| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 219.53% |
| CAGR﹪ | 14.74% | 6.83% |
| Sharpe | 1.0 | 0.81 |
| Prob. Sharpe Ratio | 100.0% | 99.93% |
| Smart Sharpe | 0.89 | 0.72 |
| Sortino | 1.65 | 1.27 |
| Smart Sortino | 1.47 | 1.13 |
| Sortino/√2 | 1.17 | 0.9 |
| Smart Sortino/√2 | 1.04 | 0.8 |
| Omega | 2.07 | 1.84 |
| Max Drawdown | -23.93% | -22.51% |
| Max DD Date | 2022-09-30 | 2022-10-31 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2024-08-31 |
| Longest DD Days | 669 | 1067 |
| Volatility (ann.) | 14.92% | 8.69% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.62 | 0.3 |
| Skew | -0.37 | -0.45 |
| Kurtosis | 0.47 | 0.9 |
| Ulcer Performance Index | 181.23 | 36.57 |
| Risk-Adjusted Return | 1695.98% | 300.44% |
| Risk-Return Ratio | 0.29 | 0.23 |
| Avg. Return | 1.25% | 0.59% |
| Avg. Win | 3.55% | 2.05% |
| Avg. Loss | -3.84% | -2.52% |
| Win/Loss Ratio | 0.92 | 0.81 |
| Profit Ratio | 0.45 | 0.56 |
| Expected Daily | 1.15% | 0.55% |
| Expected Monthly | 1.15% | 0.55% |
| Expected Yearly | 14.38% | 6.67% |
| Kelly Criterion | 33.56% | 20.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.54% |
| Expected Shortfall (cVaR) | -8.19% | -4.81% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 0.84 |
| Gain/Pain (1M) | 1.07 | 0.84 |
| Payoff Ratio | 0.92 | 0.81 |
| Profit Factor | 2.07 | 1.84 |
| Common Sense Ratio | 2.52 | 1.93 |
| CPC Index | 1.3 | 0.96 |
| Tail Ratio | 1.21 | 1.05 |
| Outlier Win Ratio | 3.08 | 3.1 |
| Outlier Loss Ratio | 2.52 | 3.14 |
| MTD | -1.05% | -3.25% |
| 3M | 13.91% | 6.83% |
| 6M | 8.94% | 10.15% |
| YTD | 8.94% | 10.15% |
| 1Y | 20.92% | 22.42% |
| 3Y (ann.) | 18.77% | 13.68% |
| 5Y (ann.) | 12.51% | 5.97% |
| 10Y (ann.) | 15.13% | 7.24% |
| All-time (ann.) | 14.74% | 6.83% |
| 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% | 18.51% |
| Worst Year | -18.18% | -19.59% |
| Avg. Drawdown | -5.74% | -3.52% |
| Avg. Drawdown Days | 66 | 122 |
| Recovery Factor | 10.98 | 5.47 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 13.13 | 2.99 |
| Avg. Up Month | 3.55% | 2.05% |
| Avg. Down Month | -3.84% | -2.52% |
| Win Days | 68.1% | 64.45% |
| Win Month | 68.1% | 64.45% |
| Win Quarter | 77.46% | 74.65% |
| Win Year | 88.89% | 94.44% |
| Beta | - | 0.31 |
| Alpha | - | 0.02 |
| Correlation | - | 53.08% |
| Treynor Ratio | - | 709.56% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 10.88 | 0.41 | - |
| 2010 | 15.06 | 3.74 | 0.25 | - |
| 2011 | 1.89 | 5.77 | 3.04 | + |
| 2012 | 15.99 | 2.47 | 0.15 | - |
| 2013 | 32.31 | 14.14 | 0.44 | - |
| 2014 | 13.46 | 6.67 | 0.50 | - |
| 2015 | 1.23 | 0.52 | 0.42 | - |
| 2016 | 12.00 | 3.33 | 0.28 | - |
| 2017 | 21.71 | 18.51 | 0.85 | - |
| 2018 | -4.57 | 1.10 | -0.24 | + |
| 2019 | 31.22 | 5.40 | 0.17 | - |
| 2020 | 18.33 | 18.44 | 1.01 | + |
| 2021 | 28.73 | 2.72 | 0.09 | - |
| 2022 | -18.18 | -19.59 | 1.08 | - |
| 2023 | 26.18 | 14.36 | 0.55 | - |
| 2024 | 24.89 | 11.84 | 0.48 | - |
| 2025 | 17.72 | 16.47 | 0.93 | - |
| 2026 | 8.94 | 10.15 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-08-31 | -22.51 | 1067 |
| 2026-03-31 | 2026-04-30 | -8.53 | 31 |
| 2010-05-31 | 2010-12-31 | -6.80 | 215 |
| 2018-02-28 | 2019-07-31 | -6.79 | 519 |
| 2009-01-31 | 2009-06-30 | -5.05 | 151 |
| 2024-10-31 | 2025-05-31 | -4.68 | 213 |
| 2015-08-31 | 2016-08-31 | -4.61 | 367 |
| 2013-05-31 | 2013-08-31 | -4.24 | 93 |
| 2010-01-31 | 2010-02-28 | -4.02 | 29 |
| 2011-03-31 | 2011-08-31 | -3.73 | 154 |