| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 594.14% | 211.91% |
| CAGR﹪ | 14.38% | 8.21% |
| Sharpe | 1.03 | 0.84 |
| Prob. Sharpe Ratio | 99.99% | 99.86% |
| Smart Sharpe | 0.91 | 0.74 |
| Sortino | 1.7 | 1.31 |
| Smart Sortino | 1.5 | 1.16 |
| Sortino/√2 | 1.2 | 0.93 |
| Smart Sortino/√2 | 1.06 | 0.82 |
| Omega | 2.13 | 1.87 |
| Max Drawdown | -23.93% | -21.57% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-02-29 |
| Longest DD Days | 669 | 760 |
| Volatility (ann.) | 14.04% | 10.04% |
| R^2 | 0.88 | 0.88 |
| Information Ratio | -0.3 | -0.3 |
| Calmar | 0.6 | 0.38 |
| Skew | -0.39 | -0.5 |
| Kurtosis | 0.82 | 1.31 |
| Ulcer Performance Index | 108.09 | 42.66 |
| Risk-Adjusted Return | 1581.46% | 424.36% |
| Risk-Return Ratio | 0.3 | 0.24 |
| Avg. Return | 1.21% | 0.7% |
| Avg. Win | 3.44% | 2.3% |
| Avg. Loss | -3.7% | -2.82% |
| Win/Loss Ratio | 0.93 | 0.81 |
| Profit Ratio | 0.42 | 0.43 |
| Expected Daily | 1.13% | 0.66% |
| Expected Monthly | 1.13% | 0.66% |
| Expected Yearly | 13.79% | 7.88% |
| Kelly Criterion | 36.36% | 27.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.46% | -4.06% |
| Expected Shortfall (cVaR) | -7.68% | -6.08% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 1.13 | 0.87 |
| Gain/Pain (1M) | 1.13 | 0.87 |
| Payoff Ratio | 0.93 | 0.81 |
| Profit Factor | 2.13 | 1.87 |
| Common Sense Ratio | 2.47 | 2.12 |
| CPC Index | 1.37 | 1.03 |
| Tail Ratio | 1.16 | 1.13 |
| Outlier Win Ratio | 3.23 | 3.2 |
| Outlier Loss Ratio | 2.56 | 2.82 |
| MTD | -1.05% | -0.73% |
| 3M | 13.91% | 8.47% |
| 6M | 8.94% | 8.04% |
| YTD | 8.94% | 8.04% |
| 1Y | 20.92% | 16.98% |
| 3Y (ann.) | 18.77% | 13.28% |
| 5Y (ann.) | 12.51% | 7.28% |
| 10Y (ann.) | 15.13% | 9.39% |
| All-time (ann.) | 14.38% | 8.21% |
| Best Day | 12.7% | 8.45% |
| Worst Day | -12.49% | -10.08% |
| Best Month | 12.7% | 8.45% |
| Worst Month | -12.49% | -10.08% |
| Best Year | 32.31% | 20.33% |
| Worst Year | -18.18% | -15.41% |
| Avg. Drawdown | -5.1% | -4.51% |
| Avg. Drawdown Days | 63 | 105 |
| Recovery Factor | 8.73 | 5.63 |
| Ulcer Index | 0.05 | 0.05 |
| Serenity Index | 9.98 | 5.45 |
| Avg. Up Month | 3.44% | 2.3% |
| Avg. Down Month | -3.7% | -2.82% |
| Win Days | 69.36% | 67.63% |
| Win Month | 69.36% | 67.63% |
| Win Quarter | 77.97% | 72.88% |
| Win Year | 86.67% | 80.0% |
| Beta | - | 0.67 |
| Alpha | - | -0.01 |
| Correlation | - | 93.87% |
| Treynor Ratio | - | 315.76% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 6.24 | 5.88 | 0.94 | - |
| 2013 | 32.31 | 12.14 | 0.38 | - |
| 2014 | 13.46 | 4.06 | 0.30 | - |
| 2015 | 1.23 | -1.47 | -1.19 | - |
| 2016 | 12.00 | 7.79 | 0.65 | - |
| 2017 | 21.71 | 16.92 | 0.78 | - |
| 2018 | -4.57 | -6.84 | 1.50 | - |
| 2019 | 31.22 | 20.33 | 0.65 | - |
| 2020 | 18.33 | 15.72 | 0.86 | - |
| 2021 | 28.73 | 13.58 | 0.47 | - |
| 2022 | -18.18 | -15.41 | 0.85 | + |
| 2023 | 26.18 | 15.32 | 0.59 | - |
| 2024 | 24.89 | 10.25 | 0.41 | - |
| 2025 | 17.72 | 18.75 | 1.06 | + |
| 2026 | 8.94 | 8.04 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -21.57 | 760 |
| 2020-01-31 | 2020-06-30 | -14.61 | 152 |
| 2018-02-28 | 2019-03-31 | -9.85 | 397 |
| 2015-05-31 | 2016-06-30 | -9.23 | 397 |
| 2012-04-30 | 2012-07-31 | -5.42 | 93 |
| 2026-03-31 | 2026-03-31 | -4.71 | 1 |
| 2013-05-31 | 2013-08-31 | -4.54 | 93 |
| 2019-05-31 | 2019-05-31 | -3.48 | 1 |
| 2020-09-30 | 2020-10-31 | -3.45 | 32 |
| 2014-09-30 | 2015-01-31 | -3.22 | 124 |