| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 450.98% |
| CAGR﹪ | 14.74% | 10.19% |
| Sharpe | 1.0 | 1.13 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.9 | 1.02 |
| Sortino | 1.65 | 2.13 |
| Smart Sortino | 1.49 | 1.92 |
| Sortino/√2 | 1.17 | 1.51 |
| Smart Sortino/√2 | 1.05 | 1.36 |
| Omega | 2.07 | 2.54 |
| Max Drawdown | -23.93% | -8.77% |
| Max DD Date | 2022-09-30 | 2011-11-30 |
| Max DD Period Start | 2022-01-31 | 2011-05-31 |
| Max DD Period End | 2023-11-30 | 2012-08-31 |
| Longest DD Days | 669 | 459 |
| Volatility (ann.) | 14.92% | 8.98% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.62 | 1.16 |
| Skew | -0.37 | 0.18 |
| Kurtosis | 0.47 | 1.33 |
| Ulcer Performance Index | 181.23 | 157.05 |
| Risk-Adjusted Return | 1695.98% | 667.63% |
| Risk-Return Ratio | 0.29 | 0.33 |
| Avg. Return | 1.25% | 0.86% |
| Avg. Win | 3.6% | 2.13% |
| Avg. Loss | -3.12% | -2.41% |
| Win/Loss Ratio | 1.15 | 0.88 |
| Profit Ratio | 0.45 | 0.4 |
| Expected Daily | 1.15% | 0.81% |
| Expected Monthly | 1.15% | 0.81% |
| Expected Yearly | 14.38% | 9.94% |
| Kelly Criterion | 40.38% | 39.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.42% |
| Expected Shortfall (cVaR) | -8.19% | -5.06% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.54 |
| Gain/Pain (1M) | 1.07 | 1.54 |
| Payoff Ratio | 1.15 | 0.88 |
| Profit Factor | 2.07 | 2.54 |
| Common Sense Ratio | 2.52 | 3.99 |
| CPC Index | 1.63 | 1.61 |
| Tail Ratio | 1.21 | 1.57 |
| Outlier Win Ratio | 3.08 | 4.12 |
| Outlier Loss Ratio | 2.52 | 2.86 |
| MTD | -1.05% | -2.6% |
| 3M | 13.91% | 7.81% |
| 6M | 8.94% | 15.1% |
| YTD | 8.94% | 15.1% |
| 1Y | 20.92% | 27.06% |
| 3Y (ann.) | 18.77% | 12.32% |
| 5Y (ann.) | 12.51% | 9.58% |
| 10Y (ann.) | 15.13% | 11.66% |
| All-time (ann.) | 14.74% | 10.19% |
| Best Day | 12.7% | 9.47% |
| Worst Day | -12.49% | -7.52% |
| Best Month | 12.7% | 9.47% |
| Worst Month | -12.49% | -7.52% |
| Best Year | 32.31% | 22.89% |
| Worst Year | -18.18% | -3.53% |
| Avg. Drawdown | -5.74% | -3.89% |
| Avg. Drawdown Days | 66 | 108 |
| Recovery Factor | 10.98 | 20.32 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 13.13 | 23.72 |
| Avg. Up Month | 3.6% | 2.13% |
| Avg. Down Month | -3.12% | -2.41% |
| Win Days | 68.1% | 71.56% |
| Win Month | 68.1% | 71.56% |
| Win Quarter | 77.46% | 74.65% |
| Win Year | 88.89% | 94.44% |
| Beta | - | 0.27 |
| Alpha | - | 0.06 |
| Correlation | - | 45.46% |
| Treynor Ratio | - | 1648.15% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 12.73 | 0.48 | - |
| 2010 | 15.06 | 18.21 | 1.21 | + |
| 2011 | 1.89 | 2.85 | 1.50 | + |
| 2012 | 15.99 | 11.56 | 0.72 | - |
| 2013 | 32.31 | 9.85 | 0.30 | - |
| 2014 | 13.46 | 1.76 | 0.13 | - |
| 2015 | 1.23 | -3.53 | -2.86 | - |
| 2016 | 12.00 | 11.24 | 0.94 | - |
| 2017 | 21.71 | 15.09 | 0.70 | - |
| 2018 | -4.57 | 6.52 | -1.43 | + |
| 2019 | 31.22 | 10.15 | 0.32 | - |
| 2020 | 18.33 | 21.27 | 1.16 | + |
| 2021 | 28.73 | 22.89 | 0.80 | - |
| 2022 | -18.18 | 4.19 | -0.23 | + |
| 2023 | 26.18 | 8.77 | 0.34 | - |
| 2024 | 24.89 | 0.68 | 0.03 | - |
| 2025 | 17.72 | 13.68 | 0.77 | - |
| 2026 | 8.94 | 15.10 | 1.69 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2012-08-31 | -8.77 | 459 |
| 2010-05-31 | 2010-08-31 | -8.46 | 93 |
| 2024-12-31 | 2025-07-31 | -8.16 | 213 |
| 2009-01-31 | 2009-07-31 | -7.58 | 182 |
| 2015-02-28 | 2016-05-31 | -5.97 | 459 |
| 2024-04-30 | 2024-10-31 | -5.54 | 185 |
| 2010-01-31 | 2010-02-28 | -5.18 | 29 |
| 2018-02-28 | 2018-07-31 | -4.56 | 154 |
| 2020-01-31 | 2020-03-31 | -4.51 | 61 |
| 2014-09-30 | 2014-11-30 | -4.32 | 62 |