| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,270.27% | 142.03% |
| CAGR﹪ | 16.22% | 5.21% |
| Sharpe | 1.11 | 0.88 |
| Prob. Sharpe Ratio | 100.0% | 99.98% |
| Smart Sharpe | 0.97 | 0.77 |
| Sortino | 1.9 | 1.45 |
| Smart Sortino | 1.67 | 1.27 |
| Sortino/√2 | 1.35 | 1.03 |
| Smart Sortino/√2 | 1.18 | 0.9 |
| Omega | 2.25 | 1.92 |
| Max Drawdown | -23.93% | -7.42% |
| Max DD Date | 2022-09-30 | 2011-09-30 |
| Max DD Period Start | 2022-01-31 | 2011-05-31 |
| Max DD Period End | 2023-11-30 | 2012-12-31 |
| Longest DD Days | 669 | 1158 |
| Volatility (ann.) | 14.53% | 5.98% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.26 | -0.26 |
| Calmar | 0.68 | 0.7 |
| Skew | -0.31 | -0.36 |
| Kurtosis | 0.46 | 1.67 |
| Ulcer Performance Index | 233.43 | 48.28 |
| Risk-Adjusted Return | 2247.99% | 190.31% |
| Risk-Return Ratio | 0.32 | 0.25 |
| Avg. Return | 1.35% | 0.45% |
| Avg. Win | 3.68% | 1.46% |
| Avg. Loss | -3.87% | -1.56% |
| Win/Loss Ratio | 0.95 | 0.94 |
| Profit Ratio | 0.46 | 0.58 |
| Expected Daily | 1.26% | 0.42% |
| Expected Monthly | 1.26% | 0.42% |
| Expected Yearly | 15.65% | 5.03% |
| Kelly Criterion | 35.94% | 26.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.55% | -2.4% |
| Expected Shortfall (cVaR) | -7.65% | -3.66% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 1.25 | 0.92 |
| Gain/Pain (1M) | 1.25 | 0.92 |
| Payoff Ratio | 0.95 | 0.94 |
| Profit Factor | 2.25 | 1.92 |
| Common Sense Ratio | 3.0 | 2.72 |
| CPC Index | 1.47 | 1.16 |
| Tail Ratio | 1.33 | 1.42 |
| Outlier Win Ratio | 3.08 | 3.37 |
| Outlier Loss Ratio | 2.54 | 2.68 |
| MTD | -1.05% | 1.93% |
| 3M | 13.91% | 1.92% |
| 6M | 8.94% | 7.41% |
| YTD | 8.94% | 7.41% |
| 1Y | 20.92% | 16.51% |
| 3Y (ann.) | 18.77% | 12.37% |
| 5Y (ann.) | 12.51% | 7.83% |
| 10Y (ann.) | 15.13% | 6.23% |
| All-time (ann.) | 16.22% | 5.21% |
| Best Day | 12.7% | 4.93% |
| Worst Day | -12.49% | -7.33% |
| Best Month | 12.7% | 4.93% |
| Worst Month | -12.49% | -7.33% |
| Best Year | 54.23% | 18.48% |
| Worst Year | -18.18% | -3.8% |
| Avg. Drawdown | -5.37% | -2.67% |
| Avg. Drawdown Days | 66 | 157 |
| Recovery Factor | 11.77 | 12.36 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | 14.4 | 8.69 |
| Avg. Up Month | 3.68% | 1.46% |
| Avg. Down Month | -3.87% | -1.56% |
| Win Days | 68.75% | 64.59% |
| Win Month | 68.75% | 64.59% |
| Win Quarter | 78.87% | 70.42% |
| Win Year | 88.89% | 72.22% |
| Beta | - | 0.25 |
| Alpha | - | 0.01 |
| Correlation | - | 60.62% |
| Treynor Ratio | - | 569.34% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 54.23 | 7.91 | 0.15 | - |
| 2010 | 15.06 | 8.01 | 0.53 | - |
| 2011 | 1.89 | 2.55 | 1.35 | + |
| 2012 | 15.99 | 5.62 | 0.35 | - |
| 2013 | 32.31 | 5.66 | 0.18 | - |
| 2014 | 13.46 | -0.00 | -0.00 | - |
| 2015 | 1.23 | -3.80 | -3.08 | - |
| 2016 | 12.00 | -0.39 | -0.03 | - |
| 2017 | 21.71 | 10.22 | 0.47 | - |
| 2018 | -4.57 | -3.73 | 0.82 | + |
| 2019 | 31.22 | 7.56 | 0.24 | - |
| 2020 | 18.33 | 5.98 | 0.33 | - |
| 2021 | 28.73 | 10.05 | 0.35 | - |
| 2022 | -18.18 | -2.49 | 0.14 | + |
| 2023 | 26.18 | 5.73 | 0.22 | - |
| 2024 | 24.89 | 8.43 | 0.34 | - |
| 2025 | 17.72 | 18.48 | 1.04 | + |
| 2026 | 8.94 | 7.41 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2012-12-31 | -7.42 | 581 |
| 2014-07-31 | 2017-09-30 | -7.07 | 1158 |
| 2018-02-28 | 2019-11-30 | -6.55 | 641 |
| 2022-04-30 | 2023-11-30 | -5.85 | 580 |
| 2009-12-31 | 2010-08-31 | -5.80 | 244 |
| 2020-01-31 | 2020-06-30 | -4.30 | 152 |
| 2026-06-30 | 2026-07-31 | -3.62 | 32 |
| 2020-09-30 | 2020-11-30 | -3.08 | 62 |
| 2026-03-31 | 2026-03-31 | -2.62 | 1 |
| 2013-05-31 | 2013-08-31 | -2.48 | 93 |