| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 811.58% | 629.24% |
| CAGR﹪ | 11.05% | 9.88% |
| Sharpe | 0.78 | 1.07 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.76 | 1.04 |
| Sortino | 1.19 | 1.77 |
| Smart Sortino | 1.16 | 1.73 |
| Sortino/√2 | 0.84 | 1.25 |
| Smart Sortino/√2 | 0.82 | 1.22 |
| Omega | 1.78 | 2.2 |
| Max Drawdown | -50.78% | -19.12% |
| 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 | 2024-07-31 |
| Longest DD Days | 1553 | 913 |
| Volatility (ann.) | 14.98% | 9.29% |
| R^2 | 0.69 | 0.69 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.22 | 0.52 |
| Skew | -0.56 | -0.34 |
| Kurtosis | 1.18 | 1.13 |
| Ulcer Performance Index | 68.05 | 122.96 |
| Risk-Adjusted Return | 803.65% | 623.53% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.98% | 0.83% |
| Avg. Win | 3.37% | 2.32% |
| Avg. Loss | -3.98% | -2.5% |
| Win/Loss Ratio | 0.85 | 0.93 |
| Profit Ratio | 0.44 | 0.42 |
| Expected Daily | 0.88% | 0.79% |
| Expected Monthly | 0.88% | 0.79% |
| Expected Yearly | 10.57% | 9.45% |
| Kelly Criterion | 27.34% | 36.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.14% | -3.58% |
| Expected Shortfall (cVaR) | -8.99% | -5.15% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.78 | 1.2 |
| Gain/Pain (1M) | 0.78 | 1.2 |
| Payoff Ratio | 0.85 | 0.93 |
| Profit Factor | 1.78 | 2.2 |
| Common Sense Ratio | 1.84 | 2.58 |
| CPC Index | 1.01 | 1.42 |
| Tail Ratio | 1.04 | 1.17 |
| Outlier Win Ratio | 3.22 | 2.99 |
| Outlier Loss Ratio | 2.69 | 3.0 |
| MTD | -1.05% | -0.7% |
| 3M | 13.91% | 1.82% |
| 6M | 8.94% | 0.13% |
| YTD | 8.94% | 0.13% |
| 1Y | 20.92% | 6.25% |
| 3Y (ann.) | 18.77% | 7.01% |
| 5Y (ann.) | 12.51% | 3.87% |
| 10Y (ann.) | 15.13% | 9.29% |
| All-time (ann.) | 11.05% | 9.88% |
| Best Day | 12.7% | 10.58% |
| Worst Day | -16.52% | -8.28% |
| Best Month | 12.7% | 10.58% |
| Worst Month | -16.52% | -8.28% |
| Best Year | 32.31% | 30.27% |
| Worst Year | -36.79% | -17.63% |
| Avg. Drawdown | -6.05% | -3.62% |
| Avg. Drawdown Days | 105 | 79 |
| Recovery Factor | 4.84 | 10.91 |
| Ulcer Index | 0.12 | 0.05 |
| Serenity Index | 2.72 | 8.27 |
| Avg. Up Month | 3.37% | 2.32% |
| Avg. Down Month | -3.98% | -2.5% |
| Win Days | 66.67% | 69.57% |
| Win Month | 66.67% | 69.57% |
| Win Quarter | 74.12% | 77.65% |
| Win Year | 86.36% | 86.36% |
| Beta | - | 0.52 |
| Alpha | - | 0.04 |
| Correlation | - | 83.32% |
| Treynor Ratio | - | 1217.91% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 5.47 | 0.83 | 0.15 | - |
| 2006 | 15.85 | 9.66 | 0.61 | - |
| 2007 | 5.15 | 9.58 | 1.86 | + |
| 2008 | -36.79 | -0.54 | 0.01 | + |
| 2009 | 26.35 | 29.63 | 1.12 | + |
| 2010 | 15.06 | 5.80 | 0.38 | - |
| 2011 | 1.89 | 3.17 | 1.67 | + |
| 2012 | 15.99 | 14.59 | 0.91 | - |
| 2013 | 32.31 | 30.27 | 0.94 | - |
| 2014 | 13.46 | 12.44 | 0.92 | - |
| 2015 | 1.23 | -2.44 | -1.97 | - |
| 2016 | 12.00 | 13.80 | 1.15 | + |
| 2017 | 21.71 | 17.43 | 0.80 | - |
| 2018 | -4.57 | 2.39 | -0.52 | + |
| 2019 | 31.22 | 13.27 | 0.42 | - |
| 2020 | 18.33 | 19.33 | 1.05 | + |
| 2021 | 28.73 | 26.26 | 0.91 | - |
| 2022 | -18.18 | -17.63 | 0.97 | + |
| 2023 | 26.18 | 10.51 | 0.40 | - |
| 2024 | 24.89 | 12.87 | 0.52 | - |
| 2025 | 17.72 | 8.71 | 0.49 | - |
| 2026 | 8.94 | 0.13 | 0.01 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -19.12 | 913 |
| 2010-05-31 | 2010-12-31 | -12.93 | 215 |
| 2008-09-30 | 2009-04-30 | -12.45 | 213 |
| 2011-05-31 | 2012-01-31 | -10.46 | 246 |
| 2020-02-29 | 2020-06-30 | -10.45 | 123 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |
| 2020-09-30 | 2020-10-31 | -6.12 | 32 |
| 2015-08-31 | 2016-05-31 | -5.99 | 275 |
| 2018-10-31 | 2019-03-31 | -5.04 | 152 |
| 2019-05-31 | 2019-09-30 | -4.53 | 123 |