| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,235.99% | 792.37% |
| CAGR﹪ | 11.71% | 9.8% |
| Sharpe | 0.84 | 1.09 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.83 | 1.07 |
| Sortino | 1.3 | 1.83 |
| Smart Sortino | 1.28 | 1.8 |
| Sortino/√2 | 0.92 | 1.29 |
| Smart Sortino/√2 | 0.91 | 1.27 |
| Omega | 1.87 | 2.25 |
| 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.) | 14.51% | 9.0% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.23 | 0.51 |
| Skew | -0.56 | -0.33 |
| Kurtosis | 1.35 | 1.25 |
| Ulcer Performance Index | 109.15 | 162.85 |
| Risk-Adjusted Return | 922.39% | 611.94% |
| Risk-Return Ratio | 0.24 | 0.31 |
| Avg. Return | 1.02% | 0.82% |
| Avg. Win | 3.29% | 2.24% |
| Avg. Loss | -3.83% | -2.4% |
| Win/Loss Ratio | 0.86 | 0.93 |
| Profit Ratio | 0.43 | 0.42 |
| Expected Daily | 0.93% | 0.78% |
| Expected Monthly | 0.93% | 0.78% |
| Expected Yearly | 11.41% | 9.55% |
| Kelly Criterion | 29.66% | 37.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.87% | -3.46% |
| Expected Shortfall (cVaR) | -8.53% | -5.06% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.87 | 1.25 |
| Gain/Pain (1M) | 0.87 | 1.25 |
| Payoff Ratio | 0.86 | 0.93 |
| Profit Factor | 1.87 | 2.25 |
| Common Sense Ratio | 1.9 | 2.86 |
| CPC Index | 1.08 | 1.47 |
| Tail Ratio | 1.02 | 1.27 |
| Outlier Win Ratio | 3.28 | 3.09 |
| Outlier Loss Ratio | 2.69 | 3.12 |
| MTD | -1.05% | -0.89% |
| 3M | 13.91% | 1.63% |
| 6M | 8.94% | -0.06% |
| YTD | 8.94% | -0.06% |
| 1Y | 20.92% | 6.04% |
| 3Y (ann.) | 18.77% | 6.94% |
| 5Y (ann.) | 12.51% | 3.83% |
| 10Y (ann.) | 15.13% | 9.27% |
| All-time (ann.) | 11.71% | 9.8% |
| 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 | 33.21% | 30.27% |
| Worst Year | -36.79% | -17.63% |
| Avg. Drawdown | -5.71% | -3.45% |
| Avg. Drawdown Days | 102 | 79 |
| Recovery Factor | 5.62 | 11.99 |
| Ulcer Index | 0.11 | 0.05 |
| Serenity Index | 3.22 | 9.36 |
| Avg. Up Month | 3.29% | 2.24% |
| Avg. Down Month | -3.83% | -2.4% |
| Win Days | 67.5% | 69.75% |
| Win Month | 67.5% | 69.75% |
| Win Quarter | 74.74% | 76.84% |
| Win Year | 87.5% | 79.17% |
| Beta | - | 0.51 |
| Alpha | - | 0.04 |
| Correlation | - | 82.45% |
| Treynor Ratio | - | 1549.04% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2003 | 33.21 | 14.74 | 0.44 | - |
| 2004 | 10.70 | 7.75 | 0.72 | - |
| 2005 | 4.83 | -0.01 | -0.00 | - |
| 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 | -0.06 | -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 |