| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 346.05% | 108.94% |
| CAGR﹪ | 13.57% | 6.47% |
| Sharpe | 0.93 | 0.91 |
| Prob. Sharpe Ratio | 99.89% | 99.8% |
| Smart Sharpe | 0.87 | 0.84 |
| Sortino | 1.52 | 1.41 |
| Smart Sortino | 1.42 | 1.32 |
| Sortino/√2 | 1.08 | 1.0 |
| Smart Sortino/√2 | 1.0 | 0.93 |
| Omega | 1.99 | 1.94 |
| Max Drawdown | -23.93% | -9.99% |
| Max DD Date | 2022-09-30 | 2023-10-31 |
| Max DD Period Start | 2022-01-31 | 2021-11-30 |
| Max DD Period End | 2023-11-30 | 2024-02-29 |
| Longest DD Days | 669 | 822 |
| Volatility (ann.) | 14.93% | 7.23% |
| R^2 | 0.49 | 0.49 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 0.57 | 0.65 |
| Skew | -0.33 | -0.61 |
| Kurtosis | 0.57 | 0.64 |
| Ulcer Performance Index | 57.28 | 25.31 |
| Risk-Adjusted Return | 1347.46% | 273.2% |
| Risk-Return Ratio | 0.27 | 0.26 |
| Avg. Return | 1.16% | 0.55% |
| Avg. Win | 3.59% | 1.69% |
| Avg. Loss | -4.13% | -1.99% |
| Win/Loss Ratio | 0.87 | 0.85 |
| Profit Ratio | 0.44 | 0.45 |
| Expected Daily | 1.07% | 0.52% |
| Expected Monthly | 1.07% | 0.52% |
| Expected Yearly | 12.19% | 5.83% |
| Kelly Criterion | 31.37% | 29.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -2.89% |
| Expected Shortfall (cVaR) | -8.32% | -4.35% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 0.99 | 0.94 |
| Gain/Pain (1M) | 0.99 | 0.94 |
| Payoff Ratio | 0.87 | 0.85 |
| Profit Factor | 1.99 | 1.94 |
| Common Sense Ratio | 2.49 | 2.02 |
| CPC Index | 1.18 | 1.11 |
| Tail Ratio | 1.26 | 1.04 |
| Outlier Win Ratio | 3.13 | 2.67 |
| Outlier Loss Ratio | 2.46 | 2.67 |
| MTD | -1.05% | -0.22% |
| 3M | 13.91% | 10.85% |
| 6M | 8.94% | 13.52% |
| YTD | 8.94% | 13.52% |
| 1Y | 20.92% | 22.56% |
| 3Y (ann.) | 18.77% | 14.69% |
| 5Y (ann.) | 12.51% | 8.33% |
| 10Y (ann.) | 15.13% | 7.66% |
| All-time (ann.) | 13.57% | 6.47% |
| Best Day | 12.7% | 5.44% |
| Worst Day | -12.49% | -6.66% |
| Best Month | 12.7% | 5.44% |
| Worst Month | -12.49% | -6.66% |
| Best Year | 31.22% | 20.84% |
| Worst Year | -18.18% | -6.08% |
| Avg. Drawdown | -5.89% | -3.62% |
| Avg. Drawdown Days | 76 | 180 |
| Recovery Factor | 6.83 | 7.7 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 7.39 | 4.12 |
| Avg. Up Month | 3.59% | 1.69% |
| Avg. Down Month | -4.13% | -1.99% |
| Win Days | 68.09% | 67.38% |
| Win Month | 68.09% | 67.38% |
| Win Quarter | 77.08% | 70.83% |
| Win Year | 84.62% | 69.23% |
| Beta | - | 0.34 |
| Alpha | - | 0.02 |
| Correlation | - | 69.85% |
| Treynor Ratio | - | 322.09% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 2.49 | 1.43 | 0.57 | - |
| 2015 | 1.23 | -2.84 | -2.30 | - |
| 2016 | 12.00 | 2.84 | 0.24 | - |
| 2017 | 21.71 | 20.40 | 0.94 | - |
| 2018 | -4.57 | -3.35 | 0.73 | + |
| 2019 | 31.22 | 8.10 | 0.26 | - |
| 2020 | 18.33 | -2.34 | -0.13 | - |
| 2021 | 28.73 | 15.02 | 0.52 | - |
| 2022 | -18.18 | -6.08 | 0.33 | + |
| 2023 | 26.18 | 2.04 | 0.08 | - |
| 2024 | 24.89 | 10.97 | 0.44 | - |
| 2025 | 17.72 | 20.84 | 1.18 | + |
| 2026 | 8.94 | 13.52 | 1.51 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2024-02-29 | -9.99 | 822 |
| 2020-01-31 | 2021-01-31 | -9.54 | 367 |
| 2018-02-28 | 2019-11-30 | -7.47 | 641 |
| 2015-06-30 | 2016-12-31 | -6.13 | 551 |
| 2026-03-31 | 2026-03-31 | -4.69 | 1 |
| 2024-10-31 | 2025-01-31 | -3.96 | 93 |
| 2024-04-30 | 2024-04-30 | -3.34 | 1 |
| 2021-09-30 | 2021-09-30 | -2.66 | 1 |
| 2025-03-31 | 2025-03-31 | -1.28 | 1 |
| 2015-03-31 | 2015-04-30 | -0.73 | 31 |