| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,217.98% | 2,095.82% |
| CAGR﹪ | 11.6% | 14.05% |
| Sharpe | 0.83 | 1.52 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.8 | 1.46 |
| Sortino | 1.29 | 3.06 |
| Smart Sortino | 1.24 | 2.94 |
| Sortino/√2 | 0.92 | 2.16 |
| Smart Sortino/√2 | 0.88 | 2.08 |
| Omega | 1.86 | 3.22 |
| Max Drawdown | -50.78% | -15.53% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-11-30 |
| Longest DD Days | 1553 | 669 |
| Volatility (ann.) | 14.49% | 8.93% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.23 | 0.9 |
| Skew | -0.55 | 0.02 |
| Kurtosis | 1.35 | 1.39 |
| Ulcer Performance Index | 107.75 | 632.89 |
| Risk-Adjusted Return | 901.78% | 1480.79% |
| Risk-Return Ratio | 0.24 | 0.44 |
| Avg. Return | 1.01% | 1.14% |
| Avg. Win | 3.3% | 2.49% |
| Avg. Loss | -3.8% | -1.95% |
| Win/Loss Ratio | 0.87 | 1.28 |
| Profit Ratio | 0.44 | 0.54 |
| Expected Daily | 0.92% | 1.1% |
| Expected Monthly | 0.92% | 1.1% |
| Expected Yearly | 11.34% | 13.74% |
| Kelly Criterion | 29.51% | 48.14% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.87% | -3.1% |
| Expected Shortfall (cVaR) | -8.53% | -4.58% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.86 | 2.22 |
| Gain/Pain (1M) | 0.86 | 2.22 |
| Payoff Ratio | 0.87 | 1.28 |
| Profit Factor | 1.86 | 3.22 |
| Common Sense Ratio | 1.9 | 6.51 |
| CPC Index | 1.09 | 2.91 |
| Tail Ratio | 1.02 | 2.02 |
| Outlier Win Ratio | 3.28 | 3.09 |
| Outlier Loss Ratio | 2.7 | 3.49 |
| MTD | -1.05% | -0.88% |
| 3M | 13.91% | 4.95% |
| 6M | 8.94% | 4.91% |
| YTD | 8.94% | 4.91% |
| 1Y | 20.92% | 11.29% |
| 3Y (ann.) | 18.77% | 11.86% |
| 5Y (ann.) | 12.51% | 7.8% |
| 10Y (ann.) | 15.13% | 14.12% |
| All-time (ann.) | 11.6% | 14.05% |
| Best Day | 12.7% | 10.74% |
| Worst Day | -16.52% | -8.13% |
| Best Month | 12.7% | 10.74% |
| Worst Month | -16.52% | -8.13% |
| Best Year | 32.31% | 34.76% |
| Worst Year | -36.79% | -13.87% |
| Avg. Drawdown | -5.6% | -2.58% |
| Avg. Drawdown Days | 100 | 49 |
| Recovery Factor | 5.59 | 20.59 |
| Ulcer Index | 0.11 | 0.03 |
| Serenity Index | 3.21 | 25.01 |
| Avg. Up Month | 3.3% | 2.49% |
| Avg. Down Month | -3.8% | -1.95% |
| Win Days | 67.26% | 70.92% |
| Win Month | 67.26% | 70.92% |
| Win Quarter | 73.68% | 78.95% |
| Win Year | 87.5% | 91.67% |
| Beta | - | 0.51 |
| Alpha | - | 0.07 |
| Correlation | - | 82.72% |
| Treynor Ratio | - | 4112.62% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2003 | 31.41 | 18.48 | 0.59 | - |
| 2004 | 10.70 | 11.39 | 1.06 | + |
| 2005 | 4.83 | 5.84 | 1.21 | + |
| 2006 | 15.85 | 11.62 | 0.73 | - |
| 2007 | 5.15 | 11.53 | 2.24 | + |
| 2008 | -36.79 | -0.98 | 0.03 | + |
| 2009 | 26.35 | 34.76 | 1.32 | + |
| 2010 | 15.06 | 22.17 | 1.47 | + |
| 2011 | 1.89 | 6.50 | 3.43 | + |
| 2012 | 15.99 | 14.98 | 0.94 | - |
| 2013 | 32.31 | 30.06 | 0.93 | - |
| 2014 | 13.46 | 12.18 | 0.90 | - |
| 2015 | 1.23 | 6.17 | 5.00 | + |
| 2016 | 12.00 | 14.69 | 1.22 | + |
| 2017 | 21.71 | 17.41 | 0.80 | - |
| 2018 | -4.57 | 6.49 | -1.42 | + |
| 2019 | 31.22 | 25.50 | 0.82 | - |
| 2020 | 18.33 | 33.79 | 1.84 | + |
| 2021 | 28.73 | 26.09 | 0.91 | - |
| 2022 | -18.18 | -13.87 | 0.76 | + |
| 2023 | 26.18 | 16.28 | 0.62 | - |
| 2024 | 24.89 | 12.84 | 0.52 | - |
| 2025 | 17.72 | 13.47 | 0.76 | - |
| 2026 | 8.94 | 4.91 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -15.53 | 669 |
| 2008-03-31 | 2009-03-31 | -12.10 | 366 |
| 2010-05-31 | 2010-08-31 | -8.02 | 93 |
| 2011-05-31 | 2011-12-31 | -7.78 | 215 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |
| 2020-09-30 | 2020-10-31 | -6.03 | 32 |
| 2020-02-29 | 2020-03-31 | -4.39 | 32 |
| 2018-02-28 | 2018-06-30 | -4.33 | 123 |
| 2021-09-30 | 2021-09-30 | -4.12 | 1 |
| 2004-03-31 | 2004-07-31 | -3.40 | 123 |