| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 436.23% |
| CAGR﹪ | 11.13% | 8.68% |
| Sharpe | 0.77 | 0.95 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.72 | 0.89 |
| Sortino | 1.18 | 1.66 |
| Smart Sortino | 1.1 | 1.55 |
| Sortino/√2 | 0.84 | 1.18 |
| Smart Sortino/√2 | 0.78 | 1.09 |
| Omega | 1.77 | 2.11 |
| Max Drawdown | -50.78% | -22.68% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2021-01-31 |
| Max DD Period End | 2012-02-29 | 2025-07-31 |
| Longest DD Days | 1553 | 1643 |
| Volatility (ann.) | 15.22% | 9.19% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.22 | 0.38 |
| Skew | -0.56 | 0.03 |
| Kurtosis | 1.09 | 1.76 |
| Ulcer Performance Index | 60.76 | 78.13 |
| Risk-Adjusted Return | 817.9% | 474.77% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.98% | 0.73% |
| Avg. Win | 3.65% | 2.25% |
| Avg. Loss | -4.5% | -2.49% |
| Win/Loss Ratio | 0.81 | 0.9 |
| Profit Ratio | 0.43 | 0.62 |
| Expected Daily | 0.88% | 0.7% |
| Expected Monthly | 0.88% | 0.7% |
| Expected Yearly | 10.67% | 8.33% |
| Kelly Criterion | 25.91% | 25.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.63% |
| Expected Shortfall (cVaR) | -8.99% | -4.92% |
| 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 | 0.9 |
| Profit Factor | 1.77 | 2.11 |
| Common Sense Ratio | 1.89 | 2.75 |
| CPC Index | 0.96 | 1.23 |
| Tail Ratio | 1.07 | 1.3 |
| Outlier Win Ratio | 3.19 | 3.49 |
| Outlier Loss Ratio | 2.65 | 3.42 |
| MTD | -1.05% | -1.79% |
| 3M | 13.91% | -1.38% |
| 6M | 8.94% | 0.41% |
| YTD | 8.94% | 0.41% |
| 1Y | 20.92% | 12.68% |
| 3Y (ann.) | 18.77% | 6.54% |
| 5Y (ann.) | 12.51% | 2.65% |
| 10Y (ann.) | 15.13% | 4.92% |
| All-time (ann.) | 11.13% | 8.68% |
| Best Day | 12.7% | 11.03% |
| Worst Day | -16.52% | -8.56% |
| Best Month | 12.7% | 11.03% |
| Worst Month | -16.52% | -8.56% |
| Best Year | 32.31% | 27.72% |
| Worst Year | -36.79% | -18.68% |
| Avg. Drawdown | -6.45% | -2.64% |
| Avg. Drawdown Days | 110 | 85 |
| Recovery Factor | 4.67 | 7.8 |
| Ulcer Index | 0.12 | 0.06 |
| Serenity Index | 2.58 | 5.56 |
| Avg. Up Month | 3.65% | 2.25% |
| Avg. Down Month | -4.5% | -2.49% |
| Win Days | 66.8% | 64.88% |
| Win Month | 66.8% | 64.88% |
| Win Quarter | 74.39% | 75.61% |
| Win Year | 85.71% | 80.95% |
| Beta | - | 0.33 |
| Alpha | - | 0.05 |
| Correlation | - | 54.46% |
| Treynor Ratio | - | 1326.36% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 7.77 | 0.61 | - |
| 2007 | 5.15 | 12.13 | 2.36 | + |
| 2008 | -36.79 | 24.22 | -0.66 | + |
| 2009 | 26.35 | 11.28 | 0.43 | - |
| 2010 | 15.06 | 27.72 | 1.84 | + |
| 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 | 12.61 | 0.69 | - |
| 2021 | 28.73 | -1.61 | -0.06 | - |
| 2022 | -18.18 | -18.68 | 1.03 | - |
| 2023 | 26.18 | 14.51 | 0.55 | - |
| 2024 | 24.89 | 0.71 | 0.03 | - |
| 2025 | 17.72 | 17.67 | 1.00 | - |
| 2026 | 8.94 | 0.41 | 0.05 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-01-31 | 2025-07-31 | -22.68 | 1643 |
| 2009-01-31 | 2009-06-30 | -9.59 | 151 |
| 2026-03-31 | 2026-07-31 | -6.49 | 123 |
| 2013-05-31 | 2013-09-30 | -5.79 | 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 | 2020-11-30 | -3.46 | 62 |
| 2014-09-30 | 2014-10-31 | -3.35 | 32 |