| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 709.89% | 252.54% |
| CAGR﹪ | 12.32% | 7.25% |
| Sharpe | 0.83 | 0.76 |
| Prob. Sharpe Ratio | 99.95% | 99.87% |
| Smart Sharpe | 0.72 | 0.66 |
| Sortino | 1.27 | 1.14 |
| Smart Sortino | 1.11 | 1.0 |
| Sortino/√2 | 0.9 | 0.81 |
| Smart Sortino/√2 | 0.79 | 0.71 |
| Omega | 1.84 | 1.71 |
| Max Drawdown | -41.8% | -20.77% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2008-09-30 | 2022-01-31 |
| Max DD Period End | 2010-11-30 | 2024-05-31 |
| Longest DD Days | 792 | 852 |
| Volatility (ann.) | 15.64% | 9.94% |
| R^2 | 0.79 | 0.79 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 0.29 | 0.35 |
| Skew | -0.58 | -0.62 |
| Kurtosis | 1.04 | 0.36 |
| Ulcer Performance Index | 78.68 | 49.47 |
| Risk-Adjusted Return | 1047.7% | 334.92% |
| Risk-Return Ratio | 0.24 | 0.22 |
| Avg. Return | 1.08% | 0.64% |
| Avg. Win | 3.66% | 2.34% |
| Avg. Loss | -4.05% | -2.75% |
| Win/Loss Ratio | 0.9 | 0.85 |
| Profit Ratio | 0.42 | 0.52 |
| Expected Daily | 0.97% | 0.59% |
| Expected Monthly | 0.97% | 0.59% |
| Expected Yearly | 11.64% | 6.86% |
| Kelly Criterion | 31.41% | 22.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.35% | -4.1% |
| Expected Shortfall (cVaR) | -9.03% | -5.86% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.84 | 0.71 |
| Gain/Pain (1M) | 0.84 | 0.71 |
| Payoff Ratio | 0.9 | 0.85 |
| Profit Factor | 1.84 | 1.71 |
| Common Sense Ratio | 2.05 | 1.66 |
| CPC Index | 1.12 | 0.94 |
| Tail Ratio | 1.12 | 0.97 |
| Outlier Win Ratio | 3.1 | 2.65 |
| Outlier Loss Ratio | 2.66 | 2.74 |
| MTD | -1.05% | -0.63% |
| 3M | 13.91% | 7.0% |
| 6M | 8.94% | 6.63% |
| YTD | 8.94% | 6.63% |
| 1Y | 20.92% | 13.88% |
| 3Y (ann.) | 18.77% | 12.12% |
| 5Y (ann.) | 12.51% | 6.29% |
| 10Y (ann.) | 15.13% | 7.48% |
| All-time (ann.) | 12.32% | 7.25% |
| Best Day | 12.7% | 7.04% |
| Worst Day | -16.52% | -9.04% |
| Best Month | 12.7% | 7.04% |
| Worst Month | -16.52% | -9.04% |
| Best Year | 32.31% | 17.15% |
| Worst Year | -27.86% | -15.45% |
| Avg. Drawdown | -6.69% | -4.29% |
| Avg. Drawdown Days | 93 | 108 |
| Recovery Factor | 5.56 | 6.51 |
| Ulcer Index | 0.09 | 0.05 |
| Serenity Index | 4.44 | 5.8 |
| Avg. Up Month | 3.66% | 2.34% |
| Avg. Down Month | -4.05% | -2.75% |
| Win Days | 67.44% | 64.35% |
| Win Month | 67.44% | 64.35% |
| Win Quarter | 75.34% | 71.23% |
| Win Year | 84.21% | 78.95% |
| Beta | - | 0.57 |
| Alpha | - | 0.0 |
| Correlation | - | 89.09% |
| Treynor Ratio | - | 445.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -27.86 | 0.65 | -0.02 | + |
| 2009 | 26.35 | 6.76 | 0.26 | - |
| 2010 | 15.06 | 12.44 | 0.83 | - |
| 2011 | 1.89 | -0.88 | -0.47 | - |
| 2012 | 15.99 | 14.19 | 0.89 | - |
| 2013 | 32.31 | 14.07 | 0.44 | - |
| 2014 | 13.46 | 6.67 | 0.50 | - |
| 2015 | 1.23 | -0.48 | -0.39 | - |
| 2016 | 12.00 | 5.52 | 0.46 | - |
| 2017 | 21.71 | 16.77 | 0.77 | - |
| 2018 | -4.57 | -6.69 | 1.46 | - |
| 2019 | 31.22 | 17.00 | 0.54 | - |
| 2020 | 18.33 | 4.25 | 0.23 | - |
| 2021 | 28.73 | 17.15 | 0.60 | - |
| 2022 | -18.18 | -15.45 | 0.85 | + |
| 2023 | 26.18 | 10.94 | 0.42 | - |
| 2024 | 24.89 | 11.02 | 0.44 | - |
| 2025 | 17.72 | 16.69 | 0.94 | - |
| 2026 | 8.94 | 6.63 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -20.77 | 852 |
| 2020-01-31 | 2020-10-31 | -14.02 | 275 |
| 2011-05-31 | 2012-02-29 | -11.97 | 275 |
| 2018-02-28 | 2019-09-30 | -9.96 | 580 |
| 2010-05-31 | 2010-08-31 | -8.73 | 93 |
| 2008-09-30 | 2009-06-30 | -8.56 | 274 |
| 2015-06-30 | 2016-06-30 | -7.88 | 367 |
| 2026-03-31 | 2026-04-30 | -5.62 | 31 |
| 2012-04-30 | 2012-07-31 | -5.56 | 93 |
| 2013-05-31 | 2013-08-31 | -3.96 | 93 |