| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 987.76% | 246.77% |
| CAGR﹪ | 14.99% | 7.55% |
| Sharpe | 1.05 | 1.02 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.89 | 0.87 |
| Sortino | 1.76 | 1.68 |
| Smart Sortino | 1.49 | 1.43 |
| Sortino/√2 | 1.24 | 1.19 |
| Smart Sortino/√2 | 1.06 | 1.01 |
| Omega | 2.14 | 2.07 |
| Max Drawdown | -23.93% | -12.41% |
| Max DD Date | 2022-09-30 | 2020-03-31 |
| Max DD Period Start | 2022-01-31 | 2018-02-28 |
| Max DD Period End | 2023-11-30 | 2020-11-30 |
| Longest DD Days | 669 | 1007 |
| Volatility (ann.) | 14.37% | 7.41% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 0.63 | 0.61 |
| Skew | -0.34 | -0.44 |
| Kurtosis | 0.52 | 0.02 |
| Ulcer Performance Index | 179.76 | 57.13 |
| Risk-Adjusted Return | 1780.08% | 361.16% |
| Risk-Return Ratio | 0.3 | 0.3 |
| Avg. Return | 1.26% | 0.64% |
| Avg. Win | 3.66% | 1.9% |
| Avg. Loss | -4.06% | -2.32% |
| Win/Loss Ratio | 0.9 | 0.82 |
| Profit Ratio | 0.44 | 0.49 |
| Expected Daily | 1.17% | 0.61% |
| Expected Monthly | 1.17% | 0.61% |
| Expected Yearly | 14.18% | 7.15% |
| Kelly Criterion | 33.84% | 27.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.57% | -2.89% |
| Expected Shortfall (cVaR) | -7.65% | -3.85% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 1.14 | 1.07 |
| Gain/Pain (1M) | 1.14 | 1.07 |
| Payoff Ratio | 0.9 | 0.82 |
| Profit Factor | 2.14 | 2.07 |
| Common Sense Ratio | 2.6 | 2.17 |
| CPC Index | 1.33 | 1.14 |
| Tail Ratio | 1.21 | 1.05 |
| Outlier Win Ratio | 3.17 | 2.8 |
| Outlier Loss Ratio | 2.5 | 2.62 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 5.97% |
| 6M | 8.94% | 10.21% |
| YTD | 8.94% | 10.21% |
| 1Y | 20.92% | 20.7% |
| 3Y (ann.) | 18.77% | 11.0% |
| 5Y (ann.) | 12.51% | 6.78% |
| 10Y (ann.) | 15.13% | 6.62% |
| All-time (ann.) | 14.99% | 7.55% |
| Best Day | 12.7% | 5.68% |
| Worst Day | -12.49% | -5.4% |
| Best Month | 12.7% | 5.68% |
| Worst Month | -12.49% | -5.4% |
| Best Year | 32.31% | 16.9% |
| Worst Year | -18.18% | -9.43% |
| Avg. Drawdown | -5.54% | -3.22% |
| Avg. Drawdown Days | 68 | 122 |
| Recovery Factor | 10.77 | 10.43 |
| Ulcer Index | 0.05 | 0.04 |
| Serenity Index | 12.9 | 6.66 |
| Avg. Up Month | 3.66% | 1.9% |
| Avg. Down Month | -4.06% | -2.32% |
| Win Days | 68.63% | 67.32% |
| Win Month | 68.63% | 67.32% |
| Win Quarter | 78.26% | 76.81% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.35 |
| Alpha | - | 0.02 |
| Correlation | - | 66.97% |
| Treynor Ratio | - | 714.73% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 22.43 | 10.02 | 0.45 | - |
| 2010 | 15.06 | 9.38 | 0.62 | - |
| 2011 | 1.89 | 11.30 | 5.96 | + |
| 2012 | 15.99 | 8.96 | 0.56 | - |
| 2013 | 32.31 | 10.52 | 0.33 | - |
| 2014 | 13.46 | 9.37 | 0.70 | - |
| 2015 | 1.23 | -6.83 | -5.53 | - |
| 2016 | 12.00 | 11.43 | 0.95 | - |
| 2017 | 21.71 | 16.90 | 0.78 | - |
| 2018 | -4.57 | -6.77 | 1.48 | - |
| 2019 | 31.22 | 7.69 | 0.25 | - |
| 2020 | 18.33 | 4.34 | 0.24 | - |
| 2021 | 28.73 | 15.80 | 0.55 | - |
| 2022 | -18.18 | -9.43 | 0.52 | + |
| 2023 | 26.18 | 8.61 | 0.33 | - |
| 2024 | 24.89 | 6.07 | 0.24 | - |
| 2025 | 17.72 | 16.11 | 0.91 | - |
| 2026 | 8.94 | 10.21 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-02-28 | 2020-11-30 | -12.41 | 1007 |
| 2022-01-31 | 2024-02-29 | -10.75 | 760 |
| 2015-02-28 | 2016-06-30 | -10.20 | 489 |
| 2026-03-31 | 2026-04-30 | -4.75 | 31 |
| 2013-05-31 | 2013-09-30 | -4.13 | 123 |
| 2010-05-31 | 2010-09-30 | -4.03 | 123 |
| 2024-12-31 | 2025-05-31 | -4.03 | 152 |
| 2014-09-30 | 2014-10-31 | -3.73 | 32 |
| 2014-01-31 | 2014-02-28 | -3.38 | 29 |
| 2011-05-31 | 2011-07-31 | -3.27 | 62 |