| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 371.76% |
| CAGR﹪ | 11.13% | 8.0% |
| Sharpe | 0.77 | 0.97 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.69 | 0.87 |
| Sortino | 1.18 | 1.58 |
| Smart Sortino | 1.06 | 1.41 |
| Sortino/√2 | 0.84 | 1.12 |
| Smart Sortino/√2 | 0.75 | 1.0 |
| Omega | 1.77 | 2.08 |
| Max Drawdown | -50.78% | -17.15% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 1553 | 760 |
| Volatility (ann.) | 15.22% | 8.34% |
| R^2 | 0.61 | 0.61 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.22 | 0.47 |
| Skew | -0.56 | -0.57 |
| Kurtosis | 1.09 | 1.93 |
| Ulcer Performance Index | 60.76 | 94.95 |
| Risk-Adjusted Return | 817.9% | 403.0% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.98% | 0.67% |
| Avg. Win | 3.85% | 2.2% |
| Avg. Loss | -4.44% | -2.33% |
| Win/Loss Ratio | 0.87 | 0.94 |
| Profit Ratio | 0.43 | 0.71 |
| Expected Daily | 0.88% | 0.64% |
| Expected Monthly | 0.88% | 0.64% |
| Expected Yearly | 10.67% | 7.67% |
| Kelly Criterion | 28.57% | 24.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.29% |
| Expected Shortfall (cVaR) | -8.99% | -5.22% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.77 | 1.08 |
| Gain/Pain (1M) | 0.77 | 1.08 |
| Payoff Ratio | 0.87 | 0.94 |
| Profit Factor | 1.77 | 2.08 |
| Common Sense Ratio | 1.89 | 2.91 |
| CPC Index | 1.03 | 1.24 |
| Tail Ratio | 1.07 | 1.4 |
| Outlier Win Ratio | 3.19 | 2.89 |
| Outlier Loss Ratio | 2.65 | 3.3 |
| MTD | -1.05% | -0.38% |
| 3M | 13.91% | 2.04% |
| 6M | 8.94% | 3.96% |
| YTD | 8.94% | 3.96% |
| 1Y | 20.92% | 15.09% |
| 3Y (ann.) | 18.77% | 12.83% |
| 5Y (ann.) | 12.51% | 7.11% |
| 10Y (ann.) | 15.13% | 8.1% |
| All-time (ann.) | 11.13% | 8.0% |
| Best Day | 12.7% | 7.13% |
| Worst Day | -16.52% | -10.62% |
| Best Month | 12.7% | 7.13% |
| Worst Month | -16.52% | -10.62% |
| Best Year | 32.31% | 19.18% |
| Worst Year | -36.79% | -12.48% |
| Avg. Drawdown | -6.45% | -2.7% |
| Avg. Drawdown Days | 110 | 78 |
| Recovery Factor | 4.67 | 9.48 |
| Ulcer Index | 0.12 | 0.04 |
| Serenity Index | 2.58 | 8.92 |
| Avg. Up Month | 3.85% | 2.2% |
| Avg. Down Month | -4.44% | -2.33% |
| Win Days | 66.8% | 63.22% |
| Win Month | 66.8% | 63.22% |
| Win Quarter | 74.39% | 73.17% |
| Win Year | 85.71% | 80.95% |
| Beta | - | 0.43 |
| Alpha | - | 0.03 |
| Correlation | - | 77.92% |
| Treynor Ratio | - | 871.33% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 7.18 | 0.57 | - |
| 2007 | 5.15 | 9.40 | 1.83 | + |
| 2008 | -36.79 | -4.94 | 0.13 | + |
| 2009 | 26.35 | 12.30 | 0.47 | - |
| 2010 | 15.06 | 16.94 | 1.12 | + |
| 2011 | 1.89 | 9.77 | 5.16 | + |
| 2012 | 15.99 | 9.29 | 0.58 | - |
| 2013 | 32.31 | 3.06 | 0.09 | - |
| 2014 | 13.46 | 9.98 | 0.74 | - |
| 2015 | 1.23 | -2.53 | -2.05 | - |
| 2016 | 12.00 | 9.79 | 0.82 | - |
| 2017 | 21.71 | 11.24 | 0.52 | - |
| 2018 | -4.57 | -3.42 | 0.75 | + |
| 2019 | 31.22 | 18.11 | 0.58 | - |
| 2020 | 18.33 | 16.97 | 0.93 | - |
| 2021 | 28.73 | 9.14 | 0.32 | - |
| 2022 | -18.18 | -12.48 | 0.69 | + |
| 2023 | 26.18 | 12.80 | 0.49 | - |
| 2024 | 24.89 | 11.77 | 0.47 | - |
| 2025 | 17.72 | 19.18 | 1.08 | + |
| 2026 | 8.94 | 3.96 | 0.44 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -17.15 | 760 |
| 2008-06-30 | 2009-08-31 | -15.99 | 428 |
| 2020-02-29 | 2020-04-30 | -7.61 | 62 |
| 2015-02-28 | 2016-02-29 | -5.48 | 367 |
| 2026-03-31 | 2026-07-31 | -5.08 | 123 |
| 2013-04-30 | 2013-09-30 | -4.99 | 154 |
| 2018-02-28 | 2019-01-31 | -4.77 | 338 |
| 2016-08-31 | 2017-01-31 | -3.92 | 154 |
| 2024-12-31 | 2025-04-30 | -3.57 | 121 |
| 2011-09-30 | 2011-09-30 | -3.22 | 1 |