| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 856.36% | 10,803.65% |
| CAGR﹪ | 9.45% | 20.64% |
| Sharpe | 0.68 | 1.22 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.68 | 1.22 |
| Sortino | 1.03 | 2.3 |
| Smart Sortino | 1.03 | 2.29 |
| Sortino/√2 | 0.73 | 1.62 |
| Smart Sortino/√2 | 0.73 | 1.62 |
| Omega | 1.66 | 2.56 |
| Max Drawdown | -50.78% | -22.85% |
| Max DD Date | 2009-02-28 | 2020-03-31 |
| Max DD Period Start | 2007-11-30 | 2020-02-29 |
| Max DD Period End | 2012-02-29 | 2020-07-31 |
| Longest DD Days | 1553 | 486 |
| Volatility (ann.) | 14.95% | 16.56% |
| R^2 | 0.57 | 0.57 |
| Information Ratio | 0.26 | 0.26 |
| Calmar | 0.19 | 0.9 |
| Skew | -0.52 | 0.01 |
| Kurtosis | 0.98 | 1.0 |
| Ulcer Performance Index | 69.63 | 1860.85 |
| Risk-Adjusted Return | 566.38% | 5047.07% |
| Risk-Return Ratio | 0.2 | 0.35 |
| Avg. Return | 0.85% | 1.69% |
| Avg. Win | 3.43% | 4.55% |
| Avg. Loss | -4.0% | -3.75% |
| Win/Loss Ratio | 0.86 | 1.22 |
| Profit Ratio | 0.45 | 0.7 |
| Expected Daily | 0.76% | 1.58% |
| Expected Monthly | 0.76% | 1.58% |
| Expected Yearly | 9.07% | 19.78% |
| Kelly Criterion | 25.43% | 37.41% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -6.17% |
| Expected Shortfall (cVaR) | -8.89% | -9.28% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.66 | 1.56 |
| Gain/Pain (1M) | 0.66 | 1.56 |
| Payoff Ratio | 0.86 | 1.22 |
| Profit Factor | 1.66 | 2.56 |
| Common Sense Ratio | 1.68 | 4.08 |
| CPC Index | 0.93 | 2.04 |
| Tail Ratio | 1.01 | 1.59 |
| Outlier Win Ratio | 3.23 | 3.07 |
| Outlier Loss Ratio | 2.8 | 3.23 |
| MTD | -1.05% | -1.48% |
| 3M | 13.91% | 18.87% |
| 6M | 8.94% | 11.7% |
| YTD | 8.94% | 11.7% |
| 1Y | 20.92% | 34.13% |
| 3Y (ann.) | 18.77% | 29.66% |
| 5Y (ann.) | 12.51% | 21.53% |
| 10Y (ann.) | 15.13% | 24.61% |
| All-time (ann.) | 9.45% | 20.64% |
| Best Day | 12.7% | 19.0% |
| Worst Day | -16.52% | -13.85% |
| Best Month | 12.7% | 19.0% |
| Worst Month | -16.52% | -13.85% |
| Best Year | 32.31% | 63.51% |
| Worst Year | -36.79% | -10.16% |
| Avg. Drawdown | -6.69% | -5.94% |
| Avg. Drawdown Days | 135 | 86 |
| Recovery Factor | 5.02 | 22.17 |
| Ulcer Index | 0.12 | 0.06 |
| Serenity Index | 2.82 | 26.84 |
| Avg. Up Month | 3.43% | 4.55% |
| Avg. Down Month | -4.0% | -3.75% |
| Win Days | 65.55% | 65.67% |
| Win Month | 65.55% | 65.67% |
| Win Quarter | 72.28% | 71.29% |
| Win Year | 80.77% | 88.46% |
| Beta | - | 0.83 |
| Alpha | - | 0.12 |
| Correlation | - | 75.26% |
| Treynor Ratio | - | 12963.32% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2001 | -5.13 | 1.90 | -0.37 | + |
| 2002 | -21.58 | 5.13 | -0.24 | + |
| 2003 | 28.18 | 63.51 | 2.25 | + |
| 2004 | 10.70 | 24.24 | 2.27 | + |
| 2005 | 4.83 | 12.22 | 2.53 | + |
| 2006 | 15.85 | 27.98 | 1.77 | + |
| 2007 | 5.15 | 13.61 | 2.64 | + |
| 2008 | -36.79 | -3.11 | 0.08 | + |
| 2009 | 26.35 | 39.07 | 1.48 | + |
| 2010 | 15.06 | 11.94 | 0.79 | - |
| 2011 | 1.89 | -10.06 | -5.31 | - |
| 2012 | 15.99 | 24.72 | 1.55 | + |
| 2013 | 32.31 | 27.71 | 0.86 | - |
| 2014 | 13.46 | 27.77 | 2.06 | + |
| 2015 | 1.23 | 5.14 | 4.17 | + |
| 2016 | 12.00 | 19.81 | 1.65 | + |
| 2017 | 21.71 | 22.58 | 1.04 | + |
| 2018 | -4.57 | 19.42 | -4.25 | + |
| 2019 | 31.22 | 41.41 | 1.33 | + |
| 2020 | 18.33 | 24.32 | 1.33 | + |
| 2021 | 28.73 | 48.04 | 1.67 | + |
| 2022 | -18.18 | -10.16 | 0.56 | + |
| 2023 | 26.18 | 28.41 | 1.09 | + |
| 2024 | 24.89 | 39.52 | 1.59 | + |
| 2025 | 17.72 | 28.90 | 1.63 | + |
| 2026 | 8.94 | 11.70 | 1.31 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-29 | 2020-07-31 | -22.85 | 154 |
| 2011-05-31 | 2012-08-31 | -22.55 | 459 |
| 2010-05-31 | 2011-01-31 | -22.43 | 246 |
| 2008-06-30 | 2009-06-30 | -14.52 | 366 |
| 2022-01-31 | 2023-05-31 | -14.52 | 486 |
| 2024-12-31 | 2025-05-31 | -11.33 | 152 |
| 2020-09-30 | 2020-10-31 | -11.26 | 32 |
| 2026-03-31 | 2026-03-31 | -10.20 | 1 |
| 2019-05-31 | 2019-05-31 | -9.88 | 1 |
| 2021-09-30 | 2021-09-30 | -8.38 | 1 |