| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 346.05% | 154.89% |
| CAGR﹪ | 13.57% | 8.29% |
| Sharpe | 0.93 | 0.76 |
| Prob. Sharpe Ratio | 99.89% | 99.43% |
| Smart Sharpe | 0.82 | 0.67 |
| Sortino | 1.52 | 1.23 |
| Smart Sortino | 1.34 | 1.08 |
| Sortino/√2 | 1.08 | 0.87 |
| Smart Sortino/√2 | 0.95 | 0.77 |
| Omega | 1.99 | 1.79 |
| Max Drawdown | -23.93% | -14.2% |
| Max DD Date | 2022-09-30 | 2016-01-31 |
| Max DD Period Start | 2022-01-31 | 2015-02-28 |
| Max DD Period End | 2023-11-30 | 2017-06-30 |
| Longest DD Days | 669 | 854 |
| Volatility (ann.) | 14.93% | 11.37% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.57 | 0.58 |
| Skew | -0.33 | -0.25 |
| Kurtosis | 0.57 | 0.58 |
| Ulcer Performance Index | 57.28 | 23.27 |
| Risk-Adjusted Return | 1347.46% | 432.42% |
| Risk-Return Ratio | 0.27 | 0.22 |
| Avg. Return | 1.16% | 0.72% |
| Avg. Win | 3.64% | 2.71% |
| Avg. Loss | -4.28% | -3.01% |
| Win/Loss Ratio | 0.85 | 0.9 |
| Profit Ratio | 0.44 | 0.69 |
| Expected Daily | 1.07% | 0.67% |
| Expected Monthly | 1.07% | 0.67% |
| Expected Yearly | 12.19% | 7.46% |
| Kelly Criterion | 30.6% | 19.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -4.68% |
| Expected Shortfall (cVaR) | -8.32% | -6.59% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.99 | 0.79 |
| Gain/Pain (1M) | 0.99 | 0.79 |
| Payoff Ratio | 0.85 | 0.9 |
| Profit Factor | 1.99 | 1.79 |
| Common Sense Ratio | 2.49 | 2.09 |
| CPC Index | 1.15 | 1.0 |
| Tail Ratio | 1.26 | 1.17 |
| Outlier Win Ratio | 3.13 | 3.05 |
| Outlier Loss Ratio | 2.46 | 3.43 |
| MTD | -1.05% | -6.4% |
| 3M | 13.91% | -0.34% |
| 6M | 8.94% | 4.53% |
| YTD | 8.94% | 4.53% |
| 1Y | 20.92% | 22.54% |
| 3Y (ann.) | 18.77% | 10.63% |
| 5Y (ann.) | 12.51% | 7.72% |
| 10Y (ann.) | 15.13% | 9.74% |
| All-time (ann.) | 13.57% | 8.29% |
| Best Day | 12.7% | 8.53% |
| Worst Day | -12.49% | -9.28% |
| Best Month | 12.7% | 8.53% |
| Worst Month | -12.49% | -9.28% |
| Best Year | 31.22% | 28.2% |
| Worst Year | -18.18% | -7.44% |
| Avg. Drawdown | -5.89% | -6.3% |
| Avg. Drawdown Days | 76 | 237 |
| Recovery Factor | 6.83 | 7.14 |
| Ulcer Index | 0.06 | 0.07 |
| Serenity Index | 7.39 | 3.85 |
| Avg. Up Month | 3.64% | 2.71% |
| Avg. Down Month | -4.28% | -3.01% |
| Win Days | 68.09% | 61.7% |
| Win Month | 68.09% | 61.7% |
| Win Quarter | 77.08% | 70.83% |
| Win Year | 84.62% | 69.23% |
| Beta | - | 0.37 |
| Alpha | - | 0.03 |
| Correlation | - | 49.0% |
| Treynor Ratio | - | 415.24% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 2.49 | 4.43 | 1.78 | + |
| 2015 | 1.23 | -7.44 | -6.03 | - |
| 2016 | 12.00 | 8.84 | 0.74 | - |
| 2017 | 21.71 | 17.05 | 0.79 | - |
| 2018 | -4.57 | -4.13 | 0.90 | + |
| 2019 | 31.22 | 7.29 | 0.23 | - |
| 2020 | 18.33 | 17.94 | 0.98 | - |
| 2021 | 28.73 | 24.92 | 0.87 | - |
| 2022 | -18.18 | -2.40 | 0.13 | + |
| 2023 | 26.18 | -2.14 | -0.08 | - |
| 2024 | 24.89 | 6.72 | 0.27 | - |
| 2025 | 17.72 | 28.20 | 1.59 | + |
| 2026 | 8.94 | 4.53 | 0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2017-06-30 | -14.20 | 854 |
| 2018-09-30 | 2020-06-30 | -13.93 | 640 |
| 2022-06-30 | 2024-08-31 | -12.67 | 794 |
| 2026-03-31 | 2026-07-31 | -9.59 | 123 |
| 2024-12-31 | 2025-05-31 | -7.06 | 152 |
| 2018-02-28 | 2018-07-31 | -5.25 | 154 |
| 2021-11-30 | 2021-11-30 | -4.81 | 1 |
| 2020-09-30 | 2020-10-31 | -4.02 | 32 |
| 2021-07-31 | 2021-09-30 | -1.93 | 62 |
| 2022-01-31 | 2022-02-28 | -1.16 | 29 |