| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 335.23% | 38.03% |
| CAGR﹪ | 13.54% | 2.82% |
| Sharpe | 0.92 | 0.54 |
| Prob. Sharpe Ratio | 99.87% | 96.81% |
| Smart Sharpe | 0.83 | 0.48 |
| Sortino | 1.51 | 0.87 |
| Smart Sortino | 1.36 | 0.78 |
| Sortino/√2 | 1.07 | 0.61 |
| Smart Sortino/√2 | 0.96 | 0.55 |
| Omega | 1.97 | 1.58 |
| Max Drawdown | -23.93% | -8.55% |
| Max DD Date | 2022-09-30 | 2015-12-31 |
| Max DD Period Start | 2022-01-31 | 2015-02-28 |
| Max DD Period End | 2023-11-30 | 2016-05-31 |
| Longest DD Days | 669 | 912 |
| Volatility (ann.) | 15.03% | 5.43% |
| R^2 | 0.01 | 0.01 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 0.57 | 0.33 |
| Skew | -0.33 | 0.21 |
| Kurtosis | 0.53 | 2.01 |
| Ulcer Performance Index | 55.1 | 12.36 |
| Risk-Adjusted Return | 1338.69% | 79.38% |
| Risk-Return Ratio | 0.27 | 0.16 |
| Avg. Return | 1.16% | 0.24% |
| Avg. Win | 3.51% | 0.89% |
| Avg. Loss | -3.36% | -1.5% |
| Win/Loss Ratio | 1.04 | 0.59 |
| Profit Ratio | 0.42 | 0.41 |
| Expected Daily | 1.06% | 0.23% |
| Expected Monthly | 1.06% | 0.23% |
| Expected Yearly | 13.04% | 2.72% |
| Kelly Criterion | 38.05% | 9.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.98% | -2.34% |
| Expected Shortfall (cVaR) | -8.32% | -3.25% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 3 | 9 |
| Gain/Pain Ratio | 0.97 | 0.58 |
| Gain/Pain (1M) | 0.97 | 0.58 |
| Payoff Ratio | 1.04 | 0.59 |
| Profit Factor | 1.97 | 1.58 |
| Common Sense Ratio | 2.46 | 1.81 |
| CPC Index | 1.41 | 0.62 |
| Tail Ratio | 1.25 | 1.15 |
| Outlier Win Ratio | 3.13 | 5.03 |
| Outlier Loss Ratio | 2.42 | 3.05 |
| MTD | -1.05% | -0.32% |
| 3M | 13.91% | 0.5% |
| 6M | 8.94% | -1.45% |
| YTD | 8.94% | -1.45% |
| 1Y | 20.92% | 1.36% |
| 3Y (ann.) | 18.77% | 0.97% |
| 5Y (ann.) | 12.51% | 0.59% |
| 10Y (ann.) | 15.13% | 2.53% |
| All-time (ann.) | 13.54% | 2.82% |
| Best Day | 12.7% | 5.45% |
| Worst Day | -12.49% | -4.19% |
| Best Month | 12.7% | 5.45% |
| Worst Month | -12.49% | -4.19% |
| Best Year | 31.22% | 12.5% |
| Worst Year | -18.18% | -3.73% |
| Avg. Drawdown | -5.88% | -3.2% |
| Avg. Drawdown Days | 75 | 210 |
| Recovery Factor | 6.72 | 3.97 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 7.27 | 2.25 |
| Avg. Up Month | 3.51% | 0.89% |
| Avg. Down Month | -3.36% | -1.5% |
| Win Days | 68.35% | 66.19% |
| Win Month | 68.35% | 66.19% |
| Win Quarter | 76.6% | 63.83% |
| Win Year | 83.33% | 58.33% |
| Beta | - | 0.03 |
| Alpha | - | 0.02 |
| Correlation | - | 9.1% |
| Treynor Ratio | - | 1155.44% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | 1.23 | -3.73 | -3.02 | - |
| 2016 | 12.00 | 8.21 | 0.68 | - |
| 2017 | 21.71 | 5.25 | 0.24 | - |
| 2018 | -4.57 | -3.08 | 0.67 | + |
| 2019 | 31.22 | 10.69 | 0.34 | - |
| 2020 | 18.33 | 12.50 | 0.68 | - |
| 2021 | 28.73 | 1.07 | 0.04 | - |
| 2022 | -18.18 | -1.69 | 0.09 | + |
| 2023 | 26.18 | 3.60 | 0.14 | - |
| 2024 | 24.89 | -1.57 | -0.06 | - |
| 2025 | 17.72 | 4.45 | 0.25 | - |
| 2026 | 8.94 | -1.45 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2015-02-28 | 2016-05-31 | -8.55 | 459 |
| 2016-10-31 | 2019-04-30 | -6.49 | 912 |
| 2024-04-30 | 2024-08-31 | -4.08 | 124 |
| 2021-12-31 | 2022-12-31 | -4.03 | 366 |
| 2024-10-31 | 2025-08-31 | -3.57 | 305 |
| 2023-05-31 | 2024-02-29 | -3.46 | 275 |
| 2026-03-31 | 2026-07-31 | -3.29 | 123 |
| 2020-08-31 | 2020-10-31 | -2.67 | 62 |
| 2021-01-31 | 2021-05-31 | -2.31 | 121 |
| 2019-09-30 | 2020-01-31 | -2.21 | 124 |