| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,235.99% | 584.44% |
| CAGR﹪ | 11.71% | 8.56% |
| Sharpe | 0.84 | 1.01 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.83 | 1.0 |
| Sortino | 1.3 | 1.65 |
| Smart Sortino | 1.29 | 1.64 |
| Sortino/√2 | 0.92 | 1.17 |
| Smart Sortino/√2 | 0.92 | 1.16 |
| Omega | 1.87 | 2.21 |
| 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.) | 14.51% | 8.53% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.23 | 0.4 |
| Skew | -0.56 | -0.42 |
| Kurtosis | 1.35 | 2.56 |
| Ulcer Performance Index | 109.15 | 127.18 |
| Risk-Adjusted Return | 922.39% | 461.21% |
| Risk-Return Ratio | 0.24 | 0.29 |
| Avg. Return | 1.02% | 0.72% |
| Avg. Win | 3.4% | 2.0% |
| Avg. Loss | -4.08% | -2.17% |
| Win/Loss Ratio | 0.83 | 0.92 |
| Profit Ratio | 0.43 | 0.44 |
| Expected Daily | 0.93% | 0.69% |
| Expected Monthly | 0.93% | 0.69% |
| Expected Yearly | 11.41% | 8.34% |
| Kelly Criterion | 28.49% | 35.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.87% | -3.33% |
| Expected Shortfall (cVaR) | -8.53% | -5.19% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.87 | 1.21 |
| Gain/Pain (1M) | 0.87 | 1.21 |
| Payoff Ratio | 0.83 | 0.92 |
| Profit Factor | 1.87 | 2.21 |
| Common Sense Ratio | 1.9 | 2.94 |
| CPC Index | 1.05 | 1.41 |
| Tail Ratio | 1.02 | 1.33 |
| Outlier Win Ratio | 3.28 | 3.88 |
| Outlier Loss Ratio | 2.69 | 3.41 |
| MTD | -1.05% | -0.82% |
| 3M | 13.91% | 1.13% |
| 6M | 8.94% | 0.93% |
| YTD | 8.94% | 0.93% |
| 1Y | 20.92% | 4.28% |
| 3Y (ann.) | 18.77% | 5.49% |
| 5Y (ann.) | 12.51% | 2.47% |
| 10Y (ann.) | 15.13% | 7.27% |
| All-time (ann.) | 11.71% | 8.56% |
| 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 | 33.21% | 30.85% |
| Worst Year | -36.79% | -15.61% |
| Avg. Drawdown | -5.71% | -2.91% |
| Avg. Drawdown Days | 102 | 74 |
| Recovery Factor | 5.62 | 9.41 |
| Ulcer Index | 0.11 | 0.05 |
| Serenity Index | 3.22 | 8.25 |
| Avg. Up Month | 3.4% | 2.0% |
| Avg. Down Month | -4.08% | -2.17% |
| Win Days | 67.5% | 69.04% |
| Win Month | 67.5% | 69.04% |
| Win Quarter | 74.74% | 74.74% |
| Win Year | 87.5% | 87.5% |
| Beta | - | 0.52 |
| Alpha | - | 0.02 |
| Correlation | - | 88.78% |
| Treynor Ratio | - | 1119.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2003 | 33.21 | 13.82 | 0.42 | - |
| 2004 | 10.70 | 9.56 | 0.89 | - |
| 2005 | 4.83 | 3.53 | 0.73 | - |
| 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 | 0.93 | 0.10 | - |
| 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 |
| 2004-04-30 | 2004-07-31 | -3.79 | 93 |