| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 237.68% |
| CAGR﹪ | 14.74% | 7.17% |
| Sharpe | 1.0 | 0.91 |
| Prob. Sharpe Ratio | 100.0% | 99.98% |
| Smart Sharpe | 0.87 | 0.79 |
| Sortino | 1.65 | 1.48 |
| Smart Sortino | 1.43 | 1.29 |
| Sortino/√2 | 1.17 | 1.05 |
| Smart Sortino/√2 | 1.01 | 0.91 |
| Omega | 2.07 | 2.03 |
| Max Drawdown | -23.93% | -9.6% |
| Max DD Date | 2022-09-30 | 2022-04-30 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2023-06-30 |
| Longest DD Days | 669 | 732 |
| Volatility (ann.) | 14.92% | 7.96% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.17 | -0.17 |
| Calmar | 0.62 | 0.75 |
| Skew | -0.37 | -0.42 |
| Kurtosis | 0.47 | 1.46 |
| Ulcer Performance Index | 181.23 | 70.65 |
| Risk-Adjusted Return | 1695.98% | 327.76% |
| Risk-Return Ratio | 0.29 | 0.26 |
| Avg. Return | 1.25% | 0.61% |
| Avg. Win | 3.58% | 1.86% |
| Avg. Loss | -3.68% | -2.29% |
| Win/Loss Ratio | 0.97 | 0.81 |
| Profit Ratio | 0.45 | 0.5 |
| Expected Daily | 1.15% | 0.58% |
| Expected Monthly | 1.15% | 0.58% |
| Expected Yearly | 14.38% | 6.99% |
| Kelly Criterion | 35.32% | 26.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.17% |
| Expected Shortfall (cVaR) | -8.19% | -4.48% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 1.07 | 1.03 |
| Gain/Pain (1M) | 1.07 | 1.03 |
| Payoff Ratio | 0.97 | 0.81 |
| Profit Factor | 2.07 | 2.03 |
| Common Sense Ratio | 2.52 | 2.32 |
| CPC Index | 1.38 | 1.1 |
| Tail Ratio | 1.21 | 1.14 |
| Outlier Win Ratio | 3.08 | 3.44 |
| Outlier Loss Ratio | 2.52 | 2.72 |
| MTD | -1.05% | -3.05% |
| 3M | 13.91% | 7.37% |
| 6M | 8.94% | 10.7% |
| YTD | 8.94% | 10.7% |
| 1Y | 20.92% | 22.78% |
| 3Y (ann.) | 18.77% | 12.81% |
| 5Y (ann.) | 12.51% | 8.21% |
| 10Y (ann.) | 15.13% | 8.09% |
| All-time (ann.) | 14.74% | 7.17% |
| Best Day | 12.7% | 6.68% |
| Worst Day | -12.49% | -8.53% |
| Best Month | 12.7% | 6.68% |
| Worst Month | -12.49% | -8.53% |
| Best Year | 32.31% | 18.44% |
| Worst Year | -18.18% | -6.85% |
| Avg. Drawdown | -5.74% | -3.35% |
| Avg. Drawdown Days | 66 | 120 |
| Recovery Factor | 10.98 | 13.3 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 13.13 | 10.75 |
| Avg. Up Month | 3.58% | 1.86% |
| Avg. Down Month | -3.68% | -2.29% |
| Win Days | 68.1% | 66.82% |
| Win Month | 68.1% | 66.82% |
| Win Quarter | 77.46% | 76.06% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.26 |
| Alpha | - | 0.03 |
| Correlation | - | 49.15% |
| Treynor Ratio | - | 906.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 10.36 | 0.39 | - |
| 2010 | 15.06 | 3.17 | 0.21 | - |
| 2011 | 1.89 | 5.78 | 3.05 | + |
| 2012 | 15.99 | 2.47 | 0.15 | - |
| 2013 | 32.31 | 14.70 | 0.45 | - |
| 2014 | 13.46 | 5.39 | 0.40 | - |
| 2015 | 1.23 | -0.16 | -0.13 | - |
| 2016 | 12.00 | 3.36 | 0.28 | - |
| 2017 | 21.71 | 17.90 | 0.82 | - |
| 2018 | -4.57 | -0.96 | 0.21 | + |
| 2019 | 31.22 | 5.36 | 0.17 | - |
| 2020 | 18.33 | 18.44 | 1.01 | + |
| 2021 | 28.73 | 3.00 | 0.10 | - |
| 2022 | -18.18 | -6.85 | 0.38 | + |
| 2023 | 26.18 | 10.90 | 0.42 | - |
| 2024 | 24.89 | 11.65 | 0.47 | - |
| 2025 | 17.72 | 14.47 | 0.82 | - |
| 2026 | 8.94 | 10.70 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2023-06-30 | -9.60 | 639 |
| 2026-03-31 | 2026-04-30 | -8.53 | 31 |
| 2010-05-31 | 2010-12-31 | -6.79 | 215 |
| 2018-02-28 | 2020-02-29 | -6.69 | 732 |
| 2023-08-31 | 2023-11-30 | -5.98 | 92 |
| 2024-10-31 | 2025-05-31 | -5.47 | 213 |
| 2009-01-31 | 2009-08-31 | -5.05 | 213 |
| 2015-06-30 | 2016-08-31 | -5.02 | 429 |
| 2010-01-31 | 2010-02-28 | -4.34 | 29 |
| 2013-05-31 | 2013-08-31 | -3.89 | 93 |