| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 346.05% | 81.96% |
| CAGR﹪ | 13.57% | 5.23% |
| Sharpe | 0.93 | 0.92 |
| Prob. Sharpe Ratio | 99.89% | 99.89% |
| Smart Sharpe | 0.84 | 0.83 |
| Sortino | 1.52 | 1.52 |
| Smart Sortino | 1.38 | 1.38 |
| Sortino/√2 | 1.08 | 1.08 |
| Smart Sortino/√2 | 0.98 | 0.98 |
| Omega | 1.99 | 1.99 |
| Max Drawdown | -23.93% | -7.26% |
| Max DD Date | 2022-09-30 | 2020-03-31 |
| Max DD Period Start | 2022-01-31 | 2020-01-31 |
| Max DD Period End | 2023-11-30 | 2021-01-31 |
| Longest DD Days | 669 | 671 |
| Volatility (ann.) | 14.93% | 5.74% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 0.57 | 0.72 |
| Skew | -0.33 | -0.2 |
| Kurtosis | 0.57 | 0.81 |
| Ulcer Performance Index | 57.28 | 28.04 |
| Risk-Adjusted Return | 1347.46% | 191.51% |
| Risk-Return Ratio | 0.27 | 0.26 |
| Avg. Return | 1.16% | 0.44% |
| Avg. Win | 3.62% | 1.33% |
| Avg. Loss | -4.43% | -1.65% |
| Win/Loss Ratio | 0.82 | 0.81 |
| Profit Ratio | 0.44 | 0.47 |
| Expected Daily | 1.07% | 0.43% |
| Expected Monthly | 1.07% | 0.43% |
| Expected Yearly | 12.19% | 4.71% |
| Kelly Criterion | 29.02% | 27.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -2.29% |
| Expected Shortfall (cVaR) | -8.32% | -3.3% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 3 | 4 |
| Gain/Pain Ratio | 0.99 | 0.99 |
| Gain/Pain (1M) | 0.99 | 0.99 |
| Payoff Ratio | 0.82 | 0.81 |
| Profit Factor | 1.99 | 1.99 |
| Common Sense Ratio | 2.49 | 2.34 |
| CPC Index | 1.1 | 1.09 |
| Tail Ratio | 1.26 | 1.18 |
| Outlier Win Ratio | 3.13 | 3.5 |
| Outlier Loss Ratio | 2.46 | 2.79 |
| MTD | -1.05% | 2.72% |
| 3M | 13.91% | 7.88% |
| 6M | 8.94% | 14.63% |
| YTD | 8.94% | 14.63% |
| 1Y | 20.92% | 20.07% |
| 3Y (ann.) | 18.77% | 10.36% |
| 5Y (ann.) | 12.51% | 6.82% |
| 10Y (ann.) | 15.13% | 5.95% |
| All-time (ann.) | 13.57% | 5.23% |
| Best Day | 12.7% | 4.75% |
| Worst Day | -12.49% | -4.13% |
| Best Month | 12.7% | 4.75% |
| Worst Month | -12.49% | -4.13% |
| Best Year | 31.22% | 20.07% |
| Worst Year | -18.18% | -4.02% |
| Avg. Drawdown | -5.89% | -3.0% |
| Avg. Drawdown Days | 76 | 177 |
| Recovery Factor | 6.83 | 8.52 |
| Ulcer Index | 0.06 | 0.03 |
| Serenity Index | 7.39 | 5.53 |
| Avg. Up Month | 3.62% | 1.33% |
| Avg. Down Month | -4.43% | -1.65% |
| Win Days | 68.09% | 67.38% |
| Win Month | 68.09% | 67.38% |
| Win Quarter | 77.08% | 75.0% |
| Win Year | 84.62% | 69.23% |
| Beta | - | 0.24 |
| Alpha | - | 0.02 |
| Correlation | - | 61.31% |
| Treynor Ratio | - | 347.6% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 2.49 | 1.63 | 0.66 | - |
| 2015 | 1.23 | -2.20 | -1.79 | - |
| 2016 | 12.00 | 2.08 | 0.17 | - |
| 2017 | 21.71 | 11.12 | 0.51 | - |
| 2018 | -4.57 | -4.02 | 0.88 | + |
| 2019 | 31.22 | 8.31 | 0.27 | - |
| 2020 | 18.33 | -3.31 | -0.18 | - |
| 2021 | 28.73 | 20.07 | 0.70 | - |
| 2022 | -18.18 | -2.70 | 0.15 | + |
| 2023 | 26.18 | 2.73 | 0.10 | - |
| 2024 | 24.89 | 4.71 | 0.19 | - |
| 2025 | 17.72 | 11.45 | 0.65 | - |
| 2026 | 8.94 | 14.63 | 1.64 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-31 | 2021-01-31 | -7.26 | 367 |
| 2018-10-31 | 2019-09-30 | -6.22 | 335 |
| 2015-04-30 | 2017-01-31 | -5.28 | 643 |
| 2022-04-30 | 2024-02-29 | -4.89 | 671 |
| 2021-11-30 | 2021-11-30 | -3.85 | 1 |
| 2024-10-31 | 2025-04-30 | -3.81 | 182 |
| 2024-04-30 | 2024-06-30 | -3.10 | 62 |
| 2018-02-28 | 2018-07-31 | -2.45 | 154 |
| 2021-09-30 | 2021-09-30 | -1.58 | 1 |
| 2022-01-31 | 2022-02-28 | -1.49 | 29 |