| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 874.84% | 381.62% |
| CAGR﹪ | 11.04% | 7.5% |
| Sharpe | 0.78 | 0.82 |
| Prob. Sharpe Ratio | 99.97% | 100.0% |
| Smart Sharpe | 0.71 | 0.74 |
| Sortino | 1.2 | 1.58 |
| Smart Sortino | 1.08 | 1.42 |
| Sortino/√2 | 0.85 | 1.12 |
| Smart Sortino/√2 | 0.77 | 1.01 |
| Omega | 1.79 | 2.37 |
| Max Drawdown | -50.78% | -12.35% |
| Max DD Date | 2009-02-28 | 2023-06-30 |
| Max DD Period Start | 2007-11-30 | 2021-08-31 |
| Max DD Period End | 2012-02-29 | 2024-07-31 |
| Longest DD Days | 1553 | 1066 |
| Volatility (ann.) | 14.82% | 9.33% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.22 | 0.61 |
| Skew | -0.56 | 1.01 |
| Kurtosis | 1.23 | 5.86 |
| Ulcer Performance Index | 74.49 | 97.58 |
| Risk-Adjusted Return | 801.22% | 356.21% |
| Risk-Return Ratio | 0.23 | 0.24 |
| Avg. Return | 0.97% | 0.64% |
| Avg. Win | 3.27% | 1.79% |
| Avg. Loss | -4.07% | -2.41% |
| Win/Loss Ratio | 0.8 | 0.74 |
| Profit Ratio | 0.45 | 0.4 |
| Expected Daily | 0.88% | 0.6% |
| Expected Monthly | 0.88% | 0.6% |
| Expected Yearly | 10.41% | 7.07% |
| Kelly Criterion | 24.86% | 31.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.07% | -3.79% |
| Expected Shortfall (cVaR) | -8.82% | -6.07% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.79 | 1.37 |
| Gain/Pain (1M) | 0.79 | 1.37 |
| Payoff Ratio | 0.8 | 0.74 |
| Profit Factor | 1.79 | 2.37 |
| Common Sense Ratio | 1.81 | 3.76 |
| CPC Index | 0.96 | 1.24 |
| Tail Ratio | 1.01 | 1.59 |
| Outlier Win Ratio | 3.24 | 6.55 |
| Outlier Loss Ratio | 2.7 | 4.7 |
| MTD | -1.05% | -6.46% |
| 3M | 13.91% | -5.69% |
| 6M | 8.94% | -8.03% |
| YTD | 8.94% | -8.03% |
| 1Y | 20.92% | 1.99% |
| 3Y (ann.) | 18.77% | 4.87% |
| 5Y (ann.) | 12.51% | 0.28% |
| 10Y (ann.) | 15.13% | 4.21% |
| All-time (ann.) | 11.04% | 7.5% |
| Best Day | 12.7% | 14.14% |
| Worst Day | -16.52% | -8.23% |
| Best Month | 12.7% | 14.14% |
| Worst Month | -16.52% | -8.23% |
| Best Year | 32.31% | 20.71% |
| Worst Year | -36.79% | -8.03% |
| Avg. Drawdown | -5.99% | -3.61% |
| Avg. Drawdown Days | 106 | 188 |
| Recovery Factor | 4.98 | 13.51 |
| Ulcer Index | 0.12 | 0.04 |
| Serenity Index | 2.81 | 11.91 |
| Avg. Up Month | 3.27% | 1.79% |
| Avg. Down Month | -4.07% | -2.41% |
| Win Days | 66.54% | 70.88% |
| Win Month | 66.54% | 70.88% |
| Win Quarter | 73.86% | 70.45% |
| Win Year | 86.96% | 82.61% |
| Beta | - | 0.12 |
| Alpha | - | 0.06 |
| Correlation | - | 18.85% |
| Treynor Ratio | - | 3213.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2004 | 7.60 | 15.05 | 1.98 | + |
| 2005 | 4.83 | 20.71 | 4.29 | + |
| 2006 | 15.85 | 16.21 | 1.02 | + |
| 2007 | 5.15 | 11.40 | 2.22 | + |
| 2008 | -36.79 | 15.85 | -0.43 | + |
| 2009 | 26.35 | 5.67 | 0.22 | - |
| 2010 | 15.06 | 3.40 | 0.23 | - |
| 2011 | 1.89 | 7.35 | 3.88 | + |
| 2012 | 15.99 | 16.57 | 1.04 | + |
| 2013 | 32.31 | 0.14 | 0.00 | - |
| 2014 | 13.46 | 10.91 | 0.81 | - |
| 2015 | 1.23 | 3.23 | 2.62 | + |
| 2016 | 12.00 | -1.20 | -0.10 | - |
| 2017 | 21.71 | 19.09 | 0.88 | - |
| 2018 | -4.57 | 9.83 | -2.15 | + |
| 2019 | 31.22 | 1.38 | 0.04 | - |
| 2020 | 18.33 | 7.94 | 0.43 | - |
| 2021 | 28.73 | 0.64 | 0.02 | - |
| 2022 | -18.18 | -4.45 | 0.24 | + |
| 2023 | 26.18 | -3.90 | -0.15 | - |
| 2024 | 24.89 | 8.10 | 0.33 | - |
| 2025 | 17.72 | 13.50 | 0.76 | - |
| 2026 | 8.94 | -8.03 | -0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-31 | 2024-07-31 | -12.35 | 1066 |
| 2019-05-31 | 2020-07-31 | -10.55 | 428 |
| 2007-11-30 | 2008-10-31 | -8.95 | 337 |
| 2026-01-31 | 2026-07-31 | -8.03 | 182 |
| 2010-05-31 | 2010-09-30 | -7.48 | 123 |
| 2015-05-31 | 2017-04-30 | -6.30 | 701 |
| 2024-10-31 | 2025-08-31 | -5.45 | 305 |
| 2006-02-28 | 2006-09-30 | -5.25 | 215 |
| 2009-01-31 | 2009-08-31 | -4.59 | 213 |
| 2010-11-30 | 2011-07-31 | -4.16 | 244 |