| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 397.2% |
| CAGR﹪ | 11.13% | 8.28% |
| Sharpe | 0.77 | 0.63 |
| Prob. Sharpe Ratio | 99.95% | 99.77% |
| Smart Sharpe | 0.74 | 0.6 |
| Sortino | 1.18 | 1.06 |
| Smart Sortino | 1.13 | 1.01 |
| Sortino/√2 | 0.84 | 0.75 |
| Smart Sortino/√2 | 0.8 | 0.72 |
| Omega | 1.77 | 1.88 |
| Max Drawdown | -50.78% | -29.0% |
| Max DD Date | 2009-02-28 | 2016-12-31 |
| Max DD Period Start | 2007-11-30 | 2011-09-30 |
| Max DD Period End | 2012-02-29 | 2020-03-31 |
| Longest DD Days | 1553 | 3106 |
| Volatility (ann.) | 15.22% | 14.2% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.22 | 0.29 |
| Skew | -0.56 | 0.06 |
| Kurtosis | 1.09 | 2.6 |
| Ulcer Performance Index | 60.76 | 28.4 |
| Risk-Adjusted Return | 817.9% | 431.27% |
| Risk-Return Ratio | 0.22 | 0.18 |
| Avg. Return | 0.98% | 0.74% |
| Avg. Win | 3.24% | 2.12% |
| Avg. Loss | -3.99% | -3.66% |
| Win/Loss Ratio | 0.81 | 0.58 |
| Profit Ratio | 0.43 | 0.25 |
| Expected Daily | 0.88% | 0.66% |
| Expected Monthly | 0.88% | 0.66% |
| Expected Yearly | 10.67% | 7.94% |
| Kelly Criterion | 25.94% | 26.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -6.0% |
| Expected Shortfall (cVaR) | -8.99% | -8.97% |
| Max Consecutive Wins | 15 | 33 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.77 | 0.88 |
| Gain/Pain (1M) | 0.77 | 0.88 |
| Payoff Ratio | 0.81 | 0.58 |
| Profit Factor | 1.77 | 1.88 |
| Common Sense Ratio | 1.89 | 2.73 |
| CPC Index | 0.96 | 0.79 |
| Tail Ratio | 1.07 | 1.45 |
| Outlier Win Ratio | 3.19 | 5.51 |
| Outlier Loss Ratio | 2.65 | 3.49 |
| MTD | -1.05% | 1.26% |
| 3M | 13.91% | -13.31% |
| 6M | 8.94% | -5.87% |
| YTD | 8.94% | -5.87% |
| 1Y | 20.92% | 22.37% |
| 3Y (ann.) | 18.77% | 21.28% |
| 5Y (ann.) | 12.51% | 13.33% |
| 10Y (ann.) | 15.13% | 9.02% |
| All-time (ann.) | 11.13% | 8.28% |
| Best Day | 12.7% | 12.79% |
| Worst Day | -16.52% | -16.14% |
| Best Month | 12.7% | 12.79% |
| Worst Month | -16.52% | -16.14% |
| Best Year | 32.31% | 51.35% |
| Worst Year | -36.79% | -9.3% |
| Avg. Drawdown | -6.45% | -8.84% |
| Avg. Drawdown Days | 110 | 399 |
| Recovery Factor | 4.67 | 6.24 |
| Ulcer Index | 0.12 | 0.14 |
| Serenity Index | 2.58 | 2.04 |
| Avg. Up Month | 3.24% | 2.12% |
| Avg. Down Month | -3.99% | -3.66% |
| Win Days | 66.8% | 73.14% |
| Win Month | 66.8% | 73.14% |
| Win Quarter | 74.39% | 80.49% |
| Win Year | 85.71% | 61.9% |
| Beta | - | 0.1 |
| Alpha | - | 0.08 |
| Correlation | - | 11.02% |
| Treynor Ratio | - | 3861.79% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 7.95 | 0.63 | - |
| 2007 | 5.15 | 30.45 | 5.92 | + |
| 2008 | -36.79 | -6.88 | 0.19 | + |
| 2009 | 26.35 | 26.58 | 1.01 | + |
| 2010 | 15.06 | 19.51 | 1.30 | + |
| 2011 | 1.89 | 9.57 | 5.05 | + |
| 2012 | 15.99 | -0.19 | -0.01 | - |
| 2013 | 32.31 | -0.56 | -0.02 | - |
| 2014 | 13.46 | -3.71 | -0.28 | - |
| 2015 | 1.23 | -5.96 | -4.83 | - |
| 2016 | 12.00 | -7.62 | -0.64 | - |
| 2017 | 21.71 | 8.36 | 0.39 | - |
| 2018 | -4.57 | 2.74 | -0.60 | + |
| 2019 | 31.22 | 16.93 | 0.54 | - |
| 2020 | 18.33 | 24.81 | 1.35 | + |
| 2021 | 28.73 | -9.30 | -0.32 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 5.00 | 0.19 | - |
| 2024 | 24.89 | 22.56 | 0.91 | - |
| 2025 | 17.72 | 51.35 | 2.90 | + |
| 2026 | 8.94 | -5.87 | -0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-09-30 | 2020-03-31 | -29.00 | 3106 |
| 2008-03-31 | 2009-10-31 | -25.85 | 580 |
| 2026-03-31 | 2026-07-31 | -23.85 | 123 |
| 2020-08-31 | 2024-02-29 | -12.78 | 1278 |
| 2009-12-31 | 2010-08-31 | -7.73 | 244 |
| 2011-01-31 | 2011-02-28 | -6.38 | 29 |
| 2024-11-30 | 2025-02-28 | -4.49 | 91 |
| 2007-05-31 | 2007-08-31 | -4.20 | 93 |
| 2011-05-31 | 2011-06-30 | -4.18 | 31 |
| 2006-12-31 | 2006-12-31 | -1.83 | 1 |