| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 178.99% |
| CAGR﹪ | 10.92% | 5.57% |
| Sharpe | 0.74 | 0.84 |
| Prob. Sharpe Ratio | 99.89% | 99.97% |
| Smart Sharpe | 0.69 | 0.78 |
| Sortino | 1.14 | 1.33 |
| Smart Sortino | 1.05 | 1.23 |
| Sortino/√2 | 0.8 | 0.94 |
| Smart Sortino/√2 | 0.74 | 0.87 |
| Omega | 1.73 | 1.87 |
| Max Drawdown | -50.78% | -11.11% |
| Max DD Date | 2009-02-28 | 2012-05-31 |
| Max DD Period Start | 2007-11-30 | 2011-05-31 |
| Max DD Period End | 2012-02-29 | 2013-11-30 |
| Longest DD Days | 1553 | 915 |
| Volatility (ann.) | 15.62% | 6.73% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 0.21 | 0.5 |
| Skew | -0.55 | -0.51 |
| Kurtosis | 0.93 | 1.21 |
| Ulcer Performance Index | 48.48 | 49.05 |
| Risk-Adjusted Return | 781.06% | 212.36% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.97% | 0.48% |
| Avg. Win | 3.49% | 1.63% |
| Avg. Loss | -4.2% | -1.89% |
| Win/Loss Ratio | 0.83 | 0.86 |
| Profit Ratio | 0.46 | 0.55 |
| Expected Daily | 0.87% | 0.45% |
| Expected Monthly | 0.87% | 0.45% |
| Expected Yearly | 10.3% | 5.26% |
| Kelly Criterion | 24.87% | 23.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -2.72% |
| Expected Shortfall (cVaR) | -9.17% | -4.14% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.73 | 0.87 |
| Gain/Pain (1M) | 0.73 | 0.87 |
| Payoff Ratio | 0.83 | 0.86 |
| Profit Factor | 1.73 | 1.87 |
| Common Sense Ratio | 1.78 | 2.54 |
| CPC Index | 0.95 | 1.05 |
| Tail Ratio | 1.03 | 1.36 |
| Outlier Win Ratio | 3.1 | 3.08 |
| Outlier Loss Ratio | 2.66 | 3.68 |
| MTD | -1.05% | 3.23% |
| 3M | 13.91% | 4.5% |
| 6M | 8.94% | 10.07% |
| YTD | 8.94% | 10.07% |
| 1Y | 20.92% | 16.03% |
| 3Y (ann.) | 18.77% | 8.29% |
| 5Y (ann.) | 12.51% | 5.71% |
| 10Y (ann.) | 15.13% | 6.43% |
| All-time (ann.) | 10.92% | 5.57% |
| Best Day | 12.7% | 5.14% |
| Worst Day | -16.52% | -6.68% |
| Best Month | 12.7% | 5.14% |
| Worst Month | -16.52% | -6.68% |
| Best Year | 32.31% | 22.35% |
| Worst Year | -36.79% | -4.58% |
| Avg. Drawdown | -6.67% | -3.41% |
| Avg. Drawdown Days | 114 | 163 |
| Recovery Factor | 4.33 | 9.64 |
| Ulcer Index | 0.13 | 0.04 |
| Serenity Index | 2.31 | 6.48 |
| Avg. Up Month | 3.49% | 1.63% |
| Avg. Down Month | -4.2% | -1.89% |
| Win Days | 65.93% | 64.76% |
| Win Month | 65.93% | 64.76% |
| Win Quarter | 72.73% | 68.83% |
| Win Year | 85.0% | 80.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.03 |
| Correlation | - | 62.26% |
| Treynor Ratio | - | 667.58% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 6.92 | 109.57 | + |
| 2008 | -36.79 | -2.64 | 0.07 | + |
| 2009 | 26.35 | 14.59 | 0.55 | - |
| 2010 | 15.06 | 4.02 | 0.27 | - |
| 2011 | 1.89 | 0.23 | 0.12 | - |
| 2012 | 15.99 | 1.60 | 0.10 | - |
| 2013 | 32.31 | 7.97 | 0.25 | - |
| 2014 | 13.46 | 7.50 | 0.56 | - |
| 2015 | 1.23 | -2.14 | -1.73 | - |
| 2016 | 12.00 | 3.69 | 0.31 | - |
| 2017 | 21.71 | 9.40 | 0.43 | - |
| 2018 | -4.57 | -1.77 | 0.39 | + |
| 2019 | 31.22 | 8.50 | 0.27 | - |
| 2020 | 18.33 | 3.57 | 0.19 | - |
| 2021 | 28.73 | 22.35 | 0.78 | - |
| 2022 | -18.18 | -4.58 | 0.25 | + |
| 2023 | 26.18 | 4.18 | 0.16 | - |
| 2024 | 24.89 | 6.22 | 0.25 | - |
| 2025 | 17.72 | 9.14 | 0.52 | - |
| 2026 | 8.94 | 10.07 | 1.13 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2013-11-30 | -11.11 | 915 |
| 2008-07-31 | 2009-10-31 | -10.71 | 458 |
| 2010-05-31 | 2010-11-30 | -7.64 | 184 |
| 2022-01-31 | 2024-01-31 | -5.50 | 731 |
| 2020-01-31 | 2020-10-31 | -5.35 | 275 |
| 2015-02-28 | 2016-06-30 | -5.28 | 489 |
| 2018-10-31 | 2019-08-31 | -4.66 | 305 |
| 2010-01-31 | 2010-02-28 | -4.41 | 29 |
| 2024-04-30 | 2024-06-30 | -3.36 | 62 |
| 2021-11-30 | 2021-11-30 | -3.19 | 1 |