| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 629.21% | 321.02% |
| CAGR﹪ | 13.83% | 9.83% |
| Sharpe | 0.99 | 0.92 |
| Prob. Sharpe Ratio | 99.99% | 99.97% |
| Smart Sharpe | 0.85 | 0.79 |
| Sortino | 1.63 | 1.52 |
| Smart Sortino | 1.41 | 1.31 |
| Sortino/√2 | 1.15 | 1.07 |
| Smart Sortino/√2 | 0.99 | 0.92 |
| Omega | 2.06 | 2.07 |
| Max Drawdown | -23.93% | -21.05% |
| 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 | 2024-12-31 |
| Longest DD Days | 669 | 1066 |
| Volatility (ann.) | 14.21% | 10.86% |
| R^2 | 0.58 | 0.58 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.58 | 0.47 |
| Skew | -0.32 | -0.22 |
| Kurtosis | 0.71 | 2.36 |
| Ulcer Performance Index | 112.31 | 48.08 |
| Risk-Adjusted Return | 1419.61% | 616.19% |
| Risk-Return Ratio | 0.28 | 0.27 |
| Avg. Return | 1.17% | 0.83% |
| Avg. Win | 3.53% | 2.53% |
| Avg. Loss | -3.81% | -2.97% |
| Win/Loss Ratio | 0.93 | 0.85 |
| Profit Ratio | 0.46 | 0.51 |
| Expected Daily | 1.09% | 0.78% |
| Expected Monthly | 1.09% | 0.78% |
| Expected Yearly | 13.22% | 9.4% |
| Kelly Criterion | 33.35% | 27.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.58% | -4.32% |
| Expected Shortfall (cVaR) | -7.8% | -6.9% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 1.06 | 1.07 |
| Gain/Pain (1M) | 1.06 | 1.07 |
| Payoff Ratio | 0.93 | 0.85 |
| Profit Factor | 2.06 | 2.07 |
| Common Sense Ratio | 2.38 | 2.76 |
| CPC Index | 1.3 | 1.17 |
| Tail Ratio | 1.15 | 1.34 |
| Outlier Win Ratio | 3.26 | 3.47 |
| Outlier Loss Ratio | 2.59 | 3.18 |
| MTD | -1.05% | -3.27% |
| 3M | 13.91% | 4.06% |
| 6M | 8.94% | 5.8% |
| YTD | 8.94% | 5.8% |
| 1Y | 20.92% | 20.01% |
| 3Y (ann.) | 18.77% | 15.75% |
| 5Y (ann.) | 12.51% | 6.55% |
| 10Y (ann.) | 15.13% | 10.61% |
| All-time (ann.) | 13.83% | 9.83% |
| Best Day | 12.7% | 12.74% |
| Worst Day | -12.49% | -10.41% |
| Best Month | 12.7% | 12.74% |
| Worst Month | -12.49% | -10.41% |
| Best Year | 32.31% | 30.63% |
| Worst Year | -18.18% | -17.9% |
| Avg. Drawdown | -5.48% | -4.44% |
| Avg. Drawdown Days | 69 | 113 |
| Recovery Factor | 8.99 | 7.28 |
| Ulcer Index | 0.06 | 0.07 |
| Serenity Index | 9.97 | 4.28 |
| Avg. Up Month | 3.53% | 2.53% |
| Avg. Down Month | -3.81% | -2.97% |
| Win Days | 67.93% | 66.85% |
| Win Month | 67.93% | 66.85% |
| Win Quarter | 77.42% | 75.81% |
| Win Year | 81.25% | 81.25% |
| Beta | - | 0.58 |
| Alpha | - | 0.02 |
| Correlation | - | 75.94% |
| Treynor Ratio | - | 553.37% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2011 | -3.78 | -5.31 | 1.41 | - |
| 2012 | 15.99 | 7.81 | 0.49 | - |
| 2013 | 32.31 | 25.19 | 0.78 | - |
| 2014 | 13.46 | 10.81 | 0.80 | - |
| 2015 | 1.23 | 5.28 | 4.28 | + |
| 2016 | 12.00 | 3.68 | 0.31 | - |
| 2017 | 21.71 | 30.63 | 1.41 | + |
| 2018 | -4.57 | -4.08 | 0.89 | + |
| 2019 | 31.22 | 14.75 | 0.47 | - |
| 2020 | 18.33 | 28.84 | 1.57 | + |
| 2021 | 28.73 | 10.78 | 0.38 | - |
| 2022 | -18.18 | -17.90 | 0.98 | + |
| 2023 | 26.18 | 7.21 | 0.28 | - |
| 2024 | 24.89 | 10.67 | 0.43 | - |
| 2025 | 17.72 | 28.79 | 1.62 | + |
| 2026 | 8.94 | 5.80 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-12-31 | -21.05 | 1066 |
| 2011-05-31 | 2012-12-31 | -17.63 | 581 |
| 2018-02-28 | 2019-09-30 | -11.18 | 580 |
| 2015-08-31 | 2016-02-29 | -9.43 | 183 |
| 2026-03-31 | 2026-04-30 | -6.61 | 31 |
| 2020-02-29 | 2020-03-31 | -6.28 | 32 |
| 2026-06-30 | 2026-07-31 | -5.37 | 32 |
| 2020-09-30 | 2020-10-31 | -4.75 | 32 |
| 2021-09-30 | 2021-11-30 | -4.65 | 62 |
| 2014-12-31 | 2015-01-31 | -3.95 | 32 |