| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 702.61% | 269.4% |
| CAGR﹪ | 12.21% | 7.49% |
| Sharpe | 0.82 | 0.93 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.73 | 0.83 |
| Sortino | 1.26 | 1.66 |
| Smart Sortino | 1.13 | 1.48 |
| Sortino/√2 | 0.89 | 1.18 |
| Smart Sortino/√2 | 0.8 | 1.05 |
| Omega | 1.83 | 2.19 |
| Max Drawdown | -41.8% | -11.93% |
| Max DD Date | 2009-02-28 | 2026-06-30 |
| Max DD Period Start | 2008-09-30 | 2026-03-31 |
| Max DD Period End | 2010-11-30 | 2026-07-31 |
| Longest DD Days | 792 | 1005 |
| Volatility (ann.) | 15.61% | 8.14% |
| R^2 | 0.09 | 0.09 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.29 | 0.63 |
| Skew | -0.57 | 0.18 |
| Kurtosis | 1.04 | 3.75 |
| Ulcer Performance Index | 78.05 | 75.81 |
| Risk-Adjusted Return | 1023.03% | 356.07% |
| Risk-Return Ratio | 0.24 | 0.27 |
| Avg. Return | 1.07% | 0.64% |
| Avg. Win | 3.51% | 1.84% |
| Avg. Loss | -3.91% | -2.03% |
| Win/Loss Ratio | 0.9 | 0.91 |
| Profit Ratio | 0.43 | 0.52 |
| Expected Daily | 0.96% | 0.6% |
| Expected Monthly | 0.96% | 0.6% |
| Expected Yearly | 11.58% | 7.12% |
| Kelly Criterion | 30.51% | 31.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.35% | -3.23% |
| Expected Shortfall (cVaR) | -9.03% | -4.66% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.83 | 1.19 |
| Gain/Pain (1M) | 0.83 | 1.19 |
| Payoff Ratio | 0.9 | 0.91 |
| Profit Factor | 1.83 | 2.19 |
| Common Sense Ratio | 2.06 | 3.25 |
| CPC Index | 1.1 | 1.34 |
| Tail Ratio | 1.12 | 1.49 |
| Outlier Win Ratio | 3.1 | 3.7 |
| Outlier Loss Ratio | 2.69 | 3.04 |
| MTD | -1.05% | 1.61% |
| 3M | 13.91% | -0.6% |
| 6M | 8.94% | -3.06% |
| YTD | 8.94% | -3.06% |
| 1Y | 20.92% | 11.9% |
| 3Y (ann.) | 18.77% | 10.0% |
| 5Y (ann.) | 12.51% | 4.29% |
| 10Y (ann.) | 15.13% | 6.08% |
| All-time (ann.) | 12.21% | 7.49% |
| Best Day | 12.7% | 11.83% |
| Worst Day | -16.52% | -9.97% |
| Best Month | 12.7% | 11.83% |
| Worst Month | -16.52% | -9.97% |
| Best Year | 32.31% | 19.86% |
| Worst Year | -28.51% | -3.06% |
| Avg. Drawdown | -6.5% | -3.18% |
| Avg. Drawdown Days | 90 | 126 |
| Recovery Factor | 5.54 | 11.48 |
| Ulcer Index | 0.09 | 0.04 |
| Serenity Index | 4.42 | 10.25 |
| Avg. Up Month | 3.51% | 1.84% |
| Avg. Down Month | -3.91% | -2.03% |
| Win Days | 67.13% | 67.28% |
| Win Month | 67.13% | 67.28% |
| Win Quarter | 75.34% | 75.34% |
| Win Year | 84.21% | 78.95% |
| Beta | - | 0.16 |
| Alpha | - | 0.06 |
| Correlation | - | 30.77% |
| Treynor Ratio | - | 1680.23% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -28.51 | 6.06 | -0.21 | + |
| 2009 | 26.35 | 16.11 | 0.61 | - |
| 2010 | 15.06 | 10.04 | 0.67 | - |
| 2011 | 1.89 | 13.43 | 7.09 | + |
| 2012 | 15.99 | 9.39 | 0.59 | - |
| 2013 | 32.31 | 13.48 | 0.42 | - |
| 2014 | 13.46 | 6.23 | 0.46 | - |
| 2015 | 1.23 | -1.61 | -1.31 | - |
| 2016 | 12.00 | -0.23 | -0.02 | - |
| 2017 | 21.71 | 11.94 | 0.55 | - |
| 2018 | -4.57 | 6.67 | -1.46 | + |
| 2019 | 31.22 | 0.34 | 0.01 | - |
| 2020 | 18.33 | 15.77 | 0.86 | - |
| 2021 | 28.73 | 4.57 | 0.16 | - |
| 2022 | -18.18 | -0.24 | 0.01 | + |
| 2023 | 26.18 | 0.25 | 0.01 | - |
| 2024 | 24.89 | 10.13 | 0.41 | - |
| 2025 | 17.72 | 19.86 | 1.12 | + |
| 2026 | 8.94 | -3.06 | -0.34 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-07-31 | -11.93 | 123 |
| 2021-09-30 | 2024-06-30 | -9.75 | 1005 |
| 2009-12-31 | 2010-03-31 | -6.92 | 91 |
| 2015-02-28 | 2017-06-30 | -5.92 | 854 |
| 2019-05-31 | 2020-01-31 | -5.88 | 246 |
| 2020-08-31 | 2020-11-30 | -4.75 | 92 |
| 2009-01-31 | 2009-04-30 | -4.13 | 90 |
| 2024-10-31 | 2025-07-31 | -3.93 | 274 |
| 2009-09-30 | 2009-10-31 | -3.51 | 32 |
| 2012-09-30 | 2012-11-30 | -3.43 | 62 |