| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 346.05% | 152.44% |
| CAGR﹪ | 13.57% | 8.2% |
| Sharpe | 0.93 | 0.91 |
| Prob. Sharpe Ratio | 99.89% | 99.9% |
| Smart Sharpe | 0.82 | 0.8 |
| Sortino | 1.52 | 1.57 |
| Smart Sortino | 1.34 | 1.39 |
| Sortino/√2 | 1.08 | 1.11 |
| Smart Sortino/√2 | 0.95 | 0.98 |
| Omega | 1.99 | 2.0 |
| Max Drawdown | -23.93% | -13.05% |
| Max DD Date | 2022-09-30 | 2023-09-30 |
| Max DD Period Start | 2022-01-31 | 2021-11-30 |
| Max DD Period End | 2023-11-30 | 2024-08-31 |
| Longest DD Days | 669 | 1006 |
| Volatility (ann.) | 14.93% | 9.16% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.14 | -0.14 |
| Calmar | 0.57 | 0.63 |
| Skew | -0.33 | -0.04 |
| Kurtosis | 0.57 | 0.4 |
| Ulcer Performance Index | 57.28 | 30.51 |
| Risk-Adjusted Return | 1347.46% | 423.3% |
| Risk-Return Ratio | 0.27 | 0.26 |
| Avg. Return | 1.16% | 0.69% |
| Avg. Win | 3.57% | 2.3% |
| Avg. Loss | -4.44% | -2.48% |
| Win/Loss Ratio | 0.8 | 0.93 |
| Profit Ratio | 0.44 | 0.64 |
| Expected Daily | 1.07% | 0.66% |
| Expected Monthly | 1.07% | 0.66% |
| Expected Yearly | 12.19% | 7.38% |
| Kelly Criterion | 28.42% | 24.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -3.66% |
| Expected Shortfall (cVaR) | -8.32% | -4.54% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.99 | 1.0 |
| Gain/Pain (1M) | 0.99 | 1.0 |
| Payoff Ratio | 0.8 | 0.93 |
| Profit Factor | 1.99 | 2.0 |
| Common Sense Ratio | 2.49 | 2.71 |
| CPC Index | 1.09 | 1.18 |
| Tail Ratio | 1.26 | 1.36 |
| Outlier Win Ratio | 3.13 | 3.1 |
| Outlier Loss Ratio | 2.46 | 2.86 |
| MTD | -1.05% | -2.75% |
| 3M | 13.91% | 10.31% |
| 6M | 8.94% | 18.45% |
| YTD | 8.94% | 18.45% |
| 1Y | 20.92% | 31.82% |
| 3Y (ann.) | 18.77% | 14.67% |
| 5Y (ann.) | 12.51% | 8.32% |
| 10Y (ann.) | 15.13% | 9.61% |
| All-time (ann.) | 13.57% | 8.2% |
| Best Day | 12.7% | 7.59% |
| Worst Day | -12.49% | -7.21% |
| Best Month | 12.7% | 7.59% |
| Worst Month | -12.49% | -7.21% |
| Best Year | 31.22% | 20.94% |
| Worst Year | -18.18% | -8.44% |
| Avg. Drawdown | -5.89% | -4.35% |
| Avg. Drawdown Days | 76 | 167 |
| Recovery Factor | 6.83 | 7.49 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 7.39 | 4.73 |
| Avg. Up Month | 3.57% | 2.3% |
| Avg. Down Month | -4.44% | -2.48% |
| Win Days | 68.09% | 63.83% |
| Win Month | 68.09% | 63.83% |
| Win Quarter | 77.08% | 66.67% |
| Win Year | 84.62% | 69.23% |
| Beta | - | 0.37 |
| Alpha | - | 0.03 |
| Correlation | - | 60.42% |
| Treynor Ratio | - | 411.38% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 2.49 | 2.61 | 1.05 | + |
| 2015 | 1.23 | -8.44 | -6.84 | - |
| 2016 | 12.00 | 10.03 | 0.84 | - |
| 2017 | 21.71 | 16.36 | 0.75 | - |
| 2018 | -4.57 | -1.92 | 0.42 | + |
| 2019 | 31.22 | 11.65 | 0.37 | - |
| 2020 | 18.33 | 12.10 | 0.66 | - |
| 2021 | 28.73 | 19.12 | 0.67 | - |
| 2022 | -18.18 | -6.83 | 0.38 | + |
| 2023 | 26.18 | -0.54 | -0.02 | - |
| 2024 | 24.89 | 8.11 | 0.33 | - |
| 2025 | 17.72 | 20.94 | 1.18 | + |
| 2026 | 8.94 | 18.45 | 2.06 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2024-08-31 | -13.05 | 1006 |
| 2015-02-28 | 2016-11-30 | -10.09 | 642 |
| 2018-09-30 | 2019-07-31 | -9.08 | 305 |
| 2020-01-31 | 2020-06-30 | -6.63 | 152 |
| 2024-12-31 | 2025-05-31 | -6.28 | 152 |
| 2018-02-28 | 2018-07-31 | -3.93 | 154 |
| 2026-03-31 | 2026-03-31 | -3.75 | 1 |
| 2020-09-30 | 2020-10-31 | -3.40 | 32 |
| 2026-07-31 | 2026-07-31 | -2.75 | 1 |
| 2021-09-30 | 2021-09-30 | -2.07 | 1 |