| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 240.78% |
| CAGR﹪ | 14.19% | 7.15% |
| Sharpe | 0.97 | 0.93 |
| Prob. Sharpe Ratio | 99.99% | 99.99% |
| Smart Sharpe | 0.87 | 0.84 |
| Sortino | 1.58 | 1.65 |
| Smart Sortino | 1.43 | 1.49 |
| Sortino/√2 | 1.12 | 1.16 |
| Smart Sortino/√2 | 1.01 | 1.05 |
| Omega | 2.02 | 2.17 |
| Max Drawdown | -23.93% | -11.4% |
| Max DD Date | 2022-09-30 | 2026-06-30 |
| Max DD Period Start | 2022-01-31 | 2026-03-31 |
| Max DD Period End | 2023-11-30 | 2026-07-31 |
| Longest DD Days | 669 | 883 |
| Volatility (ann.) | 14.97% | 7.77% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.59 | 0.63 |
| Skew | -0.37 | -0.01 |
| Kurtosis | 0.43 | 2.18 |
| Ulcer Performance Index | 162.39 | 80.08 |
| Risk-Adjusted Return | 1523.54% | 326.55% |
| Risk-Return Ratio | 0.28 | 0.27 |
| Avg. Return | 1.21% | 0.61% |
| Avg. Win | 3.61% | 1.69% |
| Avg. Loss | -3.53% | -2.14% |
| Win/Loss Ratio | 1.02 | 0.79 |
| Profit Ratio | 0.44 | 0.67 |
| Expected Daily | 1.11% | 0.58% |
| Expected Monthly | 1.11% | 0.58% |
| Expected Yearly | 13.2% | 6.67% |
| Kelly Criterion | 36.6% | 19.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -3.09% |
| Expected Shortfall (cVaR) | -8.11% | -4.8% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.02 | 1.17 |
| Gain/Pain (1M) | 1.02 | 1.17 |
| Payoff Ratio | 1.02 | 0.79 |
| Profit Factor | 2.02 | 2.17 |
| Common Sense Ratio | 2.35 | 3.88 |
| CPC Index | 1.41 | 1.11 |
| Tail Ratio | 1.16 | 1.79 |
| Outlier Win Ratio | 3.09 | 3.79 |
| Outlier Loss Ratio | 2.49 | 3.34 |
| MTD | -1.05% | 0.73% |
| 3M | 13.91% | -1.74% |
| 6M | 8.94% | 1.24% |
| YTD | 8.94% | 1.24% |
| 1Y | 20.92% | 15.54% |
| 3Y (ann.) | 18.77% | 8.7% |
| 5Y (ann.) | 12.51% | 4.9% |
| 10Y (ann.) | 15.13% | 6.58% |
| All-time (ann.) | 14.19% | 7.15% |
| Best Day | 12.7% | 7.39% |
| Worst Day | -12.49% | -9.17% |
| Best Month | 12.7% | 7.39% |
| Worst Month | -12.49% | -9.17% |
| Best Year | 32.31% | 22.8% |
| Worst Year | -18.18% | -1.17% |
| Avg. Drawdown | -6.07% | -3.27% |
| Avg. Drawdown Days | 72 | 145 |
| Recovery Factor | 10.73 | 11.26 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 11.83 | 13.32 |
| Avg. Up Month | 3.61% | 1.69% |
| Avg. Down Month | -3.53% | -2.14% |
| Win Days | 67.92% | 64.32% |
| Win Month | 67.92% | 64.32% |
| Win Quarter | 76.39% | 75.0% |
| Win Year | 84.21% | 84.21% |
| Beta | - | 0.09 |
| Alpha | - | 0.06 |
| Correlation | - | 16.76% |
| Treynor Ratio | - | 2767.01% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 5.06 | -0.84 | + |
| 2009 | 26.35 | 4.53 | 0.17 | - |
| 2010 | 15.06 | 11.50 | 0.76 | - |
| 2011 | 1.89 | 22.80 | 12.03 | + |
| 2012 | 15.99 | -0.24 | -0.01 | - |
| 2013 | 32.31 | 4.78 | 0.15 | - |
| 2014 | 13.46 | 4.95 | 0.37 | - |
| 2015 | 1.23 | -1.17 | -0.95 | - |
| 2016 | 12.00 | 3.77 | 0.31 | - |
| 2017 | 21.71 | 14.55 | 0.67 | - |
| 2018 | -4.57 | 4.49 | -0.98 | + |
| 2019 | 31.22 | 9.95 | 0.32 | - |
| 2020 | 18.33 | 16.57 | 0.90 | - |
| 2021 | 28.73 | 1.83 | 0.06 | - |
| 2022 | -18.18 | -0.36 | 0.02 | + |
| 2023 | 26.18 | 1.14 | 0.04 | - |
| 2024 | 24.89 | 5.19 | 0.21 | - |
| 2025 | 17.72 | 20.15 | 1.14 | + |
| 2026 | 8.94 | 1.24 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-07-31 | -11.40 | 123 |
| 2016-08-31 | 2017-07-31 | -7.06 | 335 |
| 2009-01-31 | 2009-10-31 | -6.13 | 274 |
| 2021-09-30 | 2024-02-29 | -6.11 | 883 |
| 2013-05-31 | 2014-07-31 | -5.39 | 427 |
| 2015-02-28 | 2016-05-31 | -5.25 | 459 |
| 2009-12-31 | 2010-02-28 | -4.88 | 60 |
| 2018-02-28 | 2018-07-31 | -4.87 | 154 |
| 2020-09-30 | 2020-11-30 | -4.63 | 62 |
| 2014-09-30 | 2014-12-31 | -3.89 | 93 |