| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 335.23% | 41.73% |
| CAGR﹪ | 13.54% | 3.06% |
| Sharpe | 0.92 | 0.47 |
| Prob. Sharpe Ratio | 99.87% | 93.66% |
| Smart Sharpe | 0.86 | 0.44 |
| Sortino | 1.51 | 0.69 |
| Smart Sortino | 1.41 | 0.64 |
| Sortino/√2 | 1.07 | 0.49 |
| Smart Sortino/√2 | 1.0 | 0.45 |
| Omega | 1.97 | 1.47 |
| Max Drawdown | -23.93% | -19.45% |
| 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 | 2024-08-31 |
| Longest DD Days | 669 | 1067 |
| Volatility (ann.) | 15.03% | 6.89% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.26 | -0.26 |
| Calmar | 0.57 | 0.16 |
| Skew | -0.33 | -0.67 |
| Kurtosis | 0.53 | 2.96 |
| Ulcer Performance Index | 55.1 | 6.89 |
| Risk-Adjusted Return | 1338.69% | 88.19% |
| Risk-Return Ratio | 0.27 | 0.14 |
| Avg. Return | 1.16% | 0.27% |
| Avg. Win | 3.56% | 1.58% |
| Avg. Loss | -4.2% | -1.88% |
| Win/Loss Ratio | 0.85 | 0.84 |
| Profit Ratio | 0.42 | 0.9 |
| Expected Daily | 1.06% | 0.25% |
| Expected Monthly | 1.06% | 0.25% |
| Expected Yearly | 13.04% | 2.95% |
| Kelly Criterion | 31.01% | 3.93% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.98% | -3.0% |
| Expected Shortfall (cVaR) | -8.32% | -5.33% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.97 | 0.47 |
| Gain/Pain (1M) | 0.97 | 0.47 |
| Payoff Ratio | 0.85 | 0.84 |
| Profit Factor | 1.97 | 1.47 |
| Common Sense Ratio | 2.46 | 1.96 |
| CPC Index | 1.14 | 0.69 |
| Tail Ratio | 1.25 | 1.33 |
| Outlier Win Ratio | 3.13 | 3.35 |
| Outlier Loss Ratio | 2.42 | 3.97 |
| MTD | -1.05% | -1.23% |
| 3M | 13.91% | -0.87% |
| 6M | 8.94% | 1.05% |
| YTD | 8.94% | 1.05% |
| 1Y | 20.92% | 9.57% |
| 3Y (ann.) | 18.77% | 8.66% |
| 5Y (ann.) | 12.51% | 2.42% |
| 10Y (ann.) | 15.13% | 2.78% |
| All-time (ann.) | 13.54% | 3.06% |
| 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% | 13.34% |
| Worst Year | -18.18% | -14.97% |
| Avg. Drawdown | -5.88% | -4.01% |
| Avg. Drawdown Days | 75 | 214 |
| Recovery Factor | 6.72 | 1.94 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 7.27 | 0.87 |
| Avg. Up Month | 3.56% | 1.58% |
| Avg. Down Month | -4.2% | -1.88% |
| Win Days | 68.35% | 56.12% |
| Win Month | 68.35% | 56.12% |
| Win Quarter | 76.6% | 65.96% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.29 |
| Alpha | - | -0.01 |
| Correlation | - | 63.16% |
| Treynor Ratio | - | 144.17% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | 1.23 | -0.95 | -0.77 | - |
| 2016 | 12.00 | 4.87 | 0.41 | - |
| 2017 | 21.71 | 6.45 | 0.30 | - |
| 2018 | -4.57 | -2.12 | 0.46 | + |
| 2019 | 31.22 | 12.18 | 0.39 | - |
| 2020 | 18.33 | 3.37 | 0.18 | - |
| 2021 | 28.73 | -0.63 | -0.02 | - |
| 2022 | -18.18 | -14.97 | 0.82 | + |
| 2023 | 26.18 | 9.83 | 0.38 | - |
| 2024 | 24.89 | 6.26 | 0.25 | - |
| 2025 | 17.72 | 13.34 | 0.75 | - |
| 2026 | 8.94 | 1.05 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-08-31 | -19.45 | 1067 |
| 2020-02-29 | 2020-10-31 | -8.54 | 246 |
| 2016-10-31 | 2017-11-30 | -6.60 | 396 |
| 2015-03-31 | 2016-02-29 | -3.33 | 336 |
| 2021-01-31 | 2021-06-30 | -3.18 | 151 |
| 2026-03-31 | 2026-07-31 | -3.01 | 123 |
| 2018-01-31 | 2018-12-31 | -2.81 | 335 |
| 2024-10-31 | 2024-12-31 | -1.92 | 62 |
| 2025-05-31 | 2025-05-31 | -0.99 | 1 |
| 2025-03-31 | 2025-03-31 | -0.97 | 1 |