| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 289.79% |
| CAGR﹪ | 10.92% | 7.46% |
| Sharpe | 0.74 | 1.04 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.68 | 0.95 |
| Sortino | 1.14 | 1.91 |
| Smart Sortino | 1.04 | 1.75 |
| Sortino/√2 | 0.8 | 1.35 |
| Smart Sortino/√2 | 0.73 | 1.24 |
| Omega | 1.73 | 2.22 |
| Max Drawdown | -50.78% | -8.33% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2010-03-31 |
| Longest DD Days | 1553 | 793 |
| Volatility (ann.) | 15.62% | 7.2% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.9 |
| Skew | -0.55 | 0.19 |
| Kurtosis | 0.93 | 1.11 |
| Ulcer Performance Index | 48.48 | 102.69 |
| Risk-Adjusted Return | 781.06% | 352.79% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.97% | 0.63% |
| Avg. Win | 3.46% | 1.69% |
| Avg. Loss | -4.0% | -1.93% |
| Win/Loss Ratio | 0.86 | 0.87 |
| Profit Ratio | 0.46 | 0.56 |
| Expected Daily | 0.87% | 0.6% |
| Expected Monthly | 0.87% | 0.6% |
| Expected Yearly | 10.3% | 7.04% |
| Kelly Criterion | 26.53% | 28.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -2.8% |
| Expected Shortfall (cVaR) | -9.17% | -3.79% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.73 | 1.22 |
| Gain/Pain (1M) | 0.73 | 1.22 |
| Payoff Ratio | 0.86 | 0.87 |
| Profit Factor | 1.73 | 2.22 |
| Common Sense Ratio | 1.78 | 3.41 |
| CPC Index | 0.99 | 1.29 |
| Tail Ratio | 1.03 | 1.53 |
| Outlier Win Ratio | 3.1 | 3.73 |
| Outlier Loss Ratio | 2.66 | 2.78 |
| MTD | -1.05% | 0.23% |
| 3M | 13.91% | 0.11% |
| 6M | 8.94% | 7.46% |
| YTD | 8.94% | 7.46% |
| 1Y | 20.92% | 18.62% |
| 3Y (ann.) | 18.77% | 11.31% |
| 5Y (ann.) | 12.51% | 6.94% |
| 10Y (ann.) | 15.13% | 6.86% |
| All-time (ann.) | 10.92% | 7.46% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -16.52% | -6.3% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -16.52% | -6.3% |
| Best Year | 32.31% | 21.47% |
| Worst Year | -36.79% | -2.88% |
| Avg. Drawdown | -6.67% | -2.98% |
| Avg. Drawdown Days | 114 | 148 |
| Recovery Factor | 4.33 | 16.96 |
| Ulcer Index | 0.13 | 0.03 |
| Serenity Index | 2.31 | 15.97 |
| Avg. Up Month | 3.46% | 1.69% |
| Avg. Down Month | -4.0% | -1.93% |
| Win Days | 65.93% | 66.52% |
| Win Month | 65.93% | 66.52% |
| Win Quarter | 72.73% | 70.13% |
| Win Year | 85.0% | 75.0% |
| Beta | - | 0.14 |
| Alpha | - | 0.06 |
| Correlation | - | 30.3% |
| Treynor Ratio | - | 2075.33% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 11.41 | 180.68 | + |
| 2008 | -36.79 | 21.47 | -0.58 | + |
| 2009 | 26.35 | -0.72 | -0.03 | - |
| 2010 | 15.06 | 12.89 | 0.86 | - |
| 2011 | 1.89 | 8.46 | 4.47 | + |
| 2012 | 15.99 | 8.26 | 0.52 | - |
| 2013 | 32.31 | 6.41 | 0.20 | - |
| 2014 | 13.46 | 3.15 | 0.23 | - |
| 2015 | 1.23 | -2.72 | -2.20 | - |
| 2016 | 12.00 | 3.07 | 0.26 | - |
| 2017 | 21.71 | 10.95 | 0.50 | - |
| 2018 | -4.57 | -2.36 | 0.52 | + |
| 2019 | 31.22 | 11.24 | 0.36 | - |
| 2020 | 18.33 | 3.37 | 0.18 | - |
| 2021 | 28.73 | 16.10 | 0.56 | - |
| 2022 | -18.18 | -2.88 | 0.16 | + |
| 2023 | 26.18 | -0.03 | -0.00 | - |
| 2024 | 24.89 | 10.82 | 0.43 | - |
| 2025 | 17.72 | 18.92 | 1.07 | + |
| 2026 | 8.94 | 7.46 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-03-31 | -8.33 | 425 |
| 2018-02-28 | 2019-07-31 | -6.51 | 519 |
| 2010-05-31 | 2010-08-31 | -6.30 | 93 |
| 2015-02-28 | 2017-04-30 | -5.88 | 793 |
| 2022-01-31 | 2024-02-29 | -5.35 | 760 |
| 2020-01-31 | 2020-05-31 | -5.29 | 122 |
| 2013-05-31 | 2014-03-31 | -4.85 | 305 |
| 2014-07-31 | 2014-12-31 | -4.06 | 154 |
| 2020-09-30 | 2021-01-31 | -3.55 | 124 |
| 2011-05-31 | 2011-07-31 | -3.49 | 62 |