| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 786.29% | 647.17% |
| CAGR﹪ | 10.99% | 10.09% |
| Sharpe | 0.77 | 0.83 |
| Prob. Sharpe Ratio | 99.96% | 99.98% |
| Smart Sharpe | 0.69 | 0.74 |
| Sortino | 1.18 | 1.31 |
| Smart Sortino | 1.06 | 1.17 |
| Sortino/√2 | 0.84 | 0.92 |
| Smart Sortino/√2 | 0.75 | 0.83 |
| Omega | 1.78 | 1.92 |
| Max Drawdown | -50.78% | -25.92% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2010-08-31 |
| Longest DD Days | 1553 | 1006 |
| Volatility (ann.) | 15.02% | 12.65% |
| R^2 | 0.62 | 0.62 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.22 | 0.39 |
| Skew | -0.56 | -0.33 |
| Kurtosis | 1.17 | 1.75 |
| Ulcer Performance Index | 65.67 | 94.92 |
| Risk-Adjusted Return | 794.03% | 653.18% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.97% | 0.87% |
| Avg. Win | 3.33% | 2.67% |
| Avg. Loss | -4.08% | -3.58% |
| Win/Loss Ratio | 0.82 | 0.74 |
| Profit Ratio | 0.43 | 0.26 |
| Expected Daily | 0.87% | 0.8% |
| Expected Monthly | 0.87% | 0.8% |
| Expected Yearly | 10.43% | 9.57% |
| Kelly Criterion | 26.14% | 37.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.16% | -5.13% |
| Expected Shortfall (cVaR) | -8.99% | -7.26% |
| Max Consecutive Wins | 15 | 41 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.78 | 0.92 |
| Gain/Pain (1M) | 0.78 | 0.92 |
| Payoff Ratio | 0.82 | 0.74 |
| Profit Factor | 1.78 | 1.92 |
| Common Sense Ratio | 1.85 | 2.1 |
| CPC Index | 0.97 | 1.05 |
| Tail Ratio | 1.04 | 1.09 |
| Outlier Win Ratio | 3.23 | 4.06 |
| Outlier Loss Ratio | 2.67 | 2.55 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 1.13% |
| 6M | 8.94% | 1.99% |
| YTD | 8.94% | 1.99% |
| 1Y | 20.92% | 3.99% |
| 3Y (ann.) | 18.77% | 4.38% |
| 5Y (ann.) | 12.51% | 4.12% |
| 10Y (ann.) | 15.13% | 9.98% |
| All-time (ann.) | 10.99% | 10.09% |
| Best Day | 12.7% | 13.81% |
| Worst Day | -16.52% | -12.49% |
| Best Month | 12.7% | 13.81% |
| Worst Month | -16.52% | -12.49% |
| Best Year | 32.31% | 32.31% |
| Worst Year | -36.79% | -18.18% |
| Avg. Drawdown | -6.05% | -6.01% |
| Avg. Drawdown Days | 103 | 103 |
| Recovery Factor | 4.78 | 8.43 |
| Ulcer Index | 0.12 | 0.07 |
| Serenity Index | 2.68 | 6.68 |
| Avg. Up Month | 3.33% | 2.67% |
| Avg. Down Month | -4.08% | -3.58% |
| Win Days | 66.8% | 73.31% |
| Win Month | 66.8% | 73.31% |
| Win Quarter | 74.12% | 80.0% |
| Win Year | 86.36% | 86.36% |
| Beta | - | 0.66 |
| Alpha | - | 0.03 |
| Correlation | - | 78.54% |
| Treynor Ratio | - | 978.55% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 2.55 | 2.55 | 1.00 | + |
| 2006 | 15.85 | 15.85 | 1.00 | - |
| 2007 | 5.15 | 5.15 | 1.00 | + |
| 2008 | -36.79 | -8.32 | 0.23 | + |
| 2009 | 26.35 | 2.28 | 0.09 | - |
| 2010 | 15.06 | 26.96 | 1.79 | + |
| 2011 | 1.89 | 1.90 | 1.00 | + |
| 2012 | 15.99 | 15.99 | 1.00 | - |
| 2013 | 32.31 | 32.31 | 1.00 | - |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | 1.23 | 1.00 | - |
| 2016 | 12.00 | 15.64 | 1.30 | + |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | -4.57 | 1.00 | + |
| 2019 | 31.22 | 31.22 | 1.00 | - |
| 2020 | 18.33 | 9.86 | 0.54 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -18.18 | 1.00 | + |
| 2023 | 26.18 | 23.19 | 0.89 | - |
| 2024 | 24.89 | 4.95 | 0.20 | - |
| 2025 | 17.72 | 4.02 | 0.23 | - |
| 2026 | 8.94 | 1.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-08-31 | -25.92 | 1006 |
| 2022-01-31 | 2023-10-31 | -23.93 | 639 |
| 2020-01-31 | 2020-07-31 | -19.45 | 183 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 2018-10-31 | 2019-03-31 | -13.53 | 152 |
| 2015-08-31 | 2016-02-29 | -8.49 | 183 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |
| 2019-05-31 | 2019-05-31 | -6.38 | 1 |
| 2018-02-28 | 2018-06-30 | -6.28 | 123 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |