.73 | 1.44 |
| Smart Sortino/√2 | 0.68 | 1.35 |
| Omega | 1.66 | 2.3 |
| Max Drawdown | -50.78% | -17.29% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2009-10-31 |
| Longest DD Days | 1553 | 489 |
| Volatility (ann.) | 14.95% | 7.58% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.19 | 0.51 |
| Skew | -0.52 | -0.35 |
| Kurtosis | 0.98 | 1.11 |
| Ulcer Performance Index | 69.63 | 227.67 |
| Risk-Adjusted Return | 566.38% | 487.23% |
| Risk-Return Ratio | 0.2 | 0.33 |
| Avg. Return | 0.85% | 0.73% |
| Avg. Win | 3.61% | 2.12% |
| Avg. Loss | -4.29% | -1.94% |
| Win/Loss Ratio | 0.84 | 1.09 |
| Profit Ratio | 0.45 | 0.67 |
| Expected Daily | 0.76% | 0.7% |
| Expected Monthly | 0.76% | 0.7% |
| Expected Yearly | 9.07% | 8.44% |
| Kelly Criterion | 24.58% | 33.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -2.87% |
| Expected Shortfall (cVaR) | -8.89% | -4.03% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.66 | 1.3 |
| Gain/Pain (1M) | 0.66 | 1.3 |
| Payoff Ratio | 0.84 | 1.09 |
| Profit Factor | 1.66 | 2.3 |
| Common Sense Ratio | 1.68 | 3.22 |
| CPC Index | 0.91 | 1.64 |
| Tail Ratio | 1.01 | 1.4 |
| Outlier Win Ratio | 3.23 | 2.71 |
| Outlier Loss Ratio | 2.8 | 2.99 |
| MTD | -1.05% | -0.03% |
| 3M | 13.91% | 3.24% |
| 6M | 8.94% | 5.09% |
| YTD | 8.94% | 5.09% |
| 1Y | 20.92% | 19.38% |
| 3Y (ann.) | 18.77% | 15.92% |
| 5Y (ann.) | 12.51% | 10.41% |
| 10Y (ann.) | 15.13% | 10.42% |
| All-time (ann.) | 9.45% | 8.8% |
| Best Day | 12.7% | 7.81% |
| Worst Day | -16.52% | -9.33% |
| Best Month | 12.7% | 7.81% |
| Worst Month | -16.52% | -9.33% |
| Best Year | 32.31% | 23.24% |
| Worst Year | -36.79% | -10.26% |
| Avg. Drawdown | -6.69% | -2.68% |
| Avg. Drawdown Days | 135 | 75 |
| Recovery Factor | 5.02 | 12.64 |
| Ulcer Index | 0.12 | 0.03 |
| Serenity Index | 2.82 | 14.24 |
| Avg. Up Month | 3.61% | 2.12% |
| Avg. Down Month | -4.29% | -1.94% |
| Win Days | 65.55% | 65.0% |
| Win Month | 65.55% | 65.0% |
| Win Quarter | 72.28% | 70.3% |
| Win Year | 80.77% | 80.77% |
| Beta | - | 0.41 |
| Alpha | - | 0.05 |
| Correlation | - | 81.12% |
| Treynor Ratio | - | 1758.24% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2001 | -5.13 | 0.31 | -0.06 | + |
| 2002 | -21.58 | -0.10 | 0.00 | + |
| 2003 | 28.18 | 20.62 | 0.73 | - |
| 2004 | 10.70 | 6.40 | 0.60 | - |
| 2005 | 4.83 | 7.78 | 1.61 | + |
| 2006 | 15.85 | 13.55 | 0.85 | - |
| 2007 | 5.15 | 11.98 | 2.33 | + |
| 2008 | -36.79 | -10.26 | 0.28 | + |
| 2009 | 26.35 | 16.99 | 0.64 | - |
| 2010 | 15.06 | 16.20 | 1.08 | + |
| 2011 | 1.89 | 4.44 | 2.34 | + |
| 2012 | 15.99 | 8.46 | 0.53 | - |
| 2013 | 32.31 | 5.38 | 0.17 | - |
| 2014 | 13.46 | 9.73 | 0.72 | - |
| 2015 | 1.23 | -0.98 | -0.80 | - |
| 2016 | 12.00 | 7.10 | 0.59 | - |
| 2017 | 21.71 | 12.75 | 0.59 | - |
| 2018 | -4.57 | -2.71 | 0.59 | + |
| 2019 | 31.22 | 21.29 | 0.68 | - |
| 2020 | 18.33 | 16.67 | 0.91 | - |
| 2021 | 28.73 | 11.36 | 0.40 | - |
| 2022 | -18.18 | -6.13 | 0.34 | + |
| 2023 | 26.18 | 12.24 | 0.47 | - |
| 2024 | 24.89 | 16.78 | 0.67 | - |
| 2025 | 17.72 | 23.24 | 1.31 | + |
| 2026 | 8.94 | 5.09 | 0.57 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-10-31 | -17.29 | 489 |
| 2022-04-30 | 2023-05-31 | -9.68 | 397 |
| 2020-02-29 | 2020-04-30 | -8.10 | 62 |
| 2002-06-30 | 2003-03-31 | -6.14 | 275 |
| 2018-02-28 | 2019-02-28 | -5.81 | 366 |
| 2011-05-31 | 2011-12-31 | -5.54 | 215 |
| 2026-03-31 | 2026-04-30 | -5.26 | 31 |
| 2015-03-31 | 2016-02-29 | -5.14 | 336 |
| 2013-05-31 | 2013-09-30 | -4.24 | 123 |
| 2016-08-31 | 2017-01-31 | -4.20 | 154 |