| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 811.58% | 439.8% |
| CAGR﹪ | 11.05% | 8.33% |
| Sharpe | 0.78 | 0.96 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.77 | 0.95 |
| Sortino | 1.19 | 1.55 |
| Smart Sortino | 1.19 | 1.54 |
| Sortino/√2 | 0.84 | 1.1 |
| Smart Sortino/√2 | 0.84 | 1.09 |
| Omega | 1.78 | 2.12 |
| Max Drawdown | -50.78% | -21.41% |
| 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 | 944 |
| Volatility (ann.) | 14.98% | 8.79% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.22 | 0.39 |
| Skew | -0.56 | -0.4 |
| Kurtosis | 1.18 | 2.38 |
| Ulcer Performance Index | 68.05 | 91.03 |
| Risk-Adjusted Return | 803.65% | 436.22% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.98% | 0.71% |
| Avg. Win | 3.47% | 2.04% |
| Avg. Loss | -4.18% | -2.21% |
| Win/Loss Ratio | 0.83 | 0.92 |
| Profit Ratio | 0.44 | 0.45 |
| Expected Daily | 0.88% | 0.67% |
| Expected Monthly | 0.88% | 0.67% |
| Expected Yearly | 10.57% | 7.97% |
| Kelly Criterion | 26.49% | 34.08% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.14% | -3.47% |
| Expected Shortfall (cVaR) | -8.99% | -5.58% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.78 | 1.12 |
| Gain/Pain (1M) | 0.78 | 1.12 |
| Payoff Ratio | 0.83 | 0.92 |
| Profit Factor | 1.78 | 2.12 |
| Common Sense Ratio | 1.84 | 2.87 |
| CPC Index | 0.99 | 1.34 |
| Tail Ratio | 1.04 | 1.36 |
| Outlier Win Ratio | 3.22 | 3.83 |
| Outlier Loss Ratio | 2.69 | 3.41 |
| MTD | -1.05% | -0.68% |
| 3M | 13.91% | 1.28% |
| 6M | 8.94% | 1.07% |
| YTD | 8.94% | 1.07% |
| 1Y | 20.92% | 4.43% |
| 3Y (ann.) | 18.77% | 5.54% |
| 5Y (ann.) | 12.51% | 2.5% |
| 10Y (ann.) | 15.13% | 7.29% |
| All-time (ann.) | 11.05% | 8.33% |
| Best Day | 12.7% | 8.29% |
| Worst Day | -16.52% | -10.34% |
| Best Month | 12.7% | 8.29% |
| Worst Month | -16.52% | -10.34% |
| Best Year | 32.31% | 30.85% |
| Worst Year | -36.79% | -15.61% |
| Avg. Drawdown | -6.05% | -3.01% |
| Avg. Drawdown Days | 105 | 76 |
| Recovery Factor | 4.84 | 8.28 |
| Ulcer Index | 0.12 | 0.05 |
| Serenity Index | 2.72 | 6.95 |
| Avg. Up Month | 3.47% | 2.04% |
| Avg. Down Month | -4.18% | -2.21% |
| Win Days | 66.67% | 68.38% |
| Win Month | 66.67% | 68.38% |
| Win Quarter | 74.12% | 75.29% |
| Win Year | 86.36% | 86.36% |
| Beta | - | 0.53 |
| Alpha | - | 0.02 |
| Correlation | - | 89.89% |
| Treynor Ratio | - | 833.13% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 5.47 | 1.67 | 0.30 | - |
| 2006 | 15.85 | 4.64 | 0.29 | - |
| 2007 | 5.15 | 10.86 | 2.11 | + |
| 2008 | -36.79 | -11.29 | 0.31 | + |
| 2009 | 26.35 | 30.85 | 1.17 | + |
| 2010 | 15.06 | 13.53 | 0.90 | - |
| 2011 | 1.89 | 7.70 | 4.07 | + |
| 2012 | 15.99 | 14.65 | 0.92 | - |
| 2013 | 32.31 | 19.12 | 0.59 | - |
| 2014 | 13.46 | 9.45 | 0.70 | - |
| 2015 | 1.23 | 0.48 | 0.39 | - |
| 2016 | 12.00 | 9.58 | 0.80 | - |
| 2017 | 21.71 | 11.54 | 0.53 | - |
| 2018 | -4.57 | -1.61 | 0.35 | + |
| 2019 | 31.22 | 17.91 | 0.57 | - |
| 2020 | 18.33 | 19.00 | 1.04 | + |
| 2021 | 28.73 | 18.96 | 0.66 | - |
| 2022 | -18.18 | -15.61 | 0.86 | + |
| 2023 | 26.18 | 9.55 | 0.36 | - |
| 2024 | 24.89 | 5.83 | 0.23 | - |
| 2025 | 17.72 | 8.15 | 0.46 | - |
| 2026 | 8.94 | 1.07 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-06-30 | -21.41 | 366 |
| 2022-01-31 | 2024-08-31 | -18.33 | 944 |
| 2020-02-29 | 2020-05-31 | -10.85 | 93 |
| 2011-05-31 | 2011-11-30 | -7.68 | 184 |
| 2010-05-31 | 2010-08-31 | -6.53 | 93 |
| 2018-09-30 | 2019-02-28 | -5.32 | 152 |
| 2015-06-30 | 2016-02-29 | -5.05 | 245 |
| 2020-09-30 | 2020-10-31 | -4.84 | 32 |
| 2012-04-30 | 2012-07-31 | -4.52 | 93 |
| 2021-09-30 | 2021-09-30 | -3.11 | 1 |