| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 382.21% | 109.78% |
| CAGR﹪ | 13.7% | 6.23% |
| Sharpe | 0.95 | 0.71 |
| Prob. Sharpe Ratio | 99.93% | 99.03% |
| Smart Sharpe | 0.84 | 0.63 |
| Sortino | 1.56 | 1.08 |
| Smart Sortino | 1.39 | 0.96 |
| Sortino/√2 | 1.1 | 0.76 |
| Smart Sortino/√2 | 0.98 | 0.68 |
| Omega | 2.02 | 1.71 |
| Max Drawdown | -23.93% | -18.08% |
| 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.) | 14.69% | 9.19% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.29 | -0.29 |
| Calmar | 0.57 | 0.34 |
| Skew | -0.34 | -0.49 |
| Kurtosis | 0.66 | 1.78 |
| Ulcer Performance Index | 64.58 | 24.03 |
| Risk-Adjusted Return | 1383.4% | 256.12% |
| Risk-Return Ratio | 0.27 | 0.2 |
| Avg. Return | 1.17% | 0.54% |
| Avg. Win | 3.59% | 2.04% |
| Avg. Loss | -3.94% | -2.67% |
| Win/Loss Ratio | 0.91 | 0.77 |
| Profit Ratio | 0.45 | 0.43 |
| Expected Daily | 1.08% | 0.51% |
| Expected Monthly | 1.08% | 0.51% |
| Expected Yearly | 12.86% | 5.86% |
| Kelly Criterion | 32.99% | 23.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.81% | -3.83% |
| Expected Shortfall (cVaR) | -8.32% | -5.58% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 1.02 | 0.71 |
| Gain/Pain (1M) | 1.02 | 0.71 |
| Payoff Ratio | 0.91 | 0.77 |
| Profit Factor | 2.02 | 1.71 |
| Common Sense Ratio | 2.47 | 2.12 |
| CPC Index | 1.25 | 0.87 |
| Tail Ratio | 1.23 | 1.24 |
| Outlier Win Ratio | 3.15 | 3.15 |
| Outlier Loss Ratio | 2.52 | 2.77 |
| MTD | -1.05% | -0.58% |
| 3M | 13.91% | 6.2% |
| 6M | 8.94% | 7.64% |
| YTD | 8.94% | 7.64% |
| 1Y | 20.92% | 15.43% |
| 3Y (ann.) | 18.77% | 10.84% |
| 5Y (ann.) | 12.51% | 5.67% |
| 10Y (ann.) | 15.13% | 7.14% |
| All-time (ann.) | 13.7% | 6.23% |
| Best Day | 12.7% | 8.25% |
| Worst Day | -12.49% | -10.24% |
| Best Month | 12.7% | 8.25% |
| Worst Month | -12.49% | -10.24% |
| Best Year | 31.22% | 16.29% |
| Worst Year | -18.18% | -11.85% |
| Avg. Drawdown | -5.49% | -4.25% |
| Avg. Drawdown Days | 70 | 132 |
| Recovery Factor | 7.16 | 4.39 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 7.78 | 3.9 |
| Avg. Up Month | 3.59% | 2.04% |
| Avg. Down Month | -3.94% | -2.67% |
| Win Days | 68.03% | 66.67% |
| Win Month | 68.03% | 66.67% |
| Win Quarter | 78.0% | 74.0% |
| Win Year | 84.62% | 76.92% |
| Beta | - | 0.56 |
| Alpha | - | -0.01 |
| Correlation | - | 90.01% |
| Treynor Ratio | - | 194.87% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 10.79 | 1.25 | 0.12 | - |
| 2015 | 1.23 | -0.46 | -0.37 | - |
| 2016 | 12.00 | 8.03 | 0.67 | - |
| 2017 | 21.71 | 12.62 | 0.58 | - |
| 2018 | -4.57 | -6.48 | 1.42 | - |
| 2019 | 31.22 | 16.29 | 0.52 | - |
| 2020 | 18.33 | 8.98 | 0.49 | - |
| 2021 | 28.73 | 11.42 | 0.40 | - |
| 2022 | -18.18 | -11.85 | 0.65 | + |
| 2023 | 26.18 | 11.25 | 0.43 | - |
| 2024 | 24.89 | 6.45 | 0.26 | - |
| 2025 | 17.72 | 15.31 | 0.86 | - |
| 2026 | 8.94 | 7.64 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -18.08 | 760 |
| 2020-01-31 | 2020-10-31 | -15.32 | 275 |
| 2018-02-28 | 2019-03-31 | -8.23 | 397 |
| 2015-06-30 | 2016-06-30 | -6.97 | 367 |
| 2026-03-31 | 2026-03-31 | -4.16 | 1 |
| 2024-10-31 | 2025-04-30 | -3.12 | 182 |
| 2019-05-31 | 2019-05-31 | -3.10 | 1 |
| 2014-09-30 | 2015-01-31 | -3.08 | 124 |
| 2024-04-30 | 2024-04-30 | -2.72 | 1 |
| 2021-09-30 | 2021-11-30 | -2.29 | 62 |