| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.55% | 433.56% |
| CAGR﹪ | 11.12% | 9.43% |
| Sharpe | 0.75 | 1.12 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.72 | 1.07 |
| Sortino | 1.15 | 1.91 |
| Smart Sortino | 1.1 | 1.83 |
| Sortino/√2 | 0.81 | 1.35 |
| Smart Sortino/√2 | 0.78 | 1.29 |
| Omega | 1.74 | 2.38 |
| Max Drawdown | -48.22% | -11.5% |
| Max DD Date | 2009-02-28 | 2010-08-31 |
| Max DD Period Start | 2008-01-31 | 2010-05-31 |
| Max DD Period End | 2011-03-31 | 2010-11-30 |
| Longest DD Days | 1156 | 669 |
| Volatility (ann.) | 15.7% | 8.41% |
| R^2 | 0.5 | 0.5 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.23 | 0.82 |
| Skew | -0.55 | -0.34 |
| Kurtosis | 0.93 | 1.25 |
| Ulcer Performance Index | 53.72 | 130.24 |
| Risk-Adjusted Return | 815.47% | 563.37% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.99% | 0.79% |
| Avg. Win | 3.51% | 2.04% |
| Avg. Loss | -3.73% | -2.0% |
| Win/Loss Ratio | 0.94 | 1.02 |
| Profit Ratio | 0.45 | 0.37 |
| Expected Daily | 0.88% | 0.75% |
| Expected Monthly | 0.88% | 0.75% |
| Expected Yearly | 10.86% | 9.21% |
| Kelly Criterion | 30.33% | 43.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.47% | -3.21% |
| Expected Shortfall (cVaR) | -9.17% | -4.85% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.74 | 1.38 |
| Gain/Pain (1M) | 0.74 | 1.38 |
| Payoff Ratio | 0.94 | 1.02 |
| Profit Factor | 1.74 | 2.38 |
| Common Sense Ratio | 1.77 | 3.11 |
| CPC Index | 1.09 | 1.74 |
| Tail Ratio | 1.02 | 1.3 |
| Outlier Win Ratio | 3.1 | 3.43 |
| Outlier Loss Ratio | 2.65 | 3.04 |
| MTD | -1.05% | -1.0% |
| 3M | 13.91% | 4.98% |
| 6M | 8.94% | 0.39% |
| YTD | 8.94% | 0.39% |
| 1Y | 20.92% | 11.17% |
| 3Y (ann.) | 18.77% | 9.57% |
| 5Y (ann.) | 12.51% | 6.03% |
| 10Y (ann.) | 15.13% | 9.56% |
| All-time (ann.) | 11.12% | 9.43% |
| Best Day | 12.7% | 8.03% |
| Worst Day | -16.52% | -7.92% |
| Best Month | 12.7% | 8.03% |
| Worst Month | -16.52% | -7.92% |
| Best Year | 32.31% | 28.35% |
| Worst Year | -36.79% | -6.34% |
| Avg. Drawdown | -6.9% | -3.58% |
| Avg. Drawdown Days | 105 | 87 |
| Recovery Factor | 4.56 | 15.19 |
| Ulcer Index | 0.11 | 0.03 |
| Serenity Index | 2.7 | 15.33 |
| Avg. Up Month | 3.51% | 2.04% |
| Avg. Down Month | -3.73% | -2.0% |
| Win Days | 66.22% | 71.75% |
| Win Month | 66.22% | 71.75% |
| Win Quarter | 73.33% | 74.67% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.38 |
| Alpha | - | 0.05 |
| Correlation | - | 70.69% |
| Treynor Ratio | - | 1144.03% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -36.79 | 1.17 | -0.03 | + |
| 2009 | 26.35 | 22.26 | 0.84 | - |
| 2010 | 15.06 | 8.88 | 0.59 | - |
| 2011 | 1.89 | -1.93 | -1.02 | - |
| 2012 | 15.99 | 12.33 | 0.77 | - |
| 2013 | 32.31 | 28.35 | 0.88 | - |
| 2014 | 13.46 | 10.60 | 0.79 | - |
| 2015 | 1.23 | 0.54 | 0.44 | - |
| 2016 | 12.00 | 5.43 | 0.45 | - |
| 2017 | 21.71 | 20.47 | 0.94 | - |
| 2018 | -4.57 | 3.24 | -0.71 | + |
| 2019 | 31.22 | 13.48 | 0.43 | - |
| 2020 | 18.33 | 11.36 | 0.62 | - |
| 2021 | 28.73 | 18.62 | 0.65 | - |
| 2022 | -18.18 | -6.34 | 0.35 | + |
| 2023 | 26.18 | 7.48 | 0.29 | - |
| 2024 | 24.89 | 13.95 | 0.56 | - |
| 2025 | 17.72 | 11.33 | 0.64 | - |
| 2026 | 8.94 | 0.39 | 0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2010-05-31 | 2010-11-30 | -11.50 | 184 |
| 2011-05-31 | 2012-02-29 | -11.16 | 275 |
| 2020-01-31 | 2020-07-31 | -7.65 | 183 |
| 2022-01-31 | 2023-11-30 | -7.36 | 669 |
| 2024-12-31 | 2025-06-30 | -6.63 | 182 |
| 2018-10-31 | 2019-03-31 | -6.36 | 152 |
| 2019-05-31 | 2019-10-31 | -6.30 | 154 |
| 2020-09-30 | 2020-10-31 | -6.07 | 32 |
| 2026-02-28 | 2026-04-30 | -5.75 | 62 |
| 2012-04-30 | 2012-08-31 | -5.15 | 124 |