| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,217.98% | 574.10% |
| CAGR﹪ | 11.6% | 8.46% |
| Sharpe | 0.83 | 0.99 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.82 | 0.97 |
| Sortino | 1.29 | 1.67 |
| Smart Sortino | 1.27 | 1.64 |
| Sortino/√2 | 0.92 | 1.18 |
| Smart Sortino/√2 | 0.9 | 1.16 |
| Omega | 1.86 | 2.19 |
| Max Drawdown | -50.78% | -21.18% |
| 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 | 2009-06-30 |
| Longest DD Days | 1553 | 882 |
| Volatility (ann.) | 14.49% | 8.62% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.23 | 0.4 |
| Skew | -0.55 | -0.1 |
| Kurtosis | 1.35 | 2.43 |
| Ulcer Performance Index | 107.75 | 136.52 |
| Risk-Adjusted Return | 901.78% | 450.25% |
| Risk-Return Ratio | 0.24 | 0.29 |
| Avg. Return | 1.01% | 0.71% |
| Avg. Win | 3.4% | 2.0% |
| Avg. Loss | -4.06% | -2.13% |
| Win/Loss Ratio | 0.84 | 0.94 |
| Profit Ratio | 0.44 | 0.45 |
| Expected Daily | 0.92% | 0.68% |
| Expected Monthly | 0.92% | 0.68% |
| Expected Yearly | 11.34% | 8.28% |
| Kelly Criterion | 28.15% | 35.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.87% | -3.38% |
| Expected Shortfall (cVaR) | -8.53% | -5.19% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.86 | 1.19 |
| Gain/Pain (1M) | 0.86 | 1.19 |
| Payoff Ratio | 0.84 | 0.94 |
| Profit Factor | 1.86 | 2.19 |
| Common Sense Ratio | 1.9 | 2.93 |
| CPC Index | 1.05 | 1.42 |
| Tail Ratio | 1.02 | 1.34 |
| Outlier Win Ratio | 3.28 | 4.11 |
| Outlier Loss Ratio | 2.7 | 3.19 |
| MTD | -1.05% | -0.81% |
| 3M | 13.91% | 1.11% |
| 6M | 8.94% | 1.04% |
| YTD | 8.94% | 1.04% |
| 1Y | 20.92% | 4.37% |
| 3Y (ann.) | 18.77% | 5.84% |
| 5Y (ann.) | 12.51% | 3.07% |
| 10Y (ann.) | 15.13% | 7.68% |
| All-time (ann.) | 11.6% | 8.46% |
| Best Day | 12.7% | 9.91% |
| Worst Day | -16.52% | -9.51% |
| Best Month | 12.7% | 9.91% |
| Worst Month | -16.52% | -9.51% |
| Best Year | 32.31% | 31.15% |
| Worst Year | -36.79% | -14.23% |
| Avg. Drawdown | -5.6% | -3.0% |
| Avg. Drawdown Days | 100 | 75 |
| Recovery Factor | 5.59 | 9.45 |
| Ulcer Index | 0.11 | 0.04 |
| Serenity Index | 3.21 | 9.66 |
| Avg. Up Month | 3.4% | 2.0% |
| Avg. Down Month | -4.06% | -2.13% |
| Win Days | 67.26% | 68.79% |
| Win Month | 67.26% | 68.79% |
| Win Quarter | 73.68% | 72.63% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.52 |
| Alpha | - | 0.02 |
| Correlation | - | 88.16% |
| Treynor Ratio | - | 1094.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2003 | 31.41 | 15.11 | 0.48 | - |
| 2004 | 10.70 | 9.00 | 0.84 | - |
| 2005 | 4.83 | 3.08 | 0.64 | - |
| 2006 | 15.85 | 4.31 | 0.27 | - |
| 2007 | 5.15 | 9.74 | 1.89 | + |
| 2008 | -36.79 | -11.37 | 0.31 | + |
| 2009 | 26.35 | 31.15 | 1.18 | + |
| 2010 | 15.06 | 12.48 | 0.83 | - |
| 2011 | 1.89 | 7.14 | 3.77 | + |
| 2012 | 15.99 | 13.48 | 0.84 | - |
| 2013 | 32.31 | 18.05 | 0.56 | - |
| 2014 | 13.46 | 9.19 | 0.68 | - |
| 2015 | 1.23 | 0.13 | 0.10 | - |
| 2016 | 12.00 | 8.85 | 0.74 | - |
| 2017 | 21.71 | 11.52 | 0.53 | - |
| 2018 | -4.57 | -1.51 | 0.33 | + |
| 2019 | 31.22 | 17.45 | 0.56 | - |
| 2020 | 18.33 | 21.14 | 1.15 | + |
| 2021 | 28.73 | 18.80 | 0.65 | - |
| 2022 | -18.18 | -14.23 | 0.78 | + |
| 2023 | 26.18 | 10.72 | 0.41 | - |
| 2024 | 24.89 | 5.81 | 0.23 | - |
| 2025 | 17.72 | 8.18 | 0.46 | - |
| 2026 | 8.94 | 1.04 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-06-30 | -21.18 | 366 |
| 2022-01-31 | 2024-06-30 | -17.26 | 882 |
| 2020-02-29 | 2020-04-30 | -10.53 | 62 |
| 2011-05-31 | 2011-11-30 | -8.35 | 184 |
| 2010-05-31 | 2010-08-31 | -6.49 | 93 |
| 2018-09-30 | 2019-02-28 | -5.12 | 152 |
| 2015-06-30 | 2016-02-29 | -4.92 | 245 |
| 2012-04-30 | 2012-07-31 | -4.86 | 93 |
| 2020-09-30 | 2020-10-31 | -4.34 | 32 |
| 2004-04-30 | 2004-08-31 | -4.02 | 124 |