| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 723.84% | 115.76% |
| CAGR﹪ | 14.41% | 5.03% |
| Sharpe | 1.03 | 0.89 |
| Prob. Sharpe Ratio | 99.99% | 99.95% |
| Smart Sharpe | 0.91 | 0.79 |
| Sortino | 1.71 | 1.47 |
| Smart Sortino | 1.51 | 1.3 |
| Sortino/√2 | 1.21 | 1.04 |
| Smart Sortino/√2 | 1.07 | 0.92 |
| Omega | 2.13 | 1.94 |
| 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.) | 14.15% | 5.71% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.23 | -0.23 |
| Calmar | 0.6 | 0.68 |
| Skew | -0.33 | -0.42 |
| Kurtosis | 0.73 | 2.08 |
| Ulcer Performance Index | 130.61 | 39.11 |
| Risk-Adjusted Return | 1588.95% | 180.33% |
| Risk-Return Ratio | 0.3 | 0.26 |
| Avg. Return | 1.21% | 0.42% |
| Avg. Win | 3.48% | 1.38% |
| Avg. Loss | -3.82% | -1.53% |
| Win/Loss Ratio | 0.91 | 0.9 |
| Profit Ratio | 0.44 | 0.57 |
| Expected Daily | 1.13% | 0.41% |
| Expected Monthly | 1.13% | 0.41% |
| Expected Yearly | 13.21% | 4.63% |
| Kelly Criterion | 34.2% | 25.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.51% | -2.29% |
| Expected Shortfall (cVaR) | -7.63% | -3.42% |
| Max Consecutive Wins | 15 | 7 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 1.13 | 0.94 |
| Gain/Pain (1M) | 1.13 | 0.94 |
| Payoff Ratio | 0.91 | 0.9 |
| Profit Factor | 2.13 | 1.94 |
| Common Sense Ratio | 2.45 | 2.8 |
| CPC Index | 1.33 | 1.13 |
| Tail Ratio | 1.15 | 1.45 |
| Outlier Win Ratio | 3.26 | 2.97 |
| Outlier Loss Ratio | 2.58 | 2.55 |
| MTD | -1.05% | 1.99% |
| 3M | 13.91% | 1.98% |
| 6M | 8.94% | 7.47% |
| YTD | 8.94% | 7.47% |
| 1Y | 20.92% | 16.58% |
| 3Y (ann.) | 18.77% | 12.39% |
| 5Y (ann.) | 12.51% | 7.85% |
| 10Y (ann.) | 15.13% | 6.23% |
| All-time (ann.) | 14.41% | 5.03% |
| 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 | 32.31% | 18.48% |
| Worst Year | -18.18% | -3.8% |
| Avg. Drawdown | -5.48% | -2.72% |
| Avg. Drawdown Days | 69 | 176 |
| Recovery Factor | 9.51 | 10.73 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 10.84 | 7.04 |
| Avg. Up Month | 3.48% | 1.38% |
| Avg. Down Month | -3.82% | -1.53% |
| Win Days | 68.62% | 64.89% |
| Win Month | 68.62% | 64.89% |
| Win Quarter | 78.12% | 70.31% |
| Win Year | 88.24% | 70.59% |
| Beta | - | 0.24 |
| Alpha | - | 0.02 |
| Correlation | - | 59.76% |
| Treynor Ratio | - | 480.05% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 6.69 | 3.84 | 0.57 | - |
| 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 | 7.47 | 0.84 | - |
| 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 |
| 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 |
| 2024-10-31 | 2025-02-28 | -2.36 | 121 |