| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 918.06% | 1,060.93% |
| CAGR﹪ | 9.93% | 10.53% |
| Sharpe | 0.71 | 0.8 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.71 | 0.79 |
| Sortino | 1.09 | 1.47 |
| Smart Sortino | 1.07 | 1.45 |
| Sortino/√2 | 0.77 | 1.04 |
| Smart Sortino/√2 | 0.76 | 1.02 |
| Omega | 1.7 | 2.3 |
| Max Drawdown | -50.78% | -29.28% |
| Max DD Date | 2009-02-28 | 2020-03-31 |
| Max DD Period Start | 2007-11-30 | 2020-01-31 |
| Max DD Period End | 2012-02-29 | 2022-02-28 |
| Longest DD Days | 1553 | 760 |
| Volatility (ann.) | 14.86% | 13.67% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.2 | 0.36 |
| Skew | -0.54 | 0.31 |
| Kurtosis | 1.08 | 8.35 |
| Ulcer Performance Index | 76.78 | 191.45 |
| Risk-Adjusted Return | 630.81% | 717.88% |
| Risk-Return Ratio | 0.21 | 0.23 |
| Avg. Return | 0.89% | 0.93% |
| Avg. Win | 3.38% | 2.67% |
| Avg. Loss | -3.98% | -3.55% |
| Win/Loss Ratio | 0.85 | 0.75 |
| Profit Ratio | 0.45 | 0.3 |
| Expected Daily | 0.79% | 0.84% |
| Expected Monthly | 0.79% | 0.84% |
| Expected Yearly | 9.73% | 10.3% |
| Kelly Criterion | 25.65% | 38.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.17% | -5.58% |
| Expected Shortfall (cVaR) | -8.93% | -11.42% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.7 | 1.3 |
| Gain/Pain (1M) | 0.7 | 1.3 |
| Payoff Ratio | 0.85 | 0.75 |
| Profit Factor | 1.7 | 2.3 |
| Common Sense Ratio | 1.72 | 4.09 |
| CPC Index | 0.95 | 1.27 |
| Tail Ratio | 1.01 | 1.78 |
| Outlier Win Ratio | 3.24 | 6.92 |
| Outlier Loss Ratio | 2.83 | 2.78 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 5.62% |
| 6M | 8.94% | 5.83% |
| YTD | 8.94% | 5.83% |
| 1Y | 20.92% | 9.51% |
| 3Y (ann.) | 18.77% | 10.66% |
| 5Y (ann.) | 12.51% | 9.69% |
| 10Y (ann.) | 15.13% | 6.78% |
| All-time (ann.) | 9.93% | 10.53% |
| Best Day | 12.7% | 18.42% |
| Worst Day | -16.52% | -23.69% |
| Best Month | 12.7% | 18.42% |
| Worst Month | -16.52% | -23.69% |
| Best Year | 32.31% | 42.08% |
| Worst Year | -36.79% | -8.41% |
| Avg. Drawdown | -6.3% | -4.63% |
| Avg. Drawdown Days | 114 | 136 |
| Recovery Factor | 5.12 | 9.18 |
| Ulcer Index | 0.12 | 0.06 |
| Serenity Index | 2.95 | 9.4 |
| Avg. Up Month | 3.38% | 2.67% |
| Avg. Down Month | -3.98% | -3.55% |
| Win Days | 65.87% | 73.47% |
| Win Month | 65.87% | 73.47% |
| Win Quarter | 72.73% | 74.75% |
| Win Year | 84.0% | 80.0% |
| Beta | - | 0.54 |
| Alpha | - | 0.05 |
| Correlation | - | 59.02% |
| Treynor Ratio | - | 1954.04% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2002 | -20.81 | 11.01 | -0.53 | + |
| 2003 | 28.18 | 42.08 | 1.49 | + |
| 2004 | 10.70 | 10.66 | 1.00 | - |
| 2005 | 4.83 | 4.62 | 0.96 | - |
| 2006 | 15.85 | 37.26 | 2.35 | + |
| 2007 | 5.15 | 14.84 | 2.88 | + |
| 2008 | -36.79 | -2.12 | 0.06 | + |
| 2009 | 26.35 | 30.95 | 1.17 | + |
| 2010 | 15.06 | 10.49 | 0.70 | - |
| 2011 | 1.89 | 5.07 | 2.68 | + |
| 2012 | 15.99 | 13.00 | 0.81 | - |
| 2013 | 32.31 | 6.23 | 0.19 | - |
| 2014 | 13.46 | -1.88 | -0.14 | - |
| 2015 | 1.23 | 0.48 | 0.39 | - |
| 2016 | 12.00 | 15.57 | 1.30 | + |
| 2017 | 21.71 | 14.12 | 0.65 | - |
| 2018 | -4.57 | -4.18 | 0.91 | + |
| 2019 | 31.22 | 17.51 | 0.56 | - |
| 2020 | 18.33 | -8.41 | -0.46 | - |
| 2021 | 28.73 | 5.25 | 0.18 | - |
| 2022 | -18.18 | 9.86 | -0.54 | + |
| 2023 | 26.18 | 24.44 | 0.93 | - |
| 2024 | 24.89 | -6.07 | -0.24 | - |
| 2025 | 17.72 | 17.72 | 1.00 | - |
| 2026 | 8.94 | 5.83 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-31 | 2022-02-28 | -29.28 | 760 |
| 2008-10-31 | 2009-03-31 | -17.45 | 152 |
| 2022-04-30 | 2022-10-31 | -9.09 | 185 |
| 2014-12-31 | 2016-02-29 | -9.04 | 426 |
| 2018-02-28 | 2019-09-30 | -8.96 | 580 |
| 2011-11-30 | 2012-11-30 | -8.72 | 367 |
| 2007-11-30 | 2008-03-31 | -7.55 | 123 |
| 2004-03-31 | 2004-10-31 | -7.52 | 215 |
| 2005-03-31 | 2005-11-30 | -6.55 | 245 |
| 2024-01-31 | 2025-02-28 | -6.07 | 395 |