| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 572.51% | 188.13% |
| CAGR﹪ | 14.22% | 7.66% |
| Sharpe | 1.02 | 0.81 |
| Prob. Sharpe Ratio | 99.99% | 99.82% |
| Smart Sharpe | 0.89 | 0.71 |
| Sortino | 1.68 | 1.28 |
| Smart Sortino | 1.46 | 1.11 |
| Sortino/√2 | 1.19 | 0.9 |
| Smart Sortino/√2 | 1.04 | 0.79 |
| Omega | 2.11 | 1.83 |
| Max Drawdown | -23.93% | -19.59% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-02-29 |
| Longest DD Days | 669 | 760 |
| Volatility (ann.) | 14.07% | 9.72% |
| R^2 | 0.78 | 0.78 |
| Information Ratio | -0.26 | -0.26 |
| Calmar | 0.59 | 0.39 |
| Skew | -0.38 | -0.45 |
| Kurtosis | 0.81 | 1.3 |
| Ulcer Performance Index | 103.85 | 41.58 |
| Risk-Adjusted Return | 1531.81% | 371.35% |
| Risk-Return Ratio | 0.29 | 0.23 |
| Avg. Return | 1.2% | 0.66% |
| Avg. Win | 3.55% | 2.31% |
| Avg. Loss | -3.85% | -2.78% |
| Win/Loss Ratio | 0.92 | 0.83 |
| Profit Ratio | 0.42 | 0.53 |
| Expected Daily | 1.11% | 0.62% |
| Expected Monthly | 1.11% | 0.62% |
| Expected Yearly | 13.55% | 7.31% |
| Kelly Criterion | 35.74% | 23.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.48% | -3.96% |
| Expected Shortfall (cVaR) | -7.68% | -5.45% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 3 | 5 |
| Gain/Pain Ratio | 1.11 | 0.83 |
| Gain/Pain (1M) | 1.11 | 0.83 |
| Payoff Ratio | 0.92 | 0.83 |
| Profit Factor | 2.11 | 1.83 |
| Common Sense Ratio | 2.45 | 2.17 |
| CPC Index | 1.35 | 0.99 |
| Tail Ratio | 1.16 | 1.19 |
| Outlier Win Ratio | 3.23 | 3.18 |
| Outlier Loss Ratio | 2.56 | 2.74 |
| MTD | -1.05% | -0.52% |
| 3M | 13.91% | 5.95% |
| 6M | 8.94% | 7.61% |
| YTD | 8.94% | 7.61% |
| 1Y | 20.92% | 18.23% |
| 3Y (ann.) | 18.77% | 13.53% |
| 5Y (ann.) | 12.51% | 7.46% |
| 10Y (ann.) | 15.13% | 8.57% |
| All-time (ann.) | 14.22% | 7.66% |
| Best Day | 12.7% | 7.41% |
| Worst Day | -12.49% | -10.35% |
| Best Month | 12.7% | 7.41% |
| Worst Month | -12.49% | -10.35% |
| Best Year | 32.31% | 20.13% |
| Worst Year | -18.18% | -13.55% |
| Avg. Drawdown | -5.1% | -4.12% |
| Avg. Drawdown Days | 63 | 104 |
| Recovery Factor | 8.6 | 5.76 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 9.82 | 5.59 |
| Avg. Up Month | 3.55% | 2.31% |
| Avg. Down Month | -3.85% | -2.78% |
| Win Days | 69.19% | 65.12% |
| Win Month | 69.19% | 65.12% |
| Win Quarter | 77.59% | 72.41% |
| Win Year | 86.67% | 80.0% |
| Beta | - | 0.61 |
| Alpha | - | -0.01 |
| Correlation | - | 88.44% |
| Treynor Ratio | - | 307.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 2.93 | 4.21 | 1.44 | + |
| 2013 | 32.31 | 7.39 | 0.23 | - |
| 2014 | 13.46 | 6.72 | 0.50 | - |
| 2015 | 1.23 | -2.10 | -1.70 | - |
| 2016 | 12.00 | 9.22 | 0.77 | - |
| 2017 | 21.71 | 13.57 | 0.63 | - |
| 2018 | -4.57 | -6.09 | 1.33 | - |
| 2019 | 31.22 | 20.13 | 0.64 | - |
| 2020 | 18.33 | 11.35 | 0.62 | - |
| 2021 | 28.73 | 13.92 | 0.48 | - |
| 2022 | -18.18 | -13.55 | 0.75 | + |
| 2023 | 26.18 | 13.63 | 0.52 | - |
| 2024 | 24.89 | 10.17 | 0.41 | - |
| 2025 | 17.72 | 19.21 | 1.08 | + |
| 2026 | 8.94 | 7.61 | 0.85 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -19.59 | 760 |
| 2020-01-31 | 2020-06-30 | -14.89 | 152 |
| 2018-02-28 | 2019-02-28 | -7.88 | 366 |
| 2015-05-31 | 2016-03-31 | -7.10 | 306 |
| 2012-04-30 | 2012-07-31 | -5.71 | 93 |
| 2026-03-31 | 2026-04-30 | -5.37 | 31 |
| 2013-05-31 | 2013-09-30 | -4.67 | 123 |
| 2014-09-30 | 2014-12-31 | -3.76 | 93 |
| 2024-12-31 | 2025-04-30 | -3.23 | 121 |
| 2020-09-30 | 2020-10-31 | -3.18 | 32 |