| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 824.72% | 1,118.11% |
| CAGR﹪ | 10.99% | 12.43% |
| Sharpe | 0.78 | 1.32 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.73 | 1.24 |
| Sortino | 1.19 | 2.6 |
| Smart Sortino | 1.12 | 2.45 |
| Sortino/√2 | 0.84 | 1.84 |
| Smart Sortino/√2 | 0.79 | 1.73 |
| Omega | 1.78 | 3.04 |
| Max Drawdown | -50.78% | -10.62% |
| Max DD Date | 2009-02-28 | 2010-05-31 |
| Max DD Period Start | 2007-11-30 | 2010-04-30 |
| Max DD Period End | 2012-02-29 | 2010-11-30 |
| Longest DD Days | 1553 | 520 |
| Volatility (ann.) | 14.91% | 9.24% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.22 | 1.17 |
| Skew | -0.56 | 0.11 |
| Kurtosis | 1.21 | 1.31 |
| Ulcer Performance Index | 69.56 | 425.82 |
| Risk-Adjusted Return | 793.14% | 1071.45% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.96% | 1.02% |
| Avg. Win | 3.5% | 2.38% |
| Avg. Loss | -3.53% | -2.14% |
| Win/Loss Ratio | 0.99 | 1.11 |
| Profit Ratio | 0.44 | 0.54 |
| Expected Daily | 0.87% | 0.98% |
| Expected Monthly | 0.87% | 0.98% |
| Expected Yearly | 10.64% | 12.03% |
| Kelly Criterion | 33.03% | 43.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.11% | -3.37% |
| Expected Shortfall (cVaR) | -8.99% | -4.93% |
| Max Consecutive Wins | 15 | 19 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.78 | 2.04 |
| Gain/Pain (1M) | 0.78 | 2.04 |
| Payoff Ratio | 0.99 | 1.11 |
| Profit Factor | 1.78 | 3.04 |
| Common Sense Ratio | 1.83 | 5.1 |
| CPC Index | 1.18 | 2.37 |
| Tail Ratio | 1.03 | 1.68 |
| Outlier Win Ratio | 3.24 | 3.35 |
| Outlier Loss Ratio | 2.69 | 3.16 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | 10.05% |
| 6M | 8.94% | 11.37% |
| YTD | 8.94% | 11.37% |
| 1Y | 20.92% | 21.97% |
| 3Y (ann.) | 18.77% | 15.69% |
| 5Y (ann.) | 12.51% | 13.0% |
| 10Y (ann.) | 15.13% | 14.26% |
| All-time (ann.) | 10.99% | 12.43% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -8.04% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -8.04% |
| Best Year | 32.31% | 29.79% |
| Worst Year | -36.79% | -1.84% |
| Avg. Drawdown | -5.93% | -2.96% |
| Avg. Drawdown Days | 102 | 72 |
| Recovery Factor | 4.87 | 24.51 |
| Ulcer Index | 0.12 | 0.03 |
| Serenity Index | 2.74 | 39.8 |
| Avg. Up Month | 3.5% | 2.38% |
| Avg. Down Month | -3.53% | -2.14% |
| Win Days | 66.67% | 70.2% |
| Win Month | 66.67% | 70.2% |
| Win Quarter | 74.42% | 86.05% |
| Win Year | 86.36% | 95.45% |
| Beta | - | 0.34 |
| Alpha | - | 0.08 |
| Correlation | - | 55.5% |
| Treynor Ratio | - | 3248.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 6.99 | 12.95 | 1.85 | + |
| 2006 | 15.85 | 25.81 | 1.63 | + |
| 2007 | 5.15 | 15.86 | 3.08 | + |
| 2008 | -36.79 | -1.84 | 0.05 | + |
| 2009 | 26.35 | 22.69 | 0.86 | - |
| 2010 | 15.06 | 6.08 | 0.40 | - |
| 2011 | 1.89 | 13.96 | 7.36 | + |
| 2012 | 15.99 | 3.75 | 0.23 | - |
| 2013 | 32.31 | 16.57 | 0.51 | - |
| 2014 | 13.46 | 10.11 | 0.75 | - |
| 2015 | 1.23 | 1.81 | 1.47 | + |
| 2016 | 12.00 | 2.53 | 0.21 | - |
| 2017 | 21.71 | 19.70 | 0.91 | - |
| 2018 | -4.57 | 0.50 | -0.11 | + |
| 2019 | 31.22 | 7.63 | 0.24 | - |
| 2020 | 18.33 | 29.79 | 1.63 | + |
| 2021 | 28.73 | 22.98 | 0.80 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 9.07 | 0.35 | - |
| 2024 | 24.89 | 24.82 | 1.00 | - |
| 2025 | 17.72 | 14.39 | 0.81 | - |
| 2026 | 8.94 | 11.37 | 1.27 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-04-30 | 2010-11-30 | -10.62 | 215 |
| 2023-08-31 | 2024-01-31 | -10.43 | 154 |
| 2026-03-31 | 2026-04-30 | -7.92 | 31 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |
| 2008-05-31 | 2009-06-30 | -7.28 | 396 |
| 2015-06-30 | 2016-11-30 | -6.41 | 520 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |
| 2013-05-31 | 2013-09-30 | -5.97 | 123 |
| 2018-02-28 | 2019-05-31 | -5.73 | 458 |
| 2010-01-31 | 2010-02-28 | -5.07 | 29 |