| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 805.45% | 65.64% |
| CAGR﹪ | 14.13% | 3.07% |
| Sharpe | 1.0 | 0.56 |
| Prob. Sharpe Ratio | 100.0% | 98.57% |
| Smart Sharpe | 0.88 | 0.49 |
| Sortino | 1.65 | 0.83 |
| Smart Sortino | 1.46 | 0.73 |
| Sortino/√2 | 1.17 | 0.58 |
| Smart Sortino/√2 | 1.03 | 0.52 |
| Omega | 2.07 | 1.54 |
| Max Drawdown | -23.93% | -11.35% |
| Max DD Date | 2022-09-30 | 2012-05-31 |
| Max DD Period Start | 2022-01-31 | 2011-05-31 |
| Max DD Period End | 2023-11-30 | 2017-06-30 |
| Longest DD Days | 669 | 2223 |
| Volatility (ann.) | 14.38% | 5.74% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.27 | -0.27 |
| Calmar | 0.59 | 0.27 |
| Skew | -0.33 | -0.45 |
| Kurtosis | 0.54 | 1.11 |
| Ulcer Performance Index | 144.82 | 14.87 |
| Risk-Adjusted Return | 1505.64% | 88.87% |
| Risk-Return Ratio | 0.29 | 0.16 |
| Avg. Return | 1.2% | 0.28% |
| Avg. Win | 3.42% | 1.23% |
| Avg. Loss | -4.01% | -1.68% |
| Win/Loss Ratio | 0.85 | 0.73 |
| Profit Ratio | 0.44 | 0.49 |
| Expected Daily | 1.11% | 0.25% |
| Expected Monthly | 1.11% | 0.25% |
| Expected Yearly | 13.02% | 2.84% |
| Kelly Criterion | 31.2% | 14.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.63% | -2.46% |
| Expected Shortfall (cVaR) | -7.81% | -3.5% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 1.07 | 0.54 |
| Gain/Pain (1M) | 1.07 | 0.54 |
| Payoff Ratio | 0.85 | 0.73 |
| Profit Factor | 2.07 | 1.54 |
| Common Sense Ratio | 2.39 | 1.64 |
| CPC Index | 1.2 | 0.72 |
| Tail Ratio | 1.16 | 1.06 |
| Outlier Win Ratio | 3.22 | 3.37 |
| Outlier Loss Ratio | 2.48 | 2.99 |
| MTD | -1.05% | 1.13% |
| 3M | 13.91% | 5.75% |
| 6M | 8.94% | 10.3% |
| YTD | 8.94% | 10.3% |
| 1Y | 20.92% | 16.77% |
| 3Y (ann.) | 18.77% | 7.27% |
| 5Y (ann.) | 12.51% | 4.64% |
| 10Y (ann.) | 15.13% | 4.67% |
| All-time (ann.) | 14.13% | 3.07% |
| Best Day | 12.7% | 4.81% |
| Worst Day | -12.49% | -5.04% |
| Best Month | 12.7% | 4.81% |
| Worst Month | -12.49% | -5.04% |
| Best Year | 32.31% | 12.37% |
| Worst Year | -18.18% | -2.81% |
| Avg. Drawdown | -5.65% | -3.56% |
| Avg. Drawdown Days | 70 | 320 |
| Recovery Factor | 9.98 | 4.7 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 11.61 | 2.23 |
| Avg. Up Month | 3.42% | 1.23% |
| Avg. Down Month | -4.01% | -1.68% |
| Win Days | 68.34% | 64.0% |
| Win Month | 68.34% | 64.0% |
| Win Quarter | 77.94% | 63.24% |
| Win Year | 88.89% | 72.22% |
| Beta | - | 0.23 |
| Alpha | - | -0.0 |
| Correlation | - | 57.59% |
| Treynor Ratio | - | 285.46% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 1.91 | -0.83 | -0.44 | - |
| 2010 | 15.06 | 3.32 | 0.22 | - |
| 2011 | 1.89 | -0.63 | -0.33 | - |
| 2012 | 15.99 | 0.43 | 0.03 | - |
| 2013 | 32.31 | 0.63 | 0.02 | - |
| 2014 | 13.46 | 1.86 | 0.14 | - |
| 2015 | 1.23 | -2.81 | -2.28 | - |
| 2016 | 12.00 | 2.15 | 0.18 | - |
| 2017 | 21.71 | 12.37 | 0.57 | - |
| 2018 | -4.57 | -2.63 | 0.57 | + |
| 2019 | 31.22 | 5.76 | 0.18 | - |
| 2020 | 18.33 | 2.69 | 0.15 | - |
| 2021 | 28.73 | 8.55 | 0.30 | - |
| 2022 | -18.18 | -1.28 | 0.07 | + |
| 2023 | 26.18 | 1.03 | 0.04 | - |
| 2024 | 24.89 | 2.20 | 0.09 | - |
| 2025 | 17.72 | 9.78 | 0.55 | - |
| 2026 | 8.94 | 10.30 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2017-06-30 | -11.35 | 2223 |
| 2020-01-31 | 2020-11-30 | -5.74 | 305 |
| 2018-02-28 | 2019-11-30 | -5.57 | 641 |
| 2009-12-31 | 2010-09-30 | -5.38 | 274 |
| 2024-10-31 | 2025-07-31 | -4.16 | 274 |
| 2022-06-30 | 2024-02-29 | -3.87 | 610 |
| 2026-03-31 | 2026-03-31 | -3.36 | 1 |
| 2010-11-30 | 2010-11-30 | -2.69 | 1 |
| 2024-04-30 | 2024-06-30 | -2.37 | 62 |
| 2021-11-30 | 2021-11-30 | -2.09 | 1 |