| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 824.72% | 1,050.71% |
| CAGR﹪ | 10.99% | 12.13% |
| Sharpe | 0.78 | 1.23 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.74 | 1.17 |
| Sortino | 1.19 | 2.35 |
| Smart Sortino | 1.13 | 2.23 |
| Sortino/√2 | 0.84 | 1.66 |
| Smart Sortino/√2 | 0.8 | 1.58 |
| Omega | 1.78 | 2.77 |
| Max Drawdown | -50.78% | -16.57% |
| Max DD Date | 2009-02-28 | 2010-06-30 |
| Max DD Period Start | 2007-11-30 | 2010-04-30 |
| Max DD Period End | 2012-02-29 | 2011-01-31 |
| Longest DD Days | 1553 | 398 |
| Volatility (ann.) | 14.91% | 9.76% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.22 | 0.73 |
| Skew | -0.56 | 0.12 |
| Kurtosis | 1.21 | 1.19 |
| Ulcer Performance Index | 69.56 | 357.47 |
| Risk-Adjusted Return | 793.14% | 1007.61% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.97% | 1.0% |
| Avg. Win | 3.56% | 2.47% |
| Avg. Loss | -3.56% | -2.32% |
| Win/Loss Ratio | 1.0 | 1.07 |
| Profit Ratio | 0.44 | 0.51 |
| Expected Daily | 0.87% | 0.96% |
| Expected Monthly | 0.87% | 0.96% |
| Expected Yearly | 10.64% | 11.74% |
| Kelly Criterion | 33.38% | 41.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.11% | -3.63% |
| Expected Shortfall (cVaR) | -8.99% | -5.02% |
| Max Consecutive Wins | 15 | 19 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.78 | 1.77 |
| Gain/Pain (1M) | 0.78 | 1.77 |
| Payoff Ratio | 1.0 | 1.07 |
| Profit Factor | 1.78 | 2.77 |
| Common Sense Ratio | 1.83 | 4.26 |
| CPC Index | 1.19 | 2.07 |
| Tail Ratio | 1.03 | 1.54 |
| Outlier Win Ratio | 3.24 | 3.43 |
| Outlier Loss Ratio | 2.69 | 3.34 |
| MTD | -1.05% | -1.21% |
| 3M | 13.91% | 6.03% |
| 6M | 8.94% | 7.3% |
| YTD | 8.94% | 7.3% |
| 1Y | 20.92% | 17.94% |
| 3Y (ann.) | 18.77% | 13.71% |
| 5Y (ann.) | 12.51% | 11.22% |
| 10Y (ann.) | 15.13% | 13.91% |
| All-time (ann.) | 10.99% | 12.13% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -7.92% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -7.92% |
| Best Year | 32.31% | 30.66% |
| Worst Year | -36.79% | -2.17% |
| Avg. Drawdown | -5.93% | -3.12% |
| Avg. Drawdown Days | 102 | 67 |
| Recovery Factor | 4.87 | 15.42 |
| Ulcer Index | 0.12 | 0.03 |
| Serenity Index | 2.74 | 29.96 |
| Avg. Up Month | 3.56% | 2.47% |
| Avg. Down Month | -3.56% | -2.32% |
| Win Days | 66.67% | 69.92% |
| Win Month | 66.67% | 69.92% |
| Win Quarter | 74.42% | 83.72% |
| Win Year | 86.36% | 95.45% |
| Beta | - | 0.35 |
| Alpha | - | 0.08 |
| Correlation | - | 54.18% |
| Treynor Ratio | - | 2964.04% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 6.99 | 15.22 | 2.18 | + |
| 2006 | 15.85 | 25.81 | 1.63 | + |
| 2007 | 5.15 | 8.37 | 1.63 | + |
| 2008 | -36.79 | 1.14 | -0.03 | + |
| 2009 | 26.35 | 28.05 | 1.06 | + |
| 2010 | 15.06 | -2.17 | -0.14 | - |
| 2011 | 1.89 | 9.39 | 4.95 | + |
| 2012 | 15.99 | 3.19 | 0.20 | - |
| 2013 | 32.31 | 20.95 | 0.65 | - |
| 2014 | 13.46 | 14.90 | 1.11 | + |
| 2015 | 1.23 | 2.88 | 2.33 | + |
| 2016 | 12.00 | 0.22 | 0.02 | - |
| 2017 | 21.71 | 20.83 | 0.96 | - |
| 2018 | -4.57 | 3.36 | -0.73 | + |
| 2019 | 31.22 | 7.63 | 0.24 | - |
| 2020 | 18.33 | 30.66 | 1.67 | + |
| 2021 | 28.73 | 27.83 | 0.97 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 2.76 | 0.11 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 13.40 | 0.76 | - |
| 2026 | 8.94 | 7.30 | 0.82 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-04-30 | 2011-01-31 | -16.57 | 277 |
| 2023-08-31 | 2024-01-31 | -10.34 | 154 |
| 2026-03-31 | 2026-07-31 | -7.92 | 123 |
| 2015-11-30 | 2016-12-31 | -7.15 | 398 |
| 2025-02-28 | 2025-05-31 | -6.77 | 93 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |
| 2013-05-31 | 2013-08-31 | -5.87 | 93 |
| 2010-01-31 | 2010-02-28 | -5.07 | 29 |
| 2008-05-31 | 2009-04-30 | -5.04 | 335 |
| 2007-06-30 | 2007-12-31 | -4.76 | 185 |