| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 856.36% | 8,787.14% |
| CAGR﹪ | 9.45% | 19.66% |
| Sharpe | 0.68 | 1.1 |
| Prob. Sharpe Ratio | 99.94% | 100.0% |
| Smart Sharpe | 0.64 | 1.03 |
| Sortino | 1.03 | 2.03 |
| Smart Sortino | 0.96 | 1.9 |
| Sortino/√2 | 0.73 | 1.44 |
| Smart Sortino/√2 | 0.68 | 1.34 |
| Omega | 1.66 | 2.34 |
| Max Drawdown | -50.78% | -24.98% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-12-31 |
| Longest DD Days | 1553 | 700 |
| Volatility (ann.) | 14.95% | 17.88% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.18 | 0.18 |
| Calmar | 0.19 | 0.79 |
| Skew | -0.52 | 0.07 |
| Kurtosis | 0.98 | 0.56 |
| Ulcer Performance Index | 69.63 | 1245.4 |
| Risk-Adjusted Return | 566.38% | 4234.71% |
| Risk-Return Ratio | 0.2 | 0.32 |
| Avg. Return | 0.85% | 1.64% |
| Avg. Win | 3.36% | 5.14% |
| Avg. Loss | -3.66% | -4.81% |
| Win/Loss Ratio | 0.92 | 1.07 |
| Profit Ratio | 0.45 | 0.83 |
| Expected Daily | 0.76% | 1.51% |
| Expected Monthly | 0.76% | 1.51% |
| Expected Yearly | 9.07% | 18.84% |
| Kelly Criterion | 28.07% | 27.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -6.85% |
| Expected Shortfall (cVaR) | -8.89% | -9.34% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.66 | 1.34 |
| Gain/Pain (1M) | 0.66 | 1.34 |
| Payoff Ratio | 0.92 | 1.07 |
| Profit Factor | 1.66 | 2.34 |
| Common Sense Ratio | 1.68 | 3.25 |
| CPC Index | 1.0 | 1.56 |
| Tail Ratio | 1.01 | 1.39 |
| Outlier Win Ratio | 3.23 | 3.22 |
| Outlier Loss Ratio | 2.8 | 3.13 |
| MTD | -1.05% | -2.39% |
| 3M | 13.91% | 9.53% |
| 6M | 8.94% | 4.98% |
| YTD | 8.94% | 4.98% |
| 1Y | 20.92% | 35.51% |
| 3Y (ann.) | 18.77% | 26.83% |
| 5Y (ann.) | 12.51% | 16.92% |
| 10Y (ann.) | 15.13% | 18.57% |
| All-time (ann.) | 9.45% | 19.66% |
| Best Day | 12.7% | 17.31% |
| Worst Day | -16.52% | -14.3% |
| Best Month | 12.7% | 17.31% |
| Worst Month | -16.52% | -14.3% |
| Best Year | 32.31% | 66.35% |
| Worst Year | -36.79% | -18.79% |
| Avg. Drawdown | -6.69% | -6.0% |
| Avg. Drawdown Days | 135 | 96 |
| Recovery Factor | 5.02 | 19.67 |
| Ulcer Index | 0.12 | 0.07 |
| Serenity Index | 2.82 | 20.95 |
| Avg. Up Month | 3.36% | 5.14% |
| Avg. Down Month | -3.66% | -4.81% |
| Win Days | 65.55% | 62.67% |
| Win Month | 65.55% | 62.67% |
| Win Quarter | 72.28% | 68.32% |
| Win Year | 80.77% | 88.46% |
| Beta | - | 0.67 |
| Alpha | - | 0.13 |
| Correlation | - | 56.25% |
| Treynor Ratio | - | 13061.7% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2001 | -5.13 | 3.02 | -0.59 | + |
| 2002 | -21.58 | 17.40 | -0.81 | + |
| 2003 | 28.18 | 66.35 | 2.35 | + |
| 2004 | 10.70 | 16.40 | 1.53 | + |
| 2005 | 4.83 | 11.40 | 2.36 | + |
| 2006 | 15.85 | 25.46 | 1.61 | + |
| 2007 | 5.15 | 22.21 | 4.32 | + |
| 2008 | -36.79 | 15.14 | -0.41 | + |
| 2009 | 26.35 | 39.42 | 1.50 | + |
| 2010 | 15.06 | 21.64 | 1.44 | + |
| 2011 | 1.89 | 5.44 | 2.87 | + |
| 2012 | 15.99 | 18.88 | 1.18 | + |
| 2013 | 32.31 | 22.73 | 0.70 | - |
| 2014 | 13.46 | 25.97 | 1.93 | + |
| 2015 | 1.23 | -8.27 | -6.70 | - |
| 2016 | 12.00 | 14.96 | 1.25 | + |
| 2017 | 21.71 | 42.28 | 1.95 | + |
| 2018 | -4.57 | -7.52 | 1.65 | - |
| 2019 | 31.22 | 33.31 | 1.07 | + |
| 2020 | 18.33 | 19.05 | 1.04 | + |
| 2021 | 28.73 | 38.40 | 1.34 | + |
| 2022 | -18.18 | -18.79 | 1.03 | - |
| 2023 | 26.18 | 22.80 | 0.87 | - |
| 2024 | 24.89 | 41.04 | 1.65 | + |
| 2025 | 17.72 | 30.48 | 1.72 | + |
| 2026 | 8.94 | 4.98 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-12-31 | -24.98 | 700 |
| 2018-02-28 | 2019-09-30 | -18.33 | 580 |
| 2020-02-29 | 2020-07-31 | -17.56 | 154 |
| 2026-03-31 | 2026-04-30 | -14.30 | 31 |
| 2015-03-31 | 2016-06-30 | -13.27 | 458 |
| 2010-05-31 | 2010-11-30 | -12.75 | 184 |
| 2020-09-30 | 2020-11-30 | -12.47 | 62 |
| 2011-05-31 | 2012-07-31 | -11.36 | 428 |
| 2024-12-31 | 2025-07-31 | -10.20 | 213 |
| 2026-06-30 | 2026-07-31 | -10.16 | 32 |