| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 346.05% | 100.55% |
| CAGR﹪ | 13.57% | 6.1% |
| Sharpe | 0.93 | 1.0 |
| Prob. Sharpe Ratio | 99.89% | 99.95% |
| Smart Sharpe | 0.81 | 0.87 |
| Sortino | 1.52 | 1.68 |
| Smart Sortino | 1.32 | 1.46 |
| Sortino/√2 | 1.08 | 1.19 |
| Smart Sortino/√2 | 0.94 | 1.03 |
| Omega | 1.99 | 2.13 |
| Max Drawdown | -23.93% | -6.69% |
| Max DD Date | 2022-09-30 | 2023-09-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-02-29 |
| Longest DD Days | 669 | 760 |
| Volatility (ann.) | 14.93% | 6.15% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.57 | 0.91 |
| Skew | -0.33 | -0.23 |
| Kurtosis | 0.57 | 0.37 |
| Ulcer Performance Index | 57.28 | 40.08 |
| Risk-Adjusted Return | 1347.46% | 246.86% |
| Risk-Return Ratio | 0.27 | 0.29 |
| Avg. Return | 1.16% | 0.51% |
| Avg. Win | 3.51% | 1.48% |
| Avg. Loss | -4.62% | -1.82% |
| Win/Loss Ratio | 0.76 | 0.81 |
| Profit Ratio | 0.44 | 0.41 |
| Expected Daily | 1.07% | 0.49% |
| Expected Monthly | 1.07% | 0.49% |
| Expected Yearly | 12.19% | 5.5% |
| Kelly Criterion | 26.06% | 32.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -2.41% |
| Expected Shortfall (cVaR) | -8.32% | -3.37% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.99 | 1.13 |
| Gain/Pain (1M) | 0.99 | 1.13 |
| Payoff Ratio | 0.76 | 0.81 |
| Profit Factor | 1.99 | 2.13 |
| Common Sense Ratio | 2.49 | 2.57 |
| CPC Index | 1.03 | 1.2 |
| Tail Ratio | 1.26 | 1.21 |
| Outlier Win Ratio | 3.13 | 3.22 |
| Outlier Loss Ratio | 2.46 | 2.62 |
| MTD | -1.05% | 0.52% |
| 3M | 13.91% | 4.59% |
| 6M | 8.94% | 9.24% |
| YTD | 8.94% | 9.24% |
| 1Y | 20.92% | 16.88% |
| 3Y (ann.) | 18.77% | 10.87% |
| 5Y (ann.) | 12.51% | 6.35% |
| 10Y (ann.) | 15.13% | 6.59% |
| All-time (ann.) | 13.57% | 6.1% |
| Best Day | 12.7% | 4.79% |
| Worst Day | -12.49% | -4.2% |
| Best Month | 12.7% | 4.79% |
| Worst Month | -12.49% | -4.2% |
| Best Year | 31.22% | 14.94% |
| Worst Year | -18.18% | -3.71% |
| Avg. Drawdown | -5.89% | -3.55% |
| Avg. Drawdown Days | 76 | 181 |
| Recovery Factor | 6.83 | 10.76 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 7.39 | 9.23 |
| Avg. Up Month | 3.51% | 1.48% |
| Avg. Down Month | -4.62% | -1.82% |
| Win Days | 68.09% | 69.5% |
| Win Month | 68.09% | 69.5% |
| Win Quarter | 77.08% | 68.75% |
| Win Year | 84.62% | 76.92% |
| Beta | - | 0.25 |
| Alpha | - | 0.03 |
| Correlation | - | 60.5% |
| Treynor Ratio | - | 403.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 2.49 | 1.69 | 0.68 | - |
| 2015 | 1.23 | -1.96 | -1.59 | - |
| 2016 | 12.00 | 4.09 | 0.34 | - |
| 2017 | 21.71 | 11.63 | 0.54 | - |
| 2018 | -4.57 | -1.30 | 0.28 | + |
| 2019 | 31.22 | 9.25 | 0.30 | - |
| 2020 | 18.33 | 6.39 | 0.35 | - |
| 2021 | 28.73 | 13.97 | 0.49 | - |
| 2022 | -18.18 | -3.71 | 0.20 | + |
| 2023 | 26.18 | 1.68 | 0.06 | - |
| 2024 | 24.89 | 7.71 | 0.31 | - |
| 2025 | 17.72 | 14.94 | 0.84 | - |
| 2026 | 8.94 | 9.24 | 1.03 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -6.69 | 760 |
| 2015-02-28 | 2016-05-31 | -4.91 | 459 |
| 2020-01-31 | 2020-06-30 | -4.83 | 152 |
| 2026-03-31 | 2026-04-30 | -4.20 | 31 |
| 2016-08-31 | 2017-04-30 | -3.94 | 243 |
| 2024-10-31 | 2025-04-30 | -3.88 | 182 |
| 2018-09-30 | 2019-06-30 | -3.75 | 274 |
| 2024-04-30 | 2024-06-30 | -3.32 | 62 |
| 2020-09-30 | 2020-10-31 | -3.00 | 32 |
| 2021-09-30 | 2021-09-30 | -2.60 | 1 |