| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 301.63% |
| CAGR﹪ | 11.13% | 7.14% |
| Sharpe | 0.77 | 0.99 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.73 | 0.93 |
| Sortino | 1.18 | 1.69 |
| Smart Sortino | 1.11 | 1.59 |
| Sortino/√2 | 0.84 | 1.2 |
| Smart Sortino/√2 | 0.79 | 1.13 |
| Omega | 1.77 | 2.11 |
| Max Drawdown | -50.78% | -15.81% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 1553 | 760 |
| Volatility (ann.) | 15.22% | 7.28% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.22 | 0.45 |
| Skew | -0.56 | -0.27 |
| Kurtosis | 1.09 | 1.11 |
| Ulcer Performance Index | 60.76 | 81.98 |
| Risk-Adjusted Return | 817.9% | 325.38% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.98% | 0.6% |
| Avg. Win | 3.86% | 1.9% |
| Avg. Loss | -4.38% | -1.99% |
| Win/Loss Ratio | 0.88 | 0.96 |
| Profit Ratio | 0.43 | 0.74 |
| Expected Daily | 0.88% | 0.58% |
| Expected Monthly | 0.88% | 0.58% |
| Expected Yearly | 10.67% | 6.84% |
| Kelly Criterion | 29.19% | 23.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -2.86% |
| Expected Shortfall (cVaR) | -8.99% | -4.32% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.77 | 1.11 |
| Gain/Pain (1M) | 0.77 | 1.11 |
| Payoff Ratio | 0.88 | 0.96 |
| Profit Factor | 1.77 | 2.11 |
| Common Sense Ratio | 1.89 | 3.21 |
| CPC Index | 1.04 | 1.27 |
| Tail Ratio | 1.07 | 1.52 |
| Outlier Win Ratio | 3.19 | 2.98 |
| Outlier Loss Ratio | 2.65 | 3.45 |
| MTD | -1.05% | -0.56% |
| 3M | 13.91% | -0.35% |
| 6M | 8.94% | 1.3% |
| YTD | 8.94% | 1.3% |
| 1Y | 20.92% | 12.25% |
| 3Y (ann.) | 18.77% | 12.32% |
| 5Y (ann.) | 12.51% | 6.67% |
| 10Y (ann.) | 15.13% | 7.18% |
| All-time (ann.) | 11.13% | 7.14% |
| Best Day | 12.7% | 5.76% |
| Worst Day | -16.52% | -8.12% |
| Best Month | 12.7% | 5.76% |
| Worst Month | -16.52% | -8.12% |
| Best Year | 32.31% | 21.23% |
| Worst Year | -36.79% | -12.25% |
| Avg. Drawdown | -6.45% | -2.96% |
| Avg. Drawdown Days | 110 | 108 |
| Recovery Factor | 4.67 | 9.16 |
| Ulcer Index | 0.12 | 0.04 |
| Serenity Index | 2.58 | 8.01 |
| Avg. Up Month | 3.86% | 1.9% |
| Avg. Down Month | -4.38% | -1.99% |
| Win Days | 66.8% | 62.81% |
| Win Month | 66.8% | 62.81% |
| Win Quarter | 74.39% | 73.17% |
| Win Year | 85.71% | 80.95% |
| Beta | - | 0.25 |
| Alpha | - | 0.04 |
| Correlation | - | 51.92% |
| Treynor Ratio | - | 1215.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 5.94 | 0.47 | - |
| 2007 | 5.15 | 12.76 | 2.48 | + |
| 2008 | -36.79 | 0.46 | -0.01 | + |
| 2009 | 26.35 | 6.79 | 0.26 | - |
| 2010 | 15.06 | 13.84 | 0.92 | - |
| 2011 | 1.89 | 12.24 | 6.46 | + |
| 2012 | 15.99 | 6.73 | 0.42 | - |
| 2013 | 32.31 | -4.13 | -0.13 | - |
| 2014 | 13.46 | 9.54 | 0.71 | - |
| 2015 | 1.23 | -2.26 | -1.83 | - |
| 2016 | 12.00 | 5.88 | 0.49 | - |
| 2017 | 21.71 | 11.14 | 0.51 | - |
| 2018 | -4.57 | -1.12 | 0.25 | + |
| 2019 | 31.22 | 16.34 | 0.52 | - |
| 2020 | 18.33 | 17.30 | 0.94 | - |
| 2021 | 28.73 | 4.68 | 0.16 | - |
| 2022 | -18.18 | -12.25 | 0.67 | + |
| 2023 | 26.18 | 11.92 | 0.46 | - |
| 2024 | 24.89 | 11.69 | 0.47 | - |
| 2025 | 17.72 | 21.23 | 1.20 | + |
| 2026 | 8.94 | 1.30 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -15.81 | 760 |
| 2008-03-31 | 2009-07-31 | -11.75 | 488 |
| 2012-10-31 | 2014-05-31 | -7.70 | 578 |
| 2016-08-31 | 2017-07-31 | -6.67 | 335 |
| 2015-02-28 | 2016-02-29 | -6.00 | 367 |
| 2026-03-31 | 2026-07-31 | -5.27 | 123 |
| 2021-01-31 | 2021-04-30 | -4.66 | 90 |
| 2018-02-28 | 2018-12-31 | -3.97 | 307 |
| 2009-12-31 | 2010-03-31 | -3.42 | 91 |
| 2020-09-30 | 2020-11-30 | -3.27 | 62 |