| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 786.29% | 549.87% |
| CAGR﹪ | 10.99% | 9.36% |
| Sharpe | 0.77 | 0.86 |
| Prob. Sharpe Ratio | 99.96% | 99.99% |
| Smart Sharpe | 0.69 | 0.77 |
| Sortino | 1.18 | 1.33 |
| Smart Sortino | 1.05 | 1.18 |
| Sortino/√2 | 0.84 | 0.94 |
| Smart Sortino/√2 | 0.75 | 0.84 |
| Omega | 1.78 | 2.0 |
| Max Drawdown | -50.78% | -24.41% |
| 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 | 2023-11-30 |
| Longest DD Days | 1553 | 1036 |
| Volatility (ann.) | 15.02% | 11.12% |
| R^2 | 0.68 | 0.68 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.22 | 0.38 |
| Skew | -0.56 | -0.59 |
| Kurtosis | 1.17 | 2.17 |
| Ulcer Performance Index | 65.67 | 84.05 |
| Risk-Adjusted Return | 794.03% | 554.73% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.97% | 0.81% |
| Avg. Win | 3.37% | 2.41% |
| Avg. Loss | -4.32% | -3.18% |
| Win/Loss Ratio | 0.78 | 0.76 |
| Profit Ratio | 0.43 | 0.28 |
| Expected Daily | 0.87% | 0.75% |
| Expected Monthly | 0.87% | 0.75% |
| Expected Yearly | 10.43% | 8.88% |
| Kelly Criterion | 24.29% | 37.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.16% | -4.48% |
| Expected Shortfall (cVaR) | -8.99% | -7.07% |
| Max Consecutive Wins | 15 | 41 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.78 | 1.0 |
| Gain/Pain (1M) | 0.78 | 1.0 |
| Payoff Ratio | 0.78 | 0.76 |
| Profit Factor | 1.78 | 2.0 |
| Common Sense Ratio | 1.85 | 2.3 |
| CPC Index | 0.93 | 1.1 |
| Tail Ratio | 1.04 | 1.15 |
| Outlier Win Ratio | 3.23 | 3.95 |
| Outlier Loss Ratio | 2.67 | 2.98 |
| 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% | 3.99% |
| 10Y (ann.) | 15.13% | 9.49% |
| All-time (ann.) | 10.99% | 9.36% |
| Best Day | 12.7% | 10.26% |
| Worst Day | -16.52% | -12.05% |
| Best Month | 12.7% | 10.26% |
| Worst Month | -16.52% | -12.05% |
| Best Year | 32.31% | 30.03% |
| Worst Year | -36.79% | -18.7% |
| Avg. Drawdown | -6.05% | -5.1% |
| Avg. Drawdown Days | 103 | 108 |
| Recovery Factor | 4.78 | 8.23 |
| Ulcer Index | 0.12 | 0.07 |
| Serenity Index | 2.68 | 5.83 |
| Avg. Up Month | 3.37% | 2.41% |
| Avg. Down Month | -4.32% | -3.18% |
| Win Days | 66.8% | 72.91% |
| Win Month | 66.8% | 72.91% |
| Win Quarter | 74.12% | 78.82% |
| Win Year | 86.36% | 81.82% |
| Beta | - | 0.61 |
| Alpha | - | 0.03 |
| Correlation | - | 82.23% |
| Treynor Ratio | - | 902.71% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 2.55 | 2.55 | 1.00 | + |
| 2006 | 15.85 | 15.85 | 1.00 | - |
| 2007 | 5.15 | 5.25 | 1.02 | + |
| 2008 | -36.79 | -7.69 | 0.21 | + |
| 2009 | 26.35 | -0.52 | -0.02 | - |
| 2010 | 15.06 | 17.38 | 1.15 | + |
| 2011 | 1.89 | 9.27 | 4.89 | + |
| 2012 | 15.99 | 15.29 | 0.96 | - |
| 2013 | 32.31 | 17.64 | 0.55 | - |
| 2014 | 13.46 | 18.65 | 1.39 | + |
| 2015 | 1.23 | 2.44 | 1.98 | + |
| 2016 | 12.00 | 12.64 | 1.05 | + |
| 2017 | 21.71 | 21.09 | 0.97 | - |
| 2018 | -4.57 | -4.57 | 1.00 | + |
| 2019 | 31.22 | 30.03 | 0.96 | - |
| 2020 | 18.33 | 10.60 | 0.58 | - |
| 2021 | 28.73 | 28.24 | 0.98 | - |
| 2022 | -18.18 | -18.70 | 1.03 | - |
| 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 |
|---|---|---|---|
| 2022-01-31 | 2023-11-30 | -24.41 | 669 |
| 2007-11-30 | 2010-09-30 | -22.96 | 1036 |
| 2020-01-31 | 2020-07-31 | -19.05 | 183 |
| 2018-10-31 | 2019-03-31 | -13.53 | 152 |
| 2019-05-31 | 2019-06-30 | -6.38 | 31 |
| 2011-06-30 | 2011-09-30 | -6.28 | 93 |
| 2018-02-28 | 2018-06-30 | -6.28 | 123 |
| 2021-09-30 | 2021-09-30 | -4.66 | 1 |
| 2007-06-30 | 2007-08-31 | -4.55 | 63 |
| 2020-09-30 | 2020-10-31 | -4.52 | 32 |