| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 576.86% |
| CAGR﹪ | 14.74% | 11.49% |
| Sharpe | 1.0 | 1.15 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 1.0 | 1.15 |
| Sortino | 1.65 | 2.08 |
| Smart Sortino | 1.64 | 2.07 |
| Sortino/√2 | 1.17 | 1.47 |
| Smart Sortino/√2 | 1.16 | 1.46 |
| Omega | 2.07 | 2.58 |
| Max Drawdown | -23.93% | -16.13% |
| Max DD Date | 2022-09-30 | 2010-09-30 |
| Max DD Period Start | 2022-01-31 | 2010-05-31 |
| Max DD Period End | 2023-11-30 | 2011-03-31 |
| Longest DD Days | 669 | 305 |
| Volatility (ann.) | 14.92% | 9.91% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.62 | 0.71 |
| Skew | -0.37 | -0.05 |
| Kurtosis | 0.47 | 1.46 |
| Ulcer Performance Index | 181.23 | 156.17 |
| Risk-Adjusted Return | 1695.98% | 881.47% |
| Risk-Return Ratio | 0.29 | 0.33 |
| Avg. Return | 1.25% | 0.96% |
| Avg. Win | 3.36% | 2.38% |
| Avg. Loss | -3.01% | -2.57% |
| Win/Loss Ratio | 1.12 | 0.93 |
| Profit Ratio | 0.45 | 0.37 |
| Expected Daily | 1.15% | 0.91% |
| Expected Monthly | 1.15% | 0.91% |
| Expected Yearly | 14.38% | 11.21% |
| Kelly Criterion | 39.56% | 42.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -3.75% |
| Expected Shortfall (cVaR) | -8.19% | -5.53% |
| Max Consecutive Wins | 15 | 25 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.58 |
| Gain/Pain (1M) | 1.07 | 1.58 |
| Payoff Ratio | 1.12 | 0.93 |
| Profit Factor | 2.07 | 2.58 |
| Common Sense Ratio | 2.52 | 3.37 |
| CPC Index | 1.58 | 1.73 |
| Tail Ratio | 1.21 | 1.31 |
| Outlier Win Ratio | 3.08 | 3.28 |
| Outlier Loss Ratio | 2.52 | 2.9 |
| MTD | -1.05% | -0.76% |
| 3M | 13.91% | 14.25% |
| 6M | 8.94% | 9.26% |
| YTD | 8.94% | 9.26% |
| 1Y | 20.92% | 21.28% |
| 3Y (ann.) | 18.77% | 17.22% |
| 5Y (ann.) | 12.51% | 12.8% |
| 10Y (ann.) | 15.13% | 15.64% |
| All-time (ann.) | 14.74% | 11.49% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -12.49% | -7.95% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -12.49% | -7.95% |
| Best Year | 32.31% | 28.73% |
| Worst Year | -18.18% | -0.65% |
| Avg. Drawdown | -5.74% | -4.07% |
| Avg. Drawdown Days | 66 | 92 |
| Recovery Factor | 10.98 | 12.44 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 13.13 | 14.99 |
| Avg. Up Month | 3.36% | 2.38% |
| Avg. Down Month | -3.01% | -2.57% |
| Win Days | 68.1% | 72.51% |
| Win Month | 68.1% | 72.51% |
| Win Quarter | 77.46% | 76.06% |
| Win Year | 88.89% | 88.89% |
| Beta | - | 0.39 |
| Alpha | - | 0.06 |
| Correlation | - | 59.46% |
| Treynor Ratio | - | 1460.74% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 6.68 | 0.25 | - |
| 2010 | 15.06 | -0.65 | -0.04 | - |
| 2011 | 1.89 | -0.57 | -0.30 | - |
| 2012 | 15.99 | 10.78 | 0.67 | - |
| 2013 | 32.31 | 15.25 | 0.47 | - |
| 2014 | 13.46 | 6.83 | 0.51 | - |
| 2015 | 1.23 | 1.42 | 1.15 | + |
| 2016 | 12.00 | 15.72 | 1.31 | + |
| 2017 | 21.71 | 16.25 | 0.75 | - |
| 2018 | -4.57 | 11.47 | -2.51 | + |
| 2019 | 31.22 | 15.32 | 0.49 | - |
| 2020 | 18.33 | 24.54 | 1.34 | + |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | 0.03 | -0.00 | + |
| 2023 | 26.18 | 10.57 | 0.40 | - |
| 2024 | 24.89 | 19.29 | 0.77 | - |
| 2025 | 17.72 | 16.19 | 0.91 | - |
| 2026 | 8.94 | 9.26 | 1.04 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-05-31 | 2011-03-31 | -16.13 | 305 |
| 2011-05-31 | 2012-02-29 | -9.97 | 275 |
| 2024-12-31 | 2025-05-31 | -8.81 | 152 |
| 2020-01-31 | 2020-04-30 | -7.95 | 91 |
| 2012-04-30 | 2012-12-31 | -7.11 | 246 |
| 2019-05-31 | 2019-10-31 | -6.38 | 154 |
| 2009-01-31 | 2009-08-31 | -6.32 | 213 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |
| 2026-02-28 | 2026-03-31 | -5.76 | 32 |
| 2022-01-31 | 2022-11-30 | -5.30 | 304 |