| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 250.48% |
| CAGR﹪ | 14.19% | 7.32% |
| Sharpe | 0.97 | 0.92 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.9 | 0.86 |
| Sortino | 1.58 | 1.66 |
| Smart Sortino | 1.48 | 1.55 |
| Sortino/√2 | 1.12 | 1.17 |
| Smart Sortino/√2 | 1.04 | 1.1 |
| Omega | 2.02 | 1.99 |
| Max Drawdown | -23.93% | -20.21% |
| Max DD Date | 2022-09-30 | 2023-10-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2025-08-31 |
| Longest DD Days | 669 | 1309 |
| Volatility (ann.) | 14.97% | 8.03% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 0.59 | 0.36 |
| Skew | -0.37 | 0.16 |
| Kurtosis | 0.43 | 0.27 |
| Ulcer Performance Index | 162.39 | 43.86 |
| Risk-Adjusted Return | 1523.54% | 340.96% |
| Risk-Return Ratio | 0.28 | 0.27 |
| Avg. Return | 1.21% | 0.63% |
| Avg. Win | 3.48% | 1.98% |
| Avg. Loss | -3.79% | -2.26% |
| Win/Loss Ratio | 0.92 | 0.88 |
| Profit Ratio | 0.44 | 0.69 |
| Expected Daily | 1.11% | 0.59% |
| Expected Monthly | 1.11% | 0.59% |
| Expected Yearly | 13.2% | 6.82% |
| Kelly Criterion | 32.96% | 20.57% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -3.2% |
| Expected Shortfall (cVaR) | -8.11% | -3.92% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.02 | 0.99 |
| Gain/Pain (1M) | 1.02 | 0.99 |
| Payoff Ratio | 0.92 | 0.88 |
| Profit Factor | 2.02 | 1.99 |
| Common Sense Ratio | 2.35 | 2.65 |
| CPC Index | 1.26 | 1.1 |
| Tail Ratio | 1.16 | 1.33 |
| Outlier Win Ratio | 3.09 | 3.22 |
| Outlier Loss Ratio | 2.49 | 2.54 |
| MTD | -1.05% | -1.15% |
| 3M | 13.91% | 7.8% |
| 6M | 8.94% | 14.74% |
| YTD | 8.94% | 14.74% |
| 1Y | 20.92% | 29.54% |
| 3Y (ann.) | 18.77% | 11.92% |
| 5Y (ann.) | 12.51% | 4.48% |
| 10Y (ann.) | 15.13% | 7.04% |
| All-time (ann.) | 14.19% | 7.32% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -12.49% | -4.74% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -12.49% | -4.74% |
| Best Year | 32.31% | 15.91% |
| Worst Year | -18.18% | -16.43% |
| Avg. Drawdown | -6.07% | -3.4% |
| Avg. Drawdown Days | 72 | 142 |
| Recovery Factor | 10.73 | 6.5 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 11.83 | 3.74 |
| Avg. Up Month | 3.48% | 1.98% |
| Avg. Down Month | -3.79% | -2.26% |
| Win Days | 67.92% | 62.91% |
| Win Month | 67.92% | 62.91% |
| Win Quarter | 76.39% | 73.61% |
| Win Year | 84.21% | 94.74% |
| Beta | - | 0.21 |
| Alpha | - | 0.04 |
| Correlation | - | 38.77% |
| Treynor Ratio | - | 1204.45% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 13.31 | -2.20 | + |
| 2009 | 26.35 | 0.52 | 0.02 | - |
| 2010 | 15.06 | 14.45 | 0.96 | - |
| 2011 | 1.89 | 4.02 | 2.12 | + |
| 2012 | 15.99 | 5.98 | 0.37 | - |
| 2013 | 32.31 | 3.62 | 0.11 | - |
| 2014 | 13.46 | 9.28 | 0.69 | - |
| 2015 | 1.23 | 0.35 | 0.28 | - |
| 2016 | 12.00 | 3.02 | 0.25 | - |
| 2017 | 21.71 | 15.91 | 0.73 | - |
| 2018 | -4.57 | 5.87 | -1.29 | + |
| 2019 | 31.22 | 11.00 | 0.35 | - |
| 2020 | 18.33 | 11.39 | 0.62 | - |
| 2021 | 28.73 | 11.74 | 0.41 | - |
| 2022 | -18.18 | -16.43 | 0.90 | + |
| 2023 | 26.18 | 3.65 | 0.14 | - |
| 2024 | 24.89 | 7.76 | 0.31 | - |
| 2025 | 17.72 | 14.73 | 0.83 | - |
| 2026 | 8.94 | 14.74 | 1.65 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-08-31 | -20.21 | 1309 |
| 2009-01-31 | 2009-11-30 | -6.65 | 304 |
| 2016-08-31 | 2017-04-30 | -5.49 | 243 |
| 2011-05-31 | 2012-04-30 | -5.48 | 336 |
| 2013-05-31 | 2014-04-30 | -4.96 | 335 |
| 2026-03-31 | 2026-03-31 | -4.60 | 1 |
| 2010-01-31 | 2010-02-28 | -4.26 | 29 |
| 2010-05-31 | 2010-09-30 | -4.24 | 123 |
| 2015-02-28 | 2016-01-31 | -4.22 | 338 |
| 2018-02-28 | 2018-12-31 | -4.08 | 307 |