| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 601.79% |
| CAGR﹪ | 11.13% | 10.14% |
| Sharpe | 0.77 | 1.12 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.66 | 0.96 |
| Sortino | 1.18 | 1.97 |
| Smart Sortino | 1.01 | 1.69 |
| Sortino/√2 | 0.84 | 1.39 |
| Smart Sortino/√2 | 0.72 | 1.19 |
| Omega | 1.77 | 2.28 |
| Max Drawdown | -50.78% | -18.6% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-11-30 |
| Longest DD Days | 1553 | 669 |
| Volatility (ann.) | 15.22% | 9.03% |
| R^2 | 0.6 | 0.6 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.22 | 0.55 |
| Skew | -0.56 | -0.25 |
| Kurtosis | 1.09 | 0.56 |
| Ulcer Performance Index | 60.76 | 162.46 |
| Risk-Adjusted Return | 817.9% | 660.63% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.98% | 0.85% |
| Avg. Win | 3.77% | 2.55% |
| Avg. Loss | -4.3% | -2.26% |
| Win/Loss Ratio | 0.88 | 1.13 |
| Profit Ratio | 0.43 | 0.83 |
| Expected Daily | 0.88% | 0.81% |
| Expected Monthly | 0.88% | 0.81% |
| Expected Yearly | 10.67% | 9.72% |
| Kelly Criterion | 28.99% | 29.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.45% |
| Expected Shortfall (cVaR) | -8.99% | -5.01% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.77 | 1.28 |
| Gain/Pain (1M) | 0.77 | 1.28 |
| Payoff Ratio | 0.88 | 1.13 |
| Profit Factor | 1.77 | 2.28 |
| Common Sense Ratio | 1.89 | 3.21 |
| CPC Index | 1.04 | 1.6 |
| Tail Ratio | 1.07 | 1.41 |
| Outlier Win Ratio | 3.19 | 2.71 |
| Outlier Loss Ratio | 2.65 | 3.51 |
| MTD | -1.05% | -0.98% |
| 3M | 13.91% | 1.08% |
| 6M | 8.94% | 2.51% |
| YTD | 8.94% | 2.51% |
| 1Y | 20.92% | 16.15% |
| 3Y (ann.) | 18.77% | 14.45% |
| 5Y (ann.) | 12.51% | 8.95% |
| 10Y (ann.) | 15.13% | 10.5% |
| All-time (ann.) | 11.13% | 10.14% |
| Best Day | 12.7% | 8.53% |
| Worst Day | -16.52% | -8.11% |
| Best Month | 12.7% | 8.53% |
| Worst Month | -16.52% | -8.11% |
| Best Year | 32.31% | 23.36% |
| Worst Year | -36.79% | -13.98% |
| Avg. Drawdown | -6.45% | -2.96% |
| Avg. Drawdown Days | 110 | 73 |
| Recovery Factor | 4.67 | 10.96 |
| Ulcer Index | 0.12 | 0.04 |
| Serenity Index | 2.58 | 12.98 |
| Avg. Up Month | 3.77% | 2.55% |
| Avg. Down Month | -4.3% | -2.26% |
| Win Days | 66.8% | 62.4% |
| Win Month | 66.8% | 62.4% |
| Win Quarter | 74.39% | 70.73% |
| Win Year | 85.71% | 80.95% |
| Beta | - | 0.46 |
| Alpha | - | 0.05 |
| Correlation | - | 77.58% |
| Treynor Ratio | - | 1307.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 7.91 | 0.62 | - |
| 2007 | 5.15 | 15.01 | 2.92 | + |
| 2008 | -36.79 | -2.77 | 0.08 | + |
| 2009 | 26.35 | 16.52 | 0.63 | - |
| 2010 | 15.06 | 19.30 | 1.28 | + |
| 2011 | 1.89 | 8.53 | 4.50 | + |
| 2012 | 15.99 | 11.83 | 0.74 | - |
| 2013 | 32.31 | 5.63 | 0.17 | - |
| 2014 | 13.46 | 10.06 | 0.75 | - |
| 2015 | 1.23 | -0.57 | -0.46 | - |
| 2016 | 12.00 | 8.95 | 0.75 | - |
| 2017 | 21.71 | 15.16 | 0.70 | - |
| 2018 | -4.57 | -1.81 | 0.40 | + |
| 2019 | 31.22 | 21.95 | 0.70 | - |
| 2020 | 18.33 | 20.97 | 1.14 | + |
| 2021 | 28.73 | 10.81 | 0.38 | - |
| 2022 | -18.18 | -13.98 | 0.77 | + |
| 2023 | 26.18 | 16.84 | 0.64 | - |
| 2024 | 24.89 | 16.50 | 0.66 | - |
| 2025 | 17.72 | 23.36 | 1.32 | + |
| 2026 | 8.94 | 2.51 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -18.60 | 669 |
| 2008-03-31 | 2009-07-31 | -12.38 | 488 |
| 2020-02-29 | 2020-03-31 | -7.72 | 32 |
| 2026-03-31 | 2026-07-31 | -5.72 | 123 |
| 2013-04-30 | 2013-09-30 | -5.42 | 154 |
| 2015-06-30 | 2016-02-29 | -5.38 | 245 |
| 2011-09-30 | 2011-09-30 | -5.14 | 1 |
| 2018-02-28 | 2019-01-31 | -4.99 | 338 |
| 2020-09-30 | 2020-10-31 | -4.38 | 32 |
| 2012-05-31 | 2012-07-31 | -4.10 | 62 |