| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 281.51% |
| CAGR﹪ | 14.74% | 7.91% |
| Sharpe | 1.0 | 1.3 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.94 | 1.21 |
| Sortino | 1.65 | 2.42 |
| Smart Sortino | 1.54 | 2.26 |
| Sortino/√2 | 1.17 | 1.71 |
| Smart Sortino/√2 | 1.09 | 1.6 |
| Omega | 2.07 | 2.83 |
| Max Drawdown | -23.93% | -6.4% |
| Max DD Date | 2022-09-30 | 2009-07-31 |
| Max DD Period Start | 2022-01-31 | 2009-01-31 |
| Max DD Period End | 2023-11-30 | 2009-10-31 |
| Longest DD Days | 669 | 425 |
| Volatility (ann.) | 14.92% | 6.02% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.16 | -0.16 |
| Calmar | 0.62 | 1.24 |
| Skew | -0.37 | -0.04 |
| Kurtosis | 0.47 | 1.02 |
| Ulcer Performance Index | 181.23 | 149.91 |
| Risk-Adjusted Return | 1695.98% | 394.89% |
| Risk-Return Ratio | 0.29 | 0.37 |
| Avg. Return | 1.25% | 0.66% |
| Avg. Win | 3.52% | 1.56% |
| Avg. Loss | -3.43% | -1.7% |
| Win/Loss Ratio | 1.03 | 0.92 |
| Profit Ratio | 0.45 | 0.41 |
| Expected Daily | 1.15% | 0.64% |
| Expected Monthly | 1.15% | 0.64% |
| Expected Yearly | 14.38% | 7.72% |
| Kelly Criterion | 37.04% | 42.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -2.21% |
| Expected Shortfall (cVaR) | -8.19% | -3.23% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.83 |
| Gain/Pain (1M) | 1.07 | 1.83 |
| Payoff Ratio | 1.03 | 0.92 |
| Profit Factor | 2.07 | 2.83 |
| Common Sense Ratio | 2.52 | 3.9 |
| CPC Index | 1.45 | 1.88 |
| Tail Ratio | 1.21 | 1.38 |
| Outlier Win Ratio | 3.08 | 3.22 |
| Outlier Loss Ratio | 2.52 | 2.97 |
| MTD | -1.05% | -0.93% |
| 3M | 13.91% | 7.89% |
| 6M | 8.94% | 5.04% |
| YTD | 8.94% | 5.04% |
| 1Y | 20.92% | 13.1% |
| 3Y (ann.) | 18.77% | 11.48% |
| 5Y (ann.) | 12.51% | 7.97% |
| 10Y (ann.) | 15.13% | 9.73% |
| All-time (ann.) | 14.74% | 7.91% |
| Best Day | 12.7% | 6.57% |
| Worst Day | -12.49% | -3.99% |
| Best Month | 12.7% | 6.57% |
| Worst Month | -12.49% | -3.99% |
| Best Year | 32.31% | 19.05% |
| Worst Year | -18.18% | -1.65% |
| Avg. Drawdown | -5.74% | -2.05% |
| Avg. Drawdown Days | 66 | 79 |
| Recovery Factor | 10.98 | 21.48 |
| Ulcer Index | 0.06 | 0.02 |
| Serenity Index | 13.13 | 27.17 |
| Avg. Up Month | 3.52% | 1.56% |
| Avg. Down Month | -3.43% | -1.7% |
| Win Days | 68.1% | 72.51% |
| Win Month | 68.1% | 72.51% |
| Win Quarter | 77.46% | 77.46% |
| Win Year | 88.89% | 94.44% |
| Beta | - | 0.21 |
| Alpha | - | 0.05 |
| Correlation | - | 51.62% |
| Treynor Ratio | - | 1350.91% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 1.06 | 0.04 | - |
| 2010 | 15.06 | 3.78 | 0.25 | - |
| 2011 | 1.89 | 6.42 | 3.39 | + |
| 2012 | 15.99 | 8.16 | 0.51 | - |
| 2013 | 32.31 | 8.33 | 0.26 | - |
| 2014 | 13.46 | 5.38 | 0.40 | - |
| 2015 | 1.23 | 0.93 | 0.75 | - |
| 2016 | 12.00 | 9.77 | 0.81 | - |
| 2017 | 21.71 | 9.96 | 0.46 | - |
| 2018 | -4.57 | 5.07 | -1.11 | + |
| 2019 | 31.22 | 12.59 | 0.40 | - |
| 2020 | 18.33 | 19.05 | 1.04 | + |
| 2021 | 28.73 | 15.09 | 0.53 | - |
| 2022 | -18.18 | -1.65 | 0.09 | + |
| 2023 | 26.18 | 9.14 | 0.35 | - |
| 2024 | 24.89 | 10.49 | 0.42 | - |
| 2025 | 17.72 | 12.56 | 0.71 | - |
| 2026 | 8.94 | 5.04 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-10-31 | -6.40 | 274 |
| 2010-05-31 | 2011-01-31 | -6.01 | 246 |
| 2024-12-31 | 2025-05-31 | -4.90 | 152 |
| 2020-09-30 | 2020-10-31 | -4.04 | 32 |
| 2022-01-31 | 2023-03-31 | -4.01 | 425 |
| 2026-03-31 | 2026-03-31 | -3.88 | 1 |
| 2024-04-30 | 2024-06-30 | -3.65 | 62 |
| 2020-02-29 | 2020-03-31 | -3.63 | 32 |
| 2021-09-30 | 2021-09-30 | -3.43 | 1 |
| 2012-05-31 | 2012-08-31 | -2.98 | 93 |