| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 788.48% | 412.17% |
| CAGR﹪ | 14.08% | 10.35% |
| Sharpe | 0.99 | 1.0 |
| Prob. Sharpe Ratio | 99.99% | 99.99% |
| Smart Sharpe | 0.89 | 0.9 |
| Sortino | 1.64 | 1.6 |
| Smart Sortino | 1.48 | 1.44 |
| Sortino/√2 | 1.16 | 1.13 |
| Smart Sortino/√2 | 1.04 | 1.02 |
| Omega | 2.06 | 2.11 |
| Max Drawdown | -23.93% | -19.83% |
| Max DD Date | 2022-09-30 | 2023-10-31 |
| Max DD Period Start | 2022-01-31 | 2022-04-30 |
| Max DD Period End | 2023-11-30 | 2024-08-31 |
| Longest DD Days | 669 | 855 |
| Volatility (ann.) | 14.41% | 10.48% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.59 | 0.52 |
| Skew | -0.32 | -0.54 |
| Kurtosis | 0.53 | 1.13 |
| Ulcer Performance Index | 141.41 | 73.35 |
| Risk-Adjusted Return | 1489.65% | 691.32% |
| Risk-Return Ratio | 0.29 | 0.29 |
| Avg. Return | 1.2% | 0.87% |
| Avg. Win | 3.62% | 2.5% |
| Avg. Loss | -4.03% | -3.16% |
| Win/Loss Ratio | 0.9 | 0.79 |
| Profit Ratio | 0.44 | 0.36 |
| Expected Daily | 1.1% | 0.82% |
| Expected Monthly | 1.1% | 0.82% |
| Expected Yearly | 13.71% | 10.09% |
| Kelly Criterion | 32.71% | 34.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.65% | -4.1% |
| Expected Shortfall (cVaR) | -7.81% | -6.3% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 1.06 | 1.11 |
| Gain/Pain (1M) | 1.06 | 1.11 |
| Payoff Ratio | 0.9 | 0.79 |
| Profit Factor | 2.06 | 2.11 |
| Common Sense Ratio | 2.39 | 2.72 |
| CPC Index | 1.26 | 1.18 |
| Tail Ratio | 1.16 | 1.29 |
| Outlier Win Ratio | 3.21 | 3.16 |
| Outlier Loss Ratio | 2.48 | 3.14 |
| MTD | -1.05% | -0.61% |
| 3M | 13.91% | 1.77% |
| 6M | 8.94% | 6.32% |
| YTD | 8.94% | 6.32% |
| 1Y | 20.92% | 25.91% |
| 3Y (ann.) | 18.77% | 14.35% |
| 5Y (ann.) | 12.51% | 7.94% |
| 10Y (ann.) | 15.13% | 11.44% |
| All-time (ann.) | 14.08% | 10.35% |
| Best Day | 12.7% | 7.65% |
| Worst Day | -12.49% | -9.6% |
| Best Month | 12.7% | 7.65% |
| Worst Month | -12.49% | -9.6% |
| Best Year | 32.31% | 25.77% |
| Worst Year | -18.18% | -15.15% |
| Avg. Drawdown | -5.65% | -4.68% |
| Avg. Drawdown Days | 70 | 128 |
| Recovery Factor | 9.9 | 8.73 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 11.52 | 6.58 |
| Avg. Up Month | 3.62% | 2.5% |
| Avg. Down Month | -4.03% | -3.16% |
| Win Days | 68.18% | 70.85% |
| Win Month | 68.18% | 70.85% |
| Win Quarter | 77.61% | 80.6% |
| Win Year | 88.24% | 88.24% |
| Beta | - | 0.44 |
| Alpha | - | 0.04 |
| Correlation | - | 60.97% |
| Treynor Ratio | - | 930.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 15.06 | 11.82 | 0.79 | - |
| 2011 | 1.89 | 11.43 | 6.03 | + |
| 2012 | 15.99 | 12.07 | 0.75 | - |
| 2013 | 32.31 | 17.60 | 0.54 | - |
| 2014 | 13.46 | 4.62 | 0.34 | - |
| 2015 | 1.23 | -2.95 | -2.39 | - |
| 2016 | 12.00 | 6.26 | 0.52 | - |
| 2017 | 21.71 | 18.75 | 0.86 | - |
| 2018 | -4.57 | 1.12 | -0.25 | + |
| 2019 | 31.22 | 15.59 | 0.50 | - |
| 2020 | 18.33 | 25.77 | 1.41 | + |
| 2021 | 28.73 | 20.25 | 0.70 | - |
| 2022 | -18.18 | -15.15 | 0.83 | + |
| 2023 | 26.18 | 5.71 | 0.22 | - |
| 2024 | 24.89 | 15.19 | 0.61 | - |
| 2025 | 17.72 | 25.35 | 1.43 | + |
| 2026 | 8.94 | 6.32 | 0.71 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-30 | 2024-08-31 | -19.83 | 855 |
| 2013-05-31 | 2013-10-31 | -9.68 | 154 |
| 2026-03-31 | 2026-07-31 | -9.60 | 123 |
| 2010-05-31 | 2010-10-31 | -8.43 | 154 |
| 2015-02-28 | 2016-11-30 | -7.82 | 642 |
| 2010-01-31 | 2010-02-28 | -5.81 | 29 |
| 2014-01-31 | 2014-04-30 | -5.49 | 90 |
| 2018-02-28 | 2018-08-31 | -5.46 | 185 |
| 2018-10-31 | 2019-05-31 | -5.10 | 213 |
| 2020-09-30 | 2020-11-30 | -4.24 | 62 |