| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 368.07% |
| CAGR﹪ | 14.74% | 9.17% |
| Sharpe | 1.0 | 0.84 |
| Prob. Sharpe Ratio | 100.0% | 99.98% |
| Smart Sharpe | 0.89 | 0.75 |
| Sortino | 1.65 | 1.43 |
| Smart Sortino | 1.46 | 1.27 |
| Sortino/√2 | 1.17 | 1.01 |
| Smart Sortino/√2 | 1.03 | 0.9 |
| Omega | 2.07 | 1.9 |
| Max Drawdown | -23.93% | -17.1% |
| Max DD Date | 2022-09-30 | 2024-04-30 |
| Max DD Period Start | 2022-01-31 | 2022-06-30 |
| Max DD Period End | 2023-11-30 | 2025-07-31 |
| Longest DD Days | 669 | 1128 |
| Volatility (ann.) | 14.92% | 11.2% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.62 | 0.54 |
| Skew | -0.37 | 0.09 |
| Kurtosis | 0.47 | 0.97 |
| Ulcer Performance Index | 181.23 | 56.61 |
| Risk-Adjusted Return | 1695.98% | 531.78% |
| Risk-Return Ratio | 0.29 | 0.24 |
| Avg. Return | 1.25% | 0.8% |
| Avg. Win | 3.84% | 2.78% |
| Avg. Loss | -4.08% | -3.42% |
| Win/Loss Ratio | 0.94 | 0.81 |
| Profit Ratio | 0.45 | 0.58 |
| Expected Daily | 1.15% | 0.73% |
| Expected Monthly | 1.15% | 0.73% |
| Expected Yearly | 14.38% | 8.95% |
| Kelly Criterion | 34.23% | 20.75% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -4.53% |
| Expected Shortfall (cVaR) | -8.19% | -6.0% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 0.9 |
| Gain/Pain (1M) | 1.07 | 0.9 |
| Payoff Ratio | 0.94 | 0.81 |
| Profit Factor | 2.07 | 1.9 |
| Common Sense Ratio | 2.52 | 2.17 |
| CPC Index | 1.33 | 0.99 |
| Tail Ratio | 1.21 | 1.14 |
| Outlier Win Ratio | 3.08 | 3.78 |
| Outlier Loss Ratio | 2.52 | 2.79 |
| MTD | -1.05% | 0.73% |
| 3M | 13.91% | 4.74% |
| 6M | 8.94% | 18.07% |
| YTD | 8.94% | 18.07% |
| 1Y | 20.92% | 34.59% |
| 3Y (ann.) | 18.77% | 13.59% |
| 5Y (ann.) | 12.51% | 7.9% |
| 10Y (ann.) | 15.13% | 7.96% |
| All-time (ann.) | 14.74% | 9.17% |
| Best Day | 12.7% | 12.65% |
| Worst Day | -12.49% | -8.19% |
| Best Month | 12.7% | 12.65% |
| Worst Month | -12.49% | -8.19% |
| Best Year | 32.31% | 29.4% |
| Worst Year | -18.18% | -8.07% |
| Avg. Drawdown | -5.74% | -4.67% |
| Avg. Drawdown Days | 66 | 161 |
| Recovery Factor | 10.98 | 9.69 |
| Ulcer Index | 0.06 | 0.07 |
| Serenity Index | 13.13 | 5.74 |
| Avg. Up Month | 3.84% | 2.78% |
| Avg. Down Month | -4.08% | -3.42% |
| Win Days | 68.1% | 64.45% |
| Win Month | 68.1% | 64.45% |
| Win Quarter | 77.46% | 70.42% |
| Win Year | 88.89% | 77.78% |
| Beta | - | 0.43 |
| Alpha | - | 0.03 |
| Correlation | - | 57.6% |
| Treynor Ratio | - | 850.92% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 29.40 | 1.12 | + |
| 2010 | 15.06 | 10.61 | 0.70 | - |
| 2011 | 1.89 | 8.40 | 4.43 | + |
| 2012 | 15.99 | 1.21 | 0.08 | - |
| 2013 | 32.31 | 22.01 | 0.68 | - |
| 2014 | 13.46 | 9.75 | 0.72 | - |
| 2015 | 1.23 | -7.83 | -6.35 | - |
| 2016 | 12.00 | 8.60 | 0.72 | - |
| 2017 | 21.71 | 15.96 | 0.74 | - |
| 2018 | -4.57 | -8.07 | 1.77 | - |
| 2019 | 31.22 | 10.06 | 0.32 | - |
| 2020 | 18.33 | 9.77 | 0.53 | - |
| 2021 | 28.73 | 23.28 | 0.81 | - |
| 2022 | -18.18 | -7.17 | 0.39 | + |
| 2023 | 26.18 | -4.54 | -0.17 | - |
| 2024 | 24.89 | 4.65 | 0.19 | - |
| 2025 | 17.72 | 27.90 | 1.57 | + |
| 2026 | 8.94 | 18.07 | 2.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-30 | 2025-07-31 | -17.10 | 1128 |
| 2018-02-28 | 2020-11-30 | -16.89 | 1007 |
| 2015-04-30 | 2017-04-30 | -12.77 | 732 |
| 2010-05-31 | 2010-11-30 | -6.92 | 184 |
| 2011-12-31 | 2012-12-31 | -6.26 | 367 |
| 2011-05-31 | 2011-08-31 | -6.24 | 93 |
| 2009-01-31 | 2009-04-30 | -5.43 | 90 |
| 2014-09-30 | 2014-11-30 | -5.29 | 62 |
| 2010-01-31 | 2010-02-28 | -4.84 | 29 |
| 2021-11-30 | 2022-02-28 | -3.94 | 91 |