| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 170.38% |
| CAGR﹪ | 10.92% | 5.4% |
| Sharpe | 0.74 | 0.8 |
| Prob. Sharpe Ratio | 99.89% | 99.94% |
| Smart Sharpe | 0.72 | 0.77 |
| Sortino | 1.14 | 1.27 |
| Smart Sortino | 1.1 | 1.22 |
| Sortino/√2 | 0.8 | 0.9 |
| Smart Sortino/√2 | 0.77 | 0.87 |
| Omega | 1.73 | 1.83 |
| Max Drawdown | -50.78% | -14.34% |
| 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 | 2024-07-31 |
| Longest DD Days | 1553 | 913 |
| Volatility (ann.) | 15.62% | 6.91% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.21 | 0.38 |
| Skew | -0.55 | -0.5 |
| Kurtosis | 0.93 | 2.31 |
| Ulcer Performance Index | 48.48 | 43.26 |
| Risk-Adjusted Return | 781.06% | 201.69% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.97% | 0.46% |
| Avg. Win | 3.9% | 1.69% |
| Avg. Loss | -4.34% | -1.95% |
| Win/Loss Ratio | 0.9 | 0.87 |
| Profit Ratio | 0.46 | 0.79 |
| Expected Daily | 0.87% | 0.44% |
| Expected Monthly | 0.87% | 0.44% |
| Expected Yearly | 10.3% | 5.1% |
| Kelly Criterion | 27.98% | 14.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -2.82% |
| Expected Shortfall (cVaR) | -9.17% | -3.95% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.73 | 0.83 |
| Gain/Pain (1M) | 0.73 | 0.83 |
| Payoff Ratio | 0.9 | 0.87 |
| Profit Factor | 1.73 | 1.83 |
| Common Sense Ratio | 1.78 | 2.06 |
| CPC Index | 1.02 | 0.96 |
| Tail Ratio | 1.03 | 1.12 |
| Outlier Win Ratio | 3.1 | 2.69 |
| Outlier Loss Ratio | 2.66 | 2.7 |
| MTD | -1.05% | 0.68% |
| 3M | 13.91% | -0.2% |
| 6M | 8.94% | 3.37% |
| YTD | 8.94% | 3.37% |
| 1Y | 20.92% | 10.17% |
| 3Y (ann.) | 18.77% | 8.46% |
| 5Y (ann.) | 12.51% | 3.52% |
| 10Y (ann.) | 15.13% | 4.48% |
| All-time (ann.) | 10.92% | 5.4% |
| Best Day | 12.7% | 7.47% |
| Worst Day | -16.52% | -9.07% |
| Best Month | 12.7% | 7.47% |
| Worst Month | -16.52% | -9.07% |
| Best Year | 32.31% | 14.3% |
| Worst Year | -36.79% | -11.43% |
| Avg. Drawdown | -6.67% | -2.99% |
| Avg. Drawdown Days | 114 | 153 |
| Recovery Factor | 4.33 | 7.27 |
| Ulcer Index | 0.13 | 0.04 |
| Serenity Index | 2.31 | 5.18 |
| Avg. Up Month | 3.9% | 1.69% |
| Avg. Down Month | -4.34% | -1.95% |
| Win Days | 65.93% | 60.35% |
| Win Month | 65.93% | 60.35% |
| Win Quarter | 72.73% | 68.83% |
| Win Year | 85.0% | 80.0% |
| Beta | - | 0.23 |
| Alpha | - | 0.03 |
| Correlation | - | 51.08% |
| Treynor Ratio | - | 753.46% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 7.75 | 122.73 | + |
| 2008 | -36.79 | 2.27 | -0.06 | + |
| 2009 | 26.35 | 9.23 | 0.35 | - |
| 2010 | 15.06 | 14.13 | 0.94 | - |
| 2011 | 1.89 | 11.93 | 6.29 | + |
| 2012 | 15.99 | 7.21 | 0.45 | - |
| 2013 | 32.31 | -6.68 | -0.21 | - |
| 2014 | 13.46 | 5.08 | 0.38 | - |
| 2015 | 1.23 | -3.16 | -2.56 | - |
| 2016 | 12.00 | 5.95 | 0.50 | - |
| 2017 | 21.71 | 5.91 | 0.27 | - |
| 2018 | -4.57 | -2.09 | 0.46 | + |
| 2019 | 31.22 | 13.72 | 0.44 | - |
| 2020 | 18.33 | 11.04 | 0.60 | - |
| 2021 | 28.73 | 5.98 | 0.21 | - |
| 2022 | -18.18 | -11.43 | 0.63 | + |
| 2023 | 26.18 | 6.71 | 0.26 | - |
| 2024 | 24.89 | 5.20 | 0.21 | - |
| 2025 | 17.72 | 14.30 | 0.81 | - |
| 2026 | 8.94 | 3.37 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -14.34 | 913 |
| 2008-07-31 | 2009-07-31 | -12.14 | 366 |
| 2012-10-31 | 2014-12-31 | -7.49 | 792 |
| 2015-02-28 | 2016-03-31 | -6.61 | 398 |
| 2016-08-31 | 2017-11-30 | -5.65 | 457 |
| 2024-10-31 | 2025-01-31 | -3.17 | 93 |
| 2026-03-31 | 2026-07-31 | -3.13 | 123 |
| 2011-09-30 | 2011-09-30 | -3.03 | 1 |
| 2020-02-29 | 2020-03-31 | -2.85 | 32 |
| 2018-01-31 | 2018-12-31 | -2.83 | 335 |