| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 374.89% |
| CAGR﹪ | 11.13% | 8.03% |
| Sharpe | 0.77 | 0.94 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.67 | 0.82 |
| Sortino | 1.18 | 1.61 |
| Smart Sortino | 1.02 | 1.39 |
| Sortino/√2 | 0.84 | 1.14 |
| Smart Sortino/√2 | 0.72 | 0.98 |
| Omega | 1.77 | 2.11 |
| Max Drawdown | -50.78% | -21.41% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2025-09-30 |
| Longest DD Days | 1553 | 1339 |
| Volatility (ann.) | 15.22% | 8.6% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.22 | 0.38 |
| Skew | -0.56 | -0.18 |
| Kurtosis | 1.09 | 1.6 |
| Ulcer Performance Index | 60.76 | 68.27 |
| Risk-Adjusted Return | 817.9% | 406.46% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.98% | 0.68% |
| Avg. Win | 3.66% | 2.11% |
| Avg. Loss | -4.53% | -2.4% |
| Win/Loss Ratio | 0.81 | 0.88 |
| Profit Ratio | 0.43 | 0.6 |
| Expected Daily | 0.88% | 0.65% |
| Expected Monthly | 0.88% | 0.65% |
| Expected Yearly | 10.67% | 7.7% |
| Kelly Criterion | 25.7% | 25.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.41% |
| Expected Shortfall (cVaR) | -8.99% | -5.05% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.77 | 1.11 |
| Gain/Pain (1M) | 0.77 | 1.11 |
| Payoff Ratio | 0.81 | 0.88 |
| Profit Factor | 1.77 | 2.11 |
| Common Sense Ratio | 1.89 | 2.9 |
| CPC Index | 0.96 | 1.21 |
| Tail Ratio | 1.07 | 1.37 |
| Outlier Win Ratio | 3.19 | 3.56 |
| Outlier Loss Ratio | 2.65 | 3.68 |
| MTD | -1.05% | -1.79% |
| 3M | 13.91% | -0.58% |
| 6M | 8.94% | 1.23% |
| YTD | 8.94% | 1.23% |
| 1Y | 20.92% | 13.61% |
| 3Y (ann.) | 18.77% | 4.09% |
| 5Y (ann.) | 12.51% | 1.22% |
| 10Y (ann.) | 15.13% | 4.72% |
| All-time (ann.) | 11.13% | 8.03% |
| Best Day | 12.7% | 9.32% |
| Worst Day | -16.52% | -8.56% |
| Best Month | 12.7% | 9.32% |
| Worst Month | -16.52% | -8.56% |
| Best Year | 32.31% | 24.59% |
| Worst Year | -36.79% | -18.68% |
| Avg. Drawdown | -6.45% | -2.58% |
| Avg. Drawdown Days | 110 | 82 |
| Recovery Factor | 4.67 | 7.64 |
| Ulcer Index | 0.12 | 0.05 |
| Serenity Index | 2.58 | 5.34 |
| Avg. Up Month | 3.66% | 2.11% |
| Avg. Down Month | -4.53% | -2.4% |
| Win Days | 66.8% | 65.29% |
| Win Month | 66.8% | 65.29% |
| Win Quarter | 74.39% | 71.95% |
| Win Year | 85.71% | 80.95% |
| Beta | - | 0.33 |
| Alpha | - | 0.04 |
| Correlation | - | 58.12% |
| Treynor Ratio | - | 1142.07% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 7.77 | 0.61 | - |
| 2007 | 5.15 | 12.13 | 2.36 | + |
| 2008 | -36.79 | 14.07 | -0.38 | + |
| 2009 | 26.35 | 12.10 | 0.46 | - |
| 2010 | 15.06 | 24.59 | 1.63 | + |
| 2011 | 1.89 | 12.86 | 6.78 | + |
| 2012 | 15.99 | 10.36 | 0.65 | - |
| 2013 | 32.31 | 2.09 | 0.06 | - |
| 2014 | 13.46 | 11.66 | 0.87 | - |
| 2015 | 1.23 | -1.32 | -1.07 | - |
| 2016 | 12.00 | 10.19 | 0.85 | - |
| 2017 | 21.71 | 12.94 | 0.60 | - |
| 2018 | -4.57 | -2.60 | 0.57 | + |
| 2019 | 31.22 | 20.53 | 0.66 | - |
| 2020 | 18.33 | 11.51 | 0.63 | - |
| 2021 | 28.73 | 4.58 | 0.16 | - |
| 2022 | -18.18 | -18.68 | 1.03 | - |
| 2023 | 26.18 | 11.89 | 0.45 | - |
| 2024 | 24.89 | -2.70 | -0.11 | - |
| 2025 | 17.72 | 15.30 | 0.86 | - |
| 2026 | 8.94 | 1.23 | 0.14 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-09-30 | -21.41 | 1339 |
| 2009-01-31 | 2009-06-30 | -8.90 | 151 |
| 2013-05-31 | 2013-09-30 | -5.79 | 123 |
| 2026-03-31 | 2026-07-31 | -5.73 | 123 |
| 2018-09-30 | 2019-02-28 | -5.69 | 152 |
| 2015-02-28 | 2016-02-29 | -5.40 | 367 |
| 2020-02-29 | 2020-03-31 | -5.13 | 32 |
| 2016-10-31 | 2017-01-31 | -4.27 | 93 |
| 2020-09-30 | 2021-05-31 | -3.50 | 244 |
| 2014-09-30 | 2014-10-31 | -3.35 | 32 |