| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 485.59% |
| CAGR﹪ | 14.74% | 10.57% |
| Sharpe | 1.0 | 1.0 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.87 | 0.87 |
| Sortino | 1.65 | 1.61 |
| Smart Sortino | 1.44 | 1.41 |
| Sortino/√2 | 1.17 | 1.14 |
| Smart Sortino/√2 | 1.02 | 0.99 |
| Omega | 2.07 | 2.1 |
| 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.) | 14.92% | 10.68% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.62 | 0.53 |
| Skew | -0.37 | -0.51 |
| Kurtosis | 0.47 | 0.9 |
| Ulcer Performance Index | 181.23 | 87.32 |
| Risk-Adjusted Return | 1695.98% | 725.56% |
| Risk-Return Ratio | 0.29 | 0.29 |
| Avg. Return | 1.25% | 0.89% |
| Avg. Win | 3.72% | 2.57% |
| Avg. Loss | -4.14% | -3.11% |
| Win/Loss Ratio | 0.9 | 0.83 |
| Profit Ratio | 0.45 | 0.4 |
| Expected Daily | 1.15% | 0.84% |
| Expected Monthly | 1.15% | 0.84% |
| Expected Yearly | 14.38% | 10.32% |
| Kelly Criterion | 32.66% | 33.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -4.18% |
| Expected Shortfall (cVaR) | -8.19% | -6.45% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 1.07 | 1.1 |
| Gain/Pain (1M) | 1.07 | 1.1 |
| Payoff Ratio | 0.9 | 0.83 |
| Profit Factor | 2.07 | 2.1 |
| Common Sense Ratio | 2.52 | 2.68 |
| CPC Index | 1.27 | 1.21 |
| Tail Ratio | 1.21 | 1.28 |
| Outlier Win Ratio | 3.08 | 3.04 |
| Outlier Loss Ratio | 2.52 | 3.09 |
| MTD | -1.05% | 4.14% |
| 3M | 13.91% | 6.62% |
| 6M | 8.94% | 11.39% |
| YTD | 8.94% | 11.39% |
| 1Y | 20.92% | 31.92% |
| 3Y (ann.) | 18.77% | 16.14% |
| 5Y (ann.) | 12.51% | 8.95% |
| 10Y (ann.) | 15.13% | 11.97% |
| All-time (ann.) | 14.74% | 10.57% |
| 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 | -5.74% | -4.41% |
| Avg. Drawdown Days | 66 | 108 |
| Recovery Factor | 10.98 | 9.45 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 13.13 | 7.35 |
| Avg. Up Month | 3.72% | 2.57% |
| Avg. Down Month | -4.14% | -3.11% |
| Win Days | 68.1% | 69.67% |
| Win Month | 68.1% | 69.67% |
| Win Quarter | 77.46% | 80.28% |
| Win Year | 88.89% | 88.89% |
| Beta | - | 0.42 |
| Alpha | - | 0.04 |
| Correlation | - | 58.44% |
| Treynor Ratio | - | 1160.26% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 6.74 | 0.26 | - |
| 2010 | 15.06 | 11.82 | 0.79 | - |
| 2011 | 1.89 | 14.10 | 7.44 | + |
| 2012 | 15.99 | 11.77 | 0.74 | - |
| 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 | 19.50 | 0.90 | - |
| 2018 | -4.57 | 1.12 | -0.25 | + |
| 2019 | 31.22 | 15.59 | 0.50 | - |
| 2020 | 18.33 | 25.77 | 1.41 | + |
| 2021 | 28.73 | 19.64 | 0.68 | - |
| 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 | 11.39 | 1.27 | + |
| 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 |
| 2009-01-31 | 2009-08-31 | -8.56 | 213 |
| 2010-05-31 | 2010-10-31 | -8.43 | 154 |
| 2015-02-28 | 2016-11-30 | -7.82 | 642 |
| 2009-12-31 | 2010-02-28 | -6.93 | 60 |
| 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 |