| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 340.6% |
| CAGR﹪ | 10.92% | 8.15% |
| Sharpe | 0.74 | 1.03 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.72 | 0.99 |
| Sortino | 1.14 | 1.9 |
| Smart Sortino | 1.1 | 1.84 |
| Sortino/√2 | 0.8 | 1.34 |
| Smart Sortino/√2 | 0.78 | 1.3 |
| Omega | 1.73 | 2.19 |
| Max Drawdown | -50.78% | -9.79% |
| Max DD Date | 2009-02-28 | 2016-04-30 |
| Max DD Period Start | 2007-11-30 | 2015-04-30 |
| Max DD Period End | 2012-02-29 | 2017-06-30 |
| Longest DD Days | 1553 | 793 |
| Volatility (ann.) | 15.62% | 7.96% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 0.83 |
| Skew | -0.55 | 0.15 |
| Kurtosis | 0.93 | 0.66 |
| Ulcer Performance Index | 48.48 | 91.48 |
| Risk-Adjusted Return | 781.06% | 418.77% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.97% | 0.69% |
| Avg. Win | 3.69% | 2.09% |
| Avg. Loss | -3.83% | -2.01% |
| Win/Loss Ratio | 0.96 | 1.04 |
| Profit Ratio | 0.46 | 0.63 |
| Expected Daily | 0.87% | 0.66% |
| Expected Monthly | 0.87% | 0.66% |
| Expected Yearly | 10.3% | 7.7% |
| Kelly Criterion | 30.49% | 31.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -3.1% |
| Expected Shortfall (cVaR) | -9.17% | -4.08% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.73 | 1.19 |
| Gain/Pain (1M) | 0.73 | 1.19 |
| Payoff Ratio | 0.96 | 1.04 |
| Profit Factor | 1.73 | 2.19 |
| Common Sense Ratio | 1.78 | 3.29 |
| CPC Index | 1.1 | 1.49 |
| Tail Ratio | 1.03 | 1.5 |
| Outlier Win Ratio | 3.1 | 3.62 |
| Outlier Loss Ratio | 2.66 | 2.58 |
| MTD | -1.05% | 4.1% |
| 3M | 13.91% | 2.83% |
| 6M | 8.94% | 11.51% |
| YTD | 8.94% | 11.51% |
| 1Y | 20.92% | 19.84% |
| 3Y (ann.) | 18.77% | 7.92% |
| 5Y (ann.) | 12.51% | 5.44% |
| 10Y (ann.) | 15.13% | 6.75% |
| All-time (ann.) | 10.92% | 8.15% |
| Best Day | 12.7% | 7.72% |
| Worst Day | -16.52% | -7.04% |
| Best Month | 12.7% | 7.72% |
| Worst Month | -16.52% | -7.04% |
| Best Year | 32.31% | 40.26% |
| Worst Year | -36.79% | -6.29% |
| Avg. Drawdown | -6.67% | -3.18% |
| Avg. Drawdown Days | 114 | 127 |
| Recovery Factor | 4.33 | 15.8 |
| Ulcer Index | 0.13 | 0.04 |
| Serenity Index | 2.31 | 10.82 |
| Avg. Up Month | 3.69% | 2.09% |
| Avg. Down Month | -3.83% | -2.01% |
| Win Days | 65.93% | 65.2% |
| Win Month | 65.93% | 65.2% |
| Win Quarter | 72.73% | 64.94% |
| Win Year | 85.0% | 85.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.05 |
| Correlation | - | 52.37% |
| Treynor Ratio | - | 1276.63% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 8.60 | 136.14 | + |
| 2008 | -36.79 | 3.89 | -0.11 | + |
| 2009 | 26.35 | 40.26 | 1.53 | + |
| 2010 | 15.06 | 11.82 | 0.78 | - |
| 2011 | 1.89 | 4.14 | 2.18 | + |
| 2012 | 15.99 | 9.26 | 0.58 | - |
| 2013 | 32.31 | 10.64 | 0.33 | - |
| 2014 | 13.46 | 5.85 | 0.43 | - |
| 2015 | 1.23 | -6.29 | -5.10 | - |
| 2016 | 12.00 | 1.86 | 0.16 | - |
| 2017 | 21.71 | 15.41 | 0.71 | - |
| 2018 | -4.57 | -1.56 | 0.34 | + |
| 2019 | 31.22 | 5.86 | 0.19 | - |
| 2020 | 18.33 | 7.58 | 0.41 | - |
| 2021 | 28.73 | 12.55 | 0.44 | - |
| 2022 | -18.18 | 3.54 | -0.19 | + |
| 2023 | 26.18 | -0.70 | -0.03 | - |
| 2024 | 24.89 | 5.07 | 0.20 | - |
| 2025 | 17.72 | 11.62 | 0.66 | - |
| 2026 | 8.94 | 11.51 | 1.29 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-04-30 | 2017-06-30 | -9.79 | 793 |
| 2018-09-30 | 2020-10-31 | -7.63 | 763 |
| 2010-01-31 | 2010-03-31 | -7.04 | 60 |
| 2008-06-30 | 2009-04-30 | -6.22 | 305 |
| 2023-08-31 | 2024-07-31 | -5.63 | 336 |
| 2026-05-31 | 2026-07-31 | -5.32 | 62 |
| 2011-05-31 | 2012-03-31 | -5.27 | 306 |
| 2023-02-28 | 2023-06-30 | -4.94 | 123 |
| 2021-09-30 | 2022-02-28 | -4.58 | 152 |
| 2024-12-31 | 2025-05-31 | -4.46 | 152 |