| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 389.59% | 46.7% |
| CAGR﹪ | 13.65% | 3.13% |
| Sharpe | 0.95 | 0.49 |
| Prob. Sharpe Ratio | 99.93% | 95.01% |
| Smart Sharpe | 0.88 | 0.45 |
| Sortino | 1.57 | 0.72 |
| Smart Sortino | 1.44 | 0.66 |
| Sortino/√2 | 1.11 | 0.51 |
| Smart Sortino/√2 | 1.02 | 0.47 |
| Omega | 2.03 | 1.49 |
| Max Drawdown | -23.93% | -19.49% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2025-01-31 |
| Longest DD Days | 669 | 1220 |
| Volatility (ann.) | 14.59% | 6.72% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.26 | -0.26 |
| Calmar | 0.57 | 0.16 |
| Skew | -0.34 | -0.68 |
| Kurtosis | 0.7 | 3.17 |
| Ulcer Performance Index | 66.28 | 7.95 |
| Risk-Adjusted Return | 1367.89% | 91.19% |
| Risk-Return Ratio | 0.28 | 0.14 |
| Avg. Return | 1.16% | 0.28% |
| Avg. Win | 3.45% | 1.53% |
| Avg. Loss | -4.0% | -1.85% |
| Win/Loss Ratio | 0.86 | 0.83 |
| Profit Ratio | 0.43 | 0.85 |
| Expected Daily | 1.07% | 0.26% |
| Expected Monthly | 1.07% | 0.26% |
| Expected Yearly | 13.0% | 2.99% |
| Kelly Criterion | 31.88% | 5.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.77% | -2.92% |
| Expected Shortfall (cVaR) | -8.32% | -5.35% |
| Max Consecutive Wins | 15 | 6 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 1.03 | 0.49 |
| Gain/Pain (1M) | 1.03 | 0.49 |
| Payoff Ratio | 0.86 | 0.83 |
| Profit Factor | 2.03 | 1.49 |
| Common Sense Ratio | 2.46 | 1.92 |
| CPC Index | 1.2 | 0.71 |
| Tail Ratio | 1.21 | 1.29 |
| Outlier Win Ratio | 3.2 | 3.43 |
| Outlier Loss Ratio | 2.52 | 4.01 |
| MTD | -1.05% | -1.25% |
| 3M | 13.91% | -0.89% |
| 6M | 8.94% | 1.03% |
| YTD | 8.94% | 1.03% |
| 1Y | 20.92% | 9.55% |
| 3Y (ann.) | 18.77% | 8.56% |
| 5Y (ann.) | 12.51% | 2.36% |
| 10Y (ann.) | 15.13% | 2.77% |
| All-time (ann.) | 13.65% | 3.13% |
| Best Day | 12.7% | 5.63% |
| Worst Day | -12.49% | -8.36% |
| Best Month | 12.7% | 5.63% |
| Worst Month | -12.49% | -8.36% |
| Best Year | 31.22% | 13.27% |
| Worst Year | -18.18% | -15.02% |
| Avg. Drawdown | -5.49% | -3.48% |
| Avg. Drawdown Days | 70 | 196 |
| Recovery Factor | 7.22 | 2.11 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 7.85 | 0.96 |
| Avg. Up Month | 3.45% | 1.53% |
| Avg. Down Month | -4.0% | -1.85% |
| Win Days | 68.46% | 57.05% |
| Win Month | 68.46% | 57.05% |
| Win Quarter | 78.43% | 66.67% |
| Win Year | 84.62% | 69.23% |
| Beta | - | 0.29 |
| Alpha | - | -0.01 |
| Correlation | - | 63.51% |
| Treynor Ratio | - | 159.53% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 12.49 | 3.66 | 0.29 | - |
| 2015 | 1.23 | -1.00 | -0.81 | - |
| 2016 | 12.00 | 4.94 | 0.41 | - |
| 2017 | 21.71 | 6.45 | 0.30 | - |
| 2018 | -4.57 | -2.11 | 0.46 | + |
| 2019 | 31.22 | 12.19 | 0.39 | - |
| 2020 | 18.33 | 3.44 | 0.19 | - |
| 2021 | 28.73 | -0.56 | -0.02 | - |
| 2022 | -18.18 | -15.02 | 0.83 | + |
| 2023 | 26.18 | 9.76 | 0.37 | - |
| 2024 | 24.89 | 6.13 | 0.25 | - |
| 2025 | 17.72 | 13.27 | 0.75 | - |
| 2026 | 8.94 | 1.03 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-01-31 | -19.49 | 1220 |
| 2020-02-29 | 2020-10-31 | -8.59 | 246 |
| 2016-10-31 | 2017-11-30 | -6.60 | 396 |
| 2015-04-30 | 2016-02-29 | -3.33 | 306 |
| 2021-01-31 | 2021-06-30 | -3.17 | 151 |
| 2026-03-31 | 2026-07-31 | -2.97 | 123 |
| 2018-01-31 | 2018-12-31 | -2.80 | 335 |
| 2014-09-30 | 2014-12-31 | -1.49 | 93 |
| 2025-05-31 | 2025-05-31 | -0.99 | 1 |
| 2025-03-31 | 2025-03-31 | -0.97 | 1 |