| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 874.84% | 415.68% |
| CAGR﹪ | 11.04% | 7.83% |
| Sharpe | 0.78 | 0.79 |
| Prob. Sharpe Ratio | 99.97% | 100.0% |
| Smart Sharpe | 0.72 | 0.72 |
| Sortino | 1.2 | 1.44 |
| Smart Sortino | 1.1 | 1.32 |
| Sortino/√2 | 0.85 | 1.02 |
| Smart Sortino/√2 | 0.78 | 0.93 |
| Omega | 1.79 | 1.93 |
| Max Drawdown | -50.78% | -26.13% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2020-10-31 |
| Max DD Period End | 2012-02-29 | 2025-09-30 |
| Longest DD Days | 1553 | 1796 |
| Volatility (ann.) | 14.82% | 10.2% |
| R^2 | 0.04 | 0.04 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.22 | 0.3 |
| Skew | -0.56 | 0.63 |
| Kurtosis | 1.23 | 3.39 |
| Ulcer Performance Index | 74.49 | 57.78 |
| Risk-Adjusted Return | 801.22% | 387.32% |
| Risk-Return Ratio | 0.23 | 0.23 |
| Avg. Return | 0.97% | 0.68% |
| Avg. Win | 3.15% | 2.44% |
| Avg. Loss | -4.09% | -2.48% |
| Win/Loss Ratio | 0.77 | 0.98 |
| Profit Ratio | 0.45 | 0.93 |
| Expected Daily | 0.88% | 0.63% |
| Expected Monthly | 0.88% | 0.63% |
| Expected Yearly | 10.41% | 7.39% |
| Kelly Criterion | 23.11% | 17.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.07% | -4.17% |
| Expected Shortfall (cVaR) | -8.82% | -6.23% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.79 | 0.93 |
| Gain/Pain (1M) | 0.79 | 0.93 |
| Payoff Ratio | 0.77 | 0.98 |
| Profit Factor | 1.79 | 1.93 |
| Common Sense Ratio | 1.81 | 2.38 |
| CPC Index | 0.92 | 1.12 |
| Tail Ratio | 1.01 | 1.23 |
| Outlier Win Ratio | 3.24 | 4.33 |
| Outlier Loss Ratio | 2.7 | 4.29 |
| MTD | -1.05% | -6.51% |
| 3M | 13.91% | -6.44% |
| 6M | 8.94% | -6.66% |
| YTD | 8.94% | -6.66% |
| 1Y | 20.92% | 4.87% |
| 3Y (ann.) | 18.77% | 6.44% |
| 5Y (ann.) | 12.51% | -0.73% |
| 10Y (ann.) | 15.13% | 3.27% |
| All-time (ann.) | 11.04% | 7.83% |
| Best Day | 12.7% | 14.09% |
| Worst Day | -16.52% | -8.23% |
| Best Month | 12.7% | 14.09% |
| Worst Month | -16.52% | -8.23% |
| Best Year | 32.31% | 24.22% |
| Worst Year | -36.79% | -15.16% |
| Avg. Drawdown | -5.99% | -3.52% |
| Avg. Drawdown Days | 106 | 138 |
| Recovery Factor | 4.98 | 6.72 |
| Ulcer Index | 0.12 | 0.07 |
| Serenity Index | 2.81 | 3.88 |
| Avg. Up Month | 3.15% | 2.44% |
| Avg. Down Month | -4.09% | -2.48% |
| Win Days | 66.54% | 59.0% |
| Win Month | 66.54% | 59.0% |
| Win Quarter | 73.86% | 67.05% |
| Win Year | 86.96% | 73.91% |
| Beta | - | 0.13 |
| Alpha | - | 0.07 |
| Correlation | - | 19.33% |
| Treynor Ratio | - | 3123.25% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2004 | 7.60 | 15.05 | 1.98 | + |
| 2005 | 4.83 | 23.28 | 4.82 | + |
| 2006 | 15.85 | 15.84 | 1.00 | - |
| 2007 | 5.15 | 14.41 | 2.80 | + |
| 2008 | -36.79 | 17.80 | -0.48 | + |
| 2009 | 26.35 | 1.61 | 0.06 | - |
| 2010 | 15.06 | 1.29 | 0.09 | - |
| 2011 | 1.89 | 8.81 | 4.65 | + |
| 2012 | 15.99 | 24.22 | 1.51 | + |
| 2013 | 32.31 | -2.09 | -0.06 | - |
| 2014 | 13.46 | 14.42 | 1.07 | + |
| 2015 | 1.23 | 4.35 | 3.53 | + |
| 2016 | 12.00 | -1.01 | -0.08 | - |
| 2017 | 21.71 | 20.10 | 0.93 | - |
| 2018 | -4.57 | 12.02 | -2.63 | + |
| 2019 | 31.22 | 0.32 | 0.01 | - |
| 2020 | 18.33 | 12.00 | 0.65 | - |
| 2021 | 28.73 | -2.70 | -0.09 | - |
| 2022 | -18.18 | -15.16 | 0.83 | + |
| 2023 | 26.18 | -1.66 | -0.06 | - |
| 2024 | 24.89 | 6.81 | 0.27 | - |
| 2025 | 17.72 | 18.24 | 1.03 | + |
| 2026 | 8.94 | -6.66 | -0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-10-31 | 2025-09-30 | -26.13 | 1796 |
| 2007-11-30 | 2008-10-31 | -8.95 | 337 |
| 2019-05-31 | 2020-07-31 | -8.63 | 428 |
| 2026-03-31 | 2026-07-31 | -8.61 | 123 |
| 2010-05-31 | 2010-09-30 | -7.48 | 123 |
| 2013-05-31 | 2014-04-30 | -7.24 | 335 |
| 2009-01-31 | 2009-11-30 | -6.65 | 304 |
| 2010-11-30 | 2011-07-31 | -6.25 | 244 |
| 2006-02-28 | 2006-09-30 | -5.95 | 215 |
| 2016-10-31 | 2017-04-30 | -5.86 | 182 |