| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 258.85% | 118.89% |
| CAGR﹪ | 14.81% | 8.84% |
| Sharpe | 0.95 | 0.77 |
| Prob. Sharpe Ratio | 99.7% | 99.13% |
| Smart Sharpe | 0.93 | 0.75 |
| Sortino | 1.55 | 1.33 |
| Smart Sortino | 1.51 | 1.29 |
| Sortino/√2 | 1.09 | 0.94 |
| Smart Sortino/√2 | 1.07 | 0.92 |
| Omega | 1.99 | 1.85 |
| Max Drawdown | -23.93% | -15.65% |
| Max DD Date | 2022-09-30 | 2020-03-31 |
| Max DD Period Start | 2022-01-31 | 2018-10-31 |
| Max DD Period End | 2023-11-30 | 2020-10-31 |
| Longest DD Days | 669 | 732 |
| Volatility (ann.) | 15.86% | 11.89% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 0.62 | 0.56 |
| Skew | -0.41 | 0.14 |
| Kurtosis | 0.42 | 1.03 |
| Ulcer Performance Index | 38.87 | 18.87 |
| Risk-Adjusted Return | 1718.85% | 492.13% |
| Risk-Return Ratio | 0.28 | 0.22 |
| Avg. Return | 1.26% | 0.77% |
| Avg. Win | 4.03% | 2.64% |
| Avg. Loss | -4.13% | -3.35% |
| Win/Loss Ratio | 0.98 | 0.79 |
| Profit Ratio | 0.42 | 0.46 |
| Expected Daily | 1.16% | 0.71% |
| Expected Monthly | 1.16% | 0.71% |
| Expected Yearly | 13.63% | 8.15% |
| Kelly Criterion | 36.14% | 24.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.27% | -4.88% |
| Expected Shortfall (cVaR) | -8.6% | -6.94% |
| Max Consecutive Wins | 9 | 7 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.99 | 0.85 |
| Gain/Pain (1M) | 0.99 | 0.85 |
| Payoff Ratio | 0.98 | 0.79 |
| Profit Factor | 1.99 | 1.85 |
| Common Sense Ratio | 2.16 | 2.51 |
| CPC Index | 1.33 | 0.97 |
| Tail Ratio | 1.09 | 1.36 |
| Outlier Win Ratio | 2.92 | 3.85 |
| Outlier Loss Ratio | 2.27 | 3.0 |
| MTD | -1.05% | -1.77% |
| 3M | 13.91% | 3.28% |
| 6M | 8.94% | 12.41% |
| YTD | 8.94% | 12.41% |
| 1Y | 20.92% | 17.94% |
| 3Y (ann.) | 18.77% | 11.14% |
| 5Y (ann.) | 12.51% | 8.24% |
| 10Y (ann.) | 14.81% | 8.84% |
| All-time (ann.) | 14.81% | 8.84% |
| Best Day | 12.7% | 11.33% |
| Worst Day | -12.49% | -8.47% |
| Best Month | 12.7% | 11.33% |
| Worst Month | -12.49% | -8.47% |
| Best Year | 31.22% | 20.55% |
| Worst Year | -18.18% | -4.24% |
| Avg. Drawdown | -6.66% | -4.51% |
| Avg. Drawdown Days | 81 | 123 |
| Recovery Factor | 5.85 | 5.43 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | 5.89 | 3.16 |
| Avg. Up Month | 4.03% | 2.64% |
| Avg. Down Month | -4.13% | -3.35% |
| Win Days | 68.47% | 66.67% |
| Win Month | 68.47% | 66.67% |
| Win Quarter | 73.68% | 65.79% |
| Win Year | 80.0% | 80.0% |
| Beta | - | 0.46 |
| Alpha | - | 0.02 |
| Correlation | - | 61.49% |
| Treynor Ratio | - | 257.9% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2017 | 13.77 | 9.34 | 0.68 | - |
| 2018 | -4.57 | -4.24 | 0.93 | + |
| 2019 | 31.22 | 8.34 | 0.27 | - |
| 2020 | 18.33 | 17.49 | 0.95 | - |
| 2021 | 28.73 | 15.40 | 0.54 | - |
| 2022 | -18.18 | -2.49 | 0.14 | + |
| 2023 | 26.18 | 0.45 | 0.02 | - |
| 2024 | 24.89 | 20.55 | 0.83 | - |
| 2025 | 17.72 | 7.22 | 0.41 | - |
| 2026 | 8.94 | 12.41 | 1.39 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-10-31 | 2020-10-31 | -15.65 | 732 |
| 2023-08-31 | 2024-02-29 | -10.99 | 183 |
| 2022-03-31 | 2023-06-30 | -9.68 | 457 |
| 2021-06-30 | 2021-09-30 | -6.72 | 93 |
| 2018-02-28 | 2018-05-31 | -5.62 | 93 |
| 2024-12-31 | 2025-06-30 | -5.37 | 182 |
| 2024-04-30 | 2024-06-30 | -4.46 | 62 |
| 2025-11-30 | 2026-01-31 | -3.42 | 63 |
| 2021-11-30 | 2022-01-31 | -3.04 | 63 |
| 2026-07-31 | 2026-07-31 | -1.77 | 1 |