| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 226.34% |
| CAGR﹪ | 14.74% | 6.96% |
| Sharpe | 1.0 | 1.02 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.88 | 0.9 |
| Sortino | 1.65 | 1.91 |
| Smart Sortino | 1.45 | 1.68 |
| Sortino/√2 | 1.17 | 1.35 |
| Smart Sortino/√2 | 1.03 | 1.19 |
| Omega | 2.07 | 2.26 |
| Max Drawdown | -23.93% | -6.65% |
| Max DD Date | 2022-09-30 | 2009-06-30 |
| Max DD Period Start | 2022-01-31 | 2009-01-31 |
| Max DD Period End | 2023-11-30 | 2009-11-30 |
| Longest DD Days | 669 | 578 |
| Volatility (ann.) | 14.92% | 6.84% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.17 | -0.17 |
| Calmar | 0.62 | 1.05 |
| Skew | -0.37 | 0.33 |
| Kurtosis | 0.47 | 1.07 |
| Ulcer Performance Index | 181.23 | 96.96 |
| Risk-Adjusted Return | 1695.98% | 310.67% |
| Risk-Return Ratio | 0.29 | 0.29 |
| Avg. Return | 1.25% | 0.59% |
| Avg. Win | 3.5% | 1.61% |
| Avg. Loss | -3.36% | -1.78% |
| Win/Loss Ratio | 1.04 | 0.91 |
| Profit Ratio | 0.45 | 0.53 |
| Expected Daily | 1.15% | 0.56% |
| Expected Monthly | 1.15% | 0.56% |
| Expected Yearly | 14.38% | 6.79% |
| Kelly Criterion | 37.46% | 31.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -2.67% |
| Expected Shortfall (cVaR) | -8.19% | -3.3% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.07 | 1.26 |
| Gain/Pain (1M) | 1.07 | 1.26 |
| Payoff Ratio | 1.04 | 0.91 |
| Profit Factor | 2.07 | 2.26 |
| Common Sense Ratio | 2.52 | 3.33 |
| CPC Index | 1.47 | 1.38 |
| Tail Ratio | 1.21 | 1.47 |
| Outlier Win Ratio | 3.08 | 3.86 |
| Outlier Loss Ratio | 2.52 | 2.99 |
| MTD | -1.05% | -0.91% |
| 3M | 13.91% | 8.14% |
| 6M | 8.94% | 15.1% |
| YTD | 8.94% | 15.1% |
| 1Y | 20.92% | 29.37% |
| 3Y (ann.) | 18.77% | 11.13% |
| 5Y (ann.) | 12.51% | 7.23% |
| 10Y (ann.) | 15.13% | 8.08% |
| All-time (ann.) | 14.74% | 6.96% |
| Best Day | 12.7% | 7.0% |
| Worst Day | -12.49% | -4.64% |
| Best Month | 12.7% | 7.0% |
| Worst Month | -12.49% | -4.64% |
| Best Year | 32.31% | 15.1% |
| Worst Year | -18.18% | -1.3% |
| Avg. Drawdown | -5.74% | -2.94% |
| Avg. Drawdown Days | 66 | 130 |
| Recovery Factor | 10.98 | 18.44 |
| Ulcer Index | 0.06 | 0.02 |
| Serenity Index | 13.13 | 19.57 |
| Avg. Up Month | 3.5% | 1.61% |
| Avg. Down Month | -3.36% | -1.78% |
| Win Days | 68.1% | 67.3% |
| Win Month | 68.1% | 67.3% |
| Win Quarter | 77.46% | 76.06% |
| Win Year | 88.89% | 88.89% |
| Beta | - | 0.18 |
| Alpha | - | 0.04 |
| Correlation | - | 38.43% |
| Treynor Ratio | - | 1284.42% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 0.52 | 0.02 | - |
| 2010 | 15.06 | 13.64 | 0.91 | - |
| 2011 | 1.89 | 3.68 | 1.94 | + |
| 2012 | 15.99 | 5.98 | 0.37 | - |
| 2013 | 32.31 | 6.83 | 0.21 | - |
| 2014 | 13.46 | 5.99 | 0.44 | - |
| 2015 | 1.23 | 0.35 | 0.28 | - |
| 2016 | 12.00 | -0.23 | -0.02 | - |
| 2017 | 21.71 | 14.54 | 0.67 | - |
| 2018 | -4.57 | 4.13 | -0.90 | + |
| 2019 | 31.22 | 10.94 | 0.35 | - |
| 2020 | 18.33 | 11.39 | 0.62 | - |
| 2021 | 28.73 | 10.98 | 0.38 | - |
| 2022 | -18.18 | -1.30 | 0.07 | + |
| 2023 | 26.18 | 0.49 | 0.02 | - |
| 2024 | 24.89 | 9.07 | 0.36 | - |
| 2025 | 17.72 | 12.59 | 0.71 | - |
| 2026 | 8.94 | 15.10 | 1.69 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-11-30 | -6.65 | 304 |
| 2023-08-31 | 2024-02-29 | -5.77 | 183 |
| 2016-08-31 | 2017-05-31 | -5.49 | 274 |
| 2011-05-31 | 2012-04-30 | -5.48 | 336 |
| 2010-01-31 | 2010-02-28 | -4.64 | 29 |
| 2026-03-31 | 2026-03-31 | -4.60 | 1 |
| 2010-05-31 | 2010-09-30 | -4.24 | 123 |
| 2015-02-28 | 2016-05-31 | -4.22 | 459 |
| 2024-12-31 | 2025-08-31 | -4.11 | 244 |
| 2021-11-30 | 2023-06-30 | -3.51 | 578 |