| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 616.72% | 253.8% |
| CAGR﹪ | 13.87% | 8.69% |
| Sharpe | 0.99 | 1.11 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.88 | 0.99 |
| Sortino | 1.63 | 1.88 |
| Smart Sortino | 1.45 | 1.68 |
| Sortino/√2 | 1.15 | 1.33 |
| Smart Sortino/√2 | 1.03 | 1.19 |
| Omega | 2.06 | 2.29 |
| Max Drawdown | -23.93% | -9.7% |
| Max DD Date | 2022-09-30 | 2016-01-31 |
| Max DD Period Start | 2022-01-31 | 2015-03-31 |
| Max DD Period End | 2023-11-30 | 2017-01-31 |
| Longest DD Days | 669 | 673 |
| Volatility (ann.) | 14.27% | 7.82% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.58 | 0.9 |
| Skew | -0.32 | -0.39 |
| Kurtosis | 0.69 | 0.9 |
| Ulcer Performance Index | 110.54 | 86.92 |
| Risk-Adjusted Return | 1428.73% | 475.21% |
| Risk-Return Ratio | 0.28 | 0.32 |
| Avg. Return | 1.17% | 0.72% |
| Avg. Win | 3.3% | 1.98% |
| Avg. Loss | -3.49% | -2.16% |
| Win/Loss Ratio | 0.95 | 0.92 |
| Profit Ratio | 0.45 | 0.58 |
| Expected Daily | 1.09% | 0.7% |
| Expected Monthly | 1.09% | 0.7% |
| Expected Yearly | 13.1% | 8.22% |
| Kelly Criterion | 34.5% | 30.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.61% | -2.99% |
| Expected Shortfall (cVaR) | -7.8% | -4.52% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 4 | 11 |
| Gain/Pain Ratio | 1.06 | 1.29 |
| Gain/Pain (1M) | 1.06 | 1.29 |
| Payoff Ratio | 0.95 | 0.92 |
| Profit Factor | 2.06 | 2.29 |
| Common Sense Ratio | 2.37 | 3.18 |
| CPC Index | 1.33 | 1.4 |
| Tail Ratio | 1.15 | 1.39 |
| Outlier Win Ratio | 3.26 | 2.79 |
| Outlier Loss Ratio | 2.56 | 3.47 |
| MTD | -1.05% | -0.01% |
| 3M | 13.91% | 3.48% |
| 6M | 8.94% | 4.23% |
| YTD | 8.94% | 4.23% |
| 1Y | 20.92% | 17.43% |
| 3Y (ann.) | 18.77% | 12.74% |
| 5Y (ann.) | 12.51% | 8.69% |
| 10Y (ann.) | 15.13% | 10.04% |
| All-time (ann.) | 13.87% | 8.69% |
| Best Day | 12.7% | 7.61% |
| Worst Day | -12.49% | -6.49% |
| Best Month | 12.7% | 7.61% |
| Worst Month | -12.49% | -6.49% |
| Best Year | 32.31% | 21.7% |
| Worst Year | -18.18% | -6.29% |
| Avg. Drawdown | -5.45% | -3.48% |
| Avg. Drawdown Days | 68 | 106 |
| Recovery Factor | 8.92 | 13.54 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 10.01 | 15.2 |
| Avg. Up Month | 3.3% | 1.98% |
| Avg. Down Month | -3.49% | -2.16% |
| Win Days | 68.13% | 66.48% |
| Win Month | 68.13% | 66.48% |
| Win Quarter | 75.81% | 77.42% |
| Win Year | 81.25% | 87.5% |
| Beta | - | 0.32 |
| Alpha | - | 0.04 |
| Correlation | - | 57.5% |
| Treynor Ratio | - | 805.48% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2011 | -5.43 | 4.31 | -0.79 | + |
| 2012 | 15.99 | 5.61 | 0.35 | - |
| 2013 | 32.31 | 15.73 | 0.49 | - |
| 2014 | 13.46 | 8.22 | 0.61 | - |
| 2015 | 1.23 | -6.29 | -5.10 | - |
| 2016 | 12.00 | 6.31 | 0.53 | - |
| 2017 | 21.71 | 14.94 | 0.69 | - |
| 2018 | -4.57 | 1.35 | -0.29 | + |
| 2019 | 31.22 | 8.19 | 0.26 | - |
| 2020 | 18.33 | 14.37 | 0.78 | - |
| 2021 | 28.73 | 17.67 | 0.62 | - |
| 2022 | -18.18 | -3.99 | 0.22 | + |
| 2023 | 26.18 | 9.05 | 0.35 | - |
| 2024 | 24.89 | 14.27 | 0.57 | - |
| 2025 | 17.72 | 21.70 | 1.22 | + |
| 2026 | 8.94 | 4.23 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-03-31 | 2017-01-31 | -9.70 | 673 |
| 2020-01-31 | 2020-06-30 | -7.98 | 152 |
| 2012-04-30 | 2012-12-31 | -6.97 | 246 |
| 2026-03-31 | 2026-07-31 | -6.49 | 123 |
| 2021-11-30 | 2023-05-31 | -5.97 | 548 |
| 2018-10-31 | 2019-03-31 | -5.74 | 152 |
| 2019-05-31 | 2019-07-31 | -4.79 | 62 |
| 2023-08-31 | 2024-01-31 | -4.75 | 154 |
| 2020-09-30 | 2020-10-31 | -4.51 | 32 |
| 2018-02-28 | 2018-07-31 | -3.85 | 154 |