| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 883.48% | 809.16% |
| CAGR﹪ | 10.69% | 10.31% |
| Sharpe | 0.77 | 0.8 |
| Prob. Sharpe Ratio | 99.97% | 99.99% |
| Smart Sharpe | 0.69 | 0.71 |
| Sortino | 1.18 | 1.35 |
| Smart Sortino | 1.06 | 1.21 |
| Sortino/√2 | 0.84 | 0.96 |
| Smart Sortino/√2 | 0.75 | 0.85 |
| Omega | 1.78 | 1.83 |
| Max Drawdown | -50.78% | -30.23% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2021-11-30 |
| Max DD Period End | 2012-02-29 | 2024-08-31 |
| Longest DD Days | 1553 | 1038 |
| Volatility (ann.) | 14.62% | 13.48% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.34 |
| Skew | -0.55 | 0.08 |
| Kurtosis | 1.3 | 1.34 |
| Ulcer Performance Index | 76.47 | 103.98 |
| Risk-Adjusted Return | 744.47% | 684.75% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.94% | 0.9% |
| Avg. Win | 3.03% | 2.89% |
| Avg. Loss | -3.43% | -3.2% |
| Win/Loss Ratio | 0.88 | 0.9 |
| Profit Ratio | 0.44 | 0.7 |
| Expected Daily | 0.85% | 0.82% |
| Expected Monthly | 0.85% | 0.82% |
| Expected Yearly | 10.45% | 10.07% |
| Kelly Criterion | 28.68% | 19.34% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.0% | -5.51% |
| Expected Shortfall (cVaR) | -8.53% | -7.55% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.78 | 0.83 |
| Gain/Pain (1M) | 0.78 | 0.83 |
| Payoff Ratio | 0.88 | 0.9 |
| Profit Factor | 1.78 | 1.83 |
| Common Sense Ratio | 1.8 | 2.04 |
| CPC Index | 1.04 | 1.02 |
| Tail Ratio | 1.01 | 1.12 |
| Outlier Win Ratio | 3.29 | 3.66 |
| Outlier Loss Ratio | 2.71 | 2.94 |
| MTD | -1.05% | -0.76% |
| 3M | 13.91% | 2.42% |
| 6M | 8.94% | -1.43% |
| YTD | 8.94% | -1.43% |
| 1Y | 20.92% | 9.42% |
| 3Y (ann.) | 18.77% | 6.77% |
| 5Y (ann.) | 12.51% | 2.29% |
| 10Y (ann.) | 15.13% | 8.52% |
| All-time (ann.) | 10.69% | 10.31% |
| Best Day | 12.7% | 14.34% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 14.34% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 32.31% | 38.28% |
| Worst Year | -36.79% | -22.79% |
| Avg. Drawdown | -5.84% | -6.1% |
| Avg. Drawdown Days | 105 | 144 |
| Recovery Factor | 5.0 | 8.0 |
| Ulcer Index | 0.12 | 0.08 |
| Serenity Index | 2.83 | 6.22 |
| Avg. Up Month | 3.03% | 2.89% |
| Avg. Down Month | -3.43% | -3.2% |
| Win Days | 66.54% | 61.71% |
| Win Month | 66.54% | 61.71% |
| Win Quarter | 73.63% | 63.74% |
| Win Year | 86.96% | 86.96% |
| Beta | - | 0.38 |
| Alpha | - | 0.06 |
| Correlation | - | 41.56% |
| Treynor Ratio | - | 2111.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2004 | 8.55 | 0.76 | 0.09 | - |
| 2005 | 4.83 | 2.52 | 0.52 | - |
| 2006 | 15.85 | 13.12 | 0.83 | - |
| 2007 | 5.15 | 2.63 | 0.51 | - |
| 2008 | -36.79 | 23.83 | -0.65 | + |
| 2009 | 26.35 | 7.21 | 0.27 | - |
| 2010 | 15.06 | 20.62 | 1.37 | + |
| 2011 | 1.89 | 38.28 | 20.20 | + |
| 2012 | 15.99 | 7.93 | 0.50 | - |
| 2013 | 32.31 | 32.31 | 1.00 | - |
| 2014 | 13.46 | 12.40 | 0.92 | - |
| 2015 | 1.23 | -5.52 | -4.47 | - |
| 2016 | 12.00 | 2.18 | 0.18 | - |
| 2017 | 21.71 | 13.15 | 0.61 | - |
| 2018 | -4.57 | 10.06 | -2.20 | + |
| 2019 | 31.22 | 12.56 | 0.40 | - |
| 2020 | 18.33 | 19.19 | 1.05 | + |
| 2021 | 28.73 | 18.47 | 0.64 | - |
| 2022 | -18.18 | -22.79 | 1.25 | - |
| 2023 | 26.18 | 24.25 | 0.93 | - |
| 2024 | 24.89 | 5.97 | 0.24 | - |
| 2025 | 17.72 | 11.38 | 0.64 | - |
| 2026 | 8.94 | -1.43 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2024-08-31 | -30.23 | 1006 |
| 2015-02-28 | 2017-12-31 | -18.16 | 1038 |
| 2009-01-31 | 2009-08-31 | -17.13 | 213 |
| 2007-06-30 | 2008-10-31 | -11.97 | 490 |
| 2019-09-30 | 2020-06-30 | -9.31 | 275 |
| 2012-04-30 | 2012-12-31 | -8.29 | 246 |
| 2010-05-31 | 2010-07-31 | -7.95 | 62 |
| 2004-03-31 | 2005-03-31 | -7.57 | 366 |
| 2025-02-28 | 2025-07-31 | -6.97 | 154 |
| 2018-10-31 | 2018-11-30 | -6.91 | 31 |