| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 290.07% |
| CAGR﹪ | 14.74% | 8.05% |
| Sharpe | 1.0 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 99.99% |
| Smart Sharpe | 0.91 | 0.81 |
| Sortino | 1.65 | 1.49 |
| Smart Sortino | 1.5 | 1.35 |
| Sortino/√2 | 1.17 | 1.05 |
| Smart Sortino/√2 | 1.06 | 0.96 |
| Omega | 2.07 | 2.0 |
| Max Drawdown | -23.93% | -10.13% |
| 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 | 639 |
| Volatility (ann.) | 14.92% | 9.15% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 0.62 | 0.79 |
| Skew | -0.37 | -0.16 |
| Kurtosis | 0.47 | 1.43 |
| Ulcer Performance Index | 181.23 | 75.4 |
| Risk-Adjusted Return | 1695.98% | 408.17% |
| Risk-Return Ratio | 0.29 | 0.26 |
| Avg. Return | 1.25% | 0.69% |
| Avg. Win | 3.55% | 2.18% |
| Avg. Loss | -3.69% | -2.62% |
| Win/Loss Ratio | 0.96 | 0.83 |
| Profit Ratio | 0.45 | 0.56 |
| Expected Daily | 1.15% | 0.65% |
| Expected Monthly | 1.15% | 0.65% |
| Expected Yearly | 14.38% | 7.86% |
| Kelly Criterion | 34.92% | 23.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.66% |
| Expected Shortfall (cVaR) | -8.19% | -5.15% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.0 |
| Gain/Pain (1M) | 1.07 | 1.0 |
| Payoff Ratio | 0.96 | 0.83 |
| Profit Factor | 2.07 | 2.0 |
| Common Sense Ratio | 2.52 | 2.25 |
| CPC Index | 1.36 | 1.09 |
| Tail Ratio | 1.21 | 1.13 |
| Outlier Win Ratio | 3.08 | 3.23 |
| Outlier Loss Ratio | 2.52 | 2.97 |
| MTD | -1.05% | -4.05% |
| 3M | 13.91% | 7.13% |
| 6M | 8.94% | 10.23% |
| YTD | 8.94% | 10.23% |
| 1Y | 20.92% | 21.41% |
| 3Y (ann.) | 18.77% | 13.02% |
| 5Y (ann.) | 12.51% | 8.47% |
| 10Y (ann.) | 15.13% | 9.02% |
| All-time (ann.) | 14.74% | 8.05% |
| Best Day | 12.7% | 10.7% |
| Worst Day | -12.49% | -8.59% |
| Best Month | 12.7% | 10.7% |
| Worst Month | -12.49% | -8.59% |
| Best Year | 32.31% | 23.12% |
| Worst Year | -18.18% | -7.21% |
| Avg. Drawdown | -5.74% | -3.97% |
| Avg. Drawdown Days | 66 | 115 |
| Recovery Factor | 10.98 | 14.2 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 13.13 | 11.17 |
| Avg. Up Month | 3.55% | 2.18% |
| Avg. Down Month | -3.69% | -2.62% |
| Win Days | 68.1% | 65.4% |
| Win Month | 68.1% | 65.4% |
| Win Quarter | 77.46% | 71.83% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.29 |
| Alpha | - | 0.04 |
| Correlation | - | 47.73% |
| Treynor Ratio | - | 990.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 11.68 | 0.44 | - |
| 2010 | 15.06 | 2.69 | 0.18 | - |
| 2011 | 1.89 | 8.64 | 4.56 | + |
| 2012 | 15.99 | 0.88 | 0.06 | - |
| 2013 | 32.31 | 17.82 | 0.55 | - |
| 2014 | 13.46 | 11.15 | 0.83 | - |
| 2015 | 1.23 | -2.09 | -1.69 | - |
| 2016 | 12.00 | 1.12 | 0.09 | - |
| 2017 | 21.71 | 19.72 | 0.91 | - |
| 2018 | -4.57 | -0.36 | 0.08 | + |
| 2019 | 31.22 | 4.50 | 0.14 | - |
| 2020 | 18.33 | 23.12 | 1.26 | + |
| 2021 | 28.73 | 5.64 | 0.20 | - |
| 2022 | -18.18 | -7.21 | 0.40 | + |
| 2023 | 26.18 | 12.73 | 0.49 | - |
| 2024 | 24.89 | 14.16 | 0.57 | - |
| 2025 | 17.72 | 12.17 | 0.69 | - |
| 2026 | 8.94 | 10.23 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2023-06-30 | -10.13 | 639 |
| 2026-03-31 | 2026-04-30 | -8.59 | 31 |
| 2015-06-30 | 2017-02-28 | -7.63 | 610 |
| 2018-10-31 | 2020-02-29 | -7.08 | 487 |
| 2025-02-28 | 2025-05-31 | -7.03 | 93 |
| 2010-05-31 | 2010-12-31 | -6.82 | 215 |
| 2020-09-30 | 2020-10-31 | -6.23 | 32 |
| 2013-05-31 | 2013-09-30 | -6.01 | 123 |
| 2018-02-28 | 2018-07-31 | -5.77 | 154 |
| 2023-08-31 | 2023-11-30 | -5.46 | 92 |