| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 624.26% | 444.59% |
| CAGR﹪ | 14.63% | 12.4% |
| Sharpe | 1.05 | 1.27 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 1.01 | 1.23 |
| Sortino | 1.73 | 2.44 |
| Smart Sortino | 1.67 | 2.36 |
| Sortino/√2 | 1.23 | 1.73 |
| Smart Sortino/√2 | 1.18 | 1.67 |
| Omega | 2.16 | 3.03 |
| Max Drawdown | -23.93% | -13.4% |
| Max DD Date | 2022-09-30 | 2016-02-29 |
| Max DD Period Start | 2022-01-31 | 2014-07-31 |
| Max DD Period End | 2023-11-30 | 2016-10-31 |
| Longest DD Days | 669 | 824 |
| Volatility (ann.) | 14.02% | 9.62% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.61 | 0.92 |
| Skew | -0.4 | 0.12 |
| Kurtosis | 0.83 | 1.49 |
| Ulcer Performance Index | 113.9 | 140.53 |
| Risk-Adjusted Return | 1659.42% | 1064.22% |
| Risk-Return Ratio | 0.3 | 0.37 |
| Avg. Return | 1.23% | 1.02% |
| Avg. Win | 3.27% | 2.24% |
| Avg. Loss | -3.25% | -2.64% |
| Win/Loss Ratio | 1.01 | 0.85 |
| Profit Ratio | 0.41 | 0.22 |
| Expected Daily | 1.14% | 0.98% |
| Expected Monthly | 1.14% | 0.98% |
| Expected Yearly | 14.11% | 11.96% |
| Kelly Criterion | 39.28% | 53.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.43% | -3.55% |
| Expected Shortfall (cVaR) | -7.68% | -5.19% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | 1.16 | 2.03 |
| Gain/Pain (1M) | 1.16 | 2.03 |
| Payoff Ratio | 1.01 | 0.85 |
| Profit Factor | 2.16 | 3.03 |
| Common Sense Ratio | 2.5 | 4.71 |
| CPC Index | 1.51 | 2.02 |
| Tail Ratio | 1.16 | 1.56 |
| Outlier Win Ratio | 3.22 | 3.92 |
| Outlier Loss Ratio | 2.56 | 2.63 |
| MTD | -1.05% | 0.25% |
| 3M | 13.91% | 1.13% |
| 6M | 8.94% | 1.99% |
| YTD | 8.94% | 1.99% |
| 1Y | 20.92% | 13.41% |
| 3Y (ann.) | 18.77% | 16.26% |
| 5Y (ann.) | 12.51% | 13.15% |
| 10Y (ann.) | 15.13% | 14.09% |
| All-time (ann.) | 14.63% | 12.4% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -12.49% | -7.96% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -12.49% | -7.96% |
| Best Year | 32.31% | 32.31% |
| Worst Year | -18.18% | -7.51% |
| Avg. Drawdown | -5.1% | -4.31% |
| Avg. Drawdown Days | 63 | 118 |
| Recovery Factor | 8.92 | 13.2 |
| Ulcer Index | 0.05 | 0.03 |
| Serenity Index | 10.21 | 19.27 |
| Avg. Up Month | 3.27% | 2.24% |
| Avg. Down Month | -3.25% | -2.64% |
| Win Days | 69.54% | 78.74% |
| Win Month | 69.54% | 78.74% |
| Win Quarter | 77.97% | 84.75% |
| Win Year | 86.67% | 93.33% |
| Beta | - | 0.46 |
| Alpha | - | 0.05 |
| Correlation | - | 66.94% |
| Treynor Ratio | - | 967.84% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2012 | 10.85 | 10.21 | 0.94 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 2.97 | 0.22 | - |
| 2015 | 1.23 | -7.51 | -6.08 | - |
| 2016 | 12.00 | 12.00 | 1.00 | - |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | 3.14 | -0.69 | + |
| 2019 | 31.22 | 8.77 | 0.28 | - |
| 2020 | 18.33 | 20.03 | 1.09 | + |
| 2021 | 28.73 | 17.20 | 0.60 | - |
| 2022 | -18.18 | 1.93 | -0.11 | + |
| 2023 | 26.18 | 19.07 | 0.73 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 17.93 | 1.01 | + |
| 2026 | 8.94 | 1.99 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2014-07-31 | 2016-10-31 | -13.40 | 824 |
| 2023-08-31 | 2023-10-31 | -8.33 | 62 |
| 2020-02-29 | 2020-06-30 | -7.99 | 123 |
| 2018-02-28 | 2019-08-31 | -7.94 | 550 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |
| 2020-09-30 | 2020-10-31 | -6.14 | 32 |
| 2021-09-30 | 2022-09-30 | -5.52 | 366 |
| 2024-04-30 | 2024-04-30 | -4.03 | 1 |
| 2014-01-31 | 2014-01-31 | -3.52 | 1 |
| 2013-08-31 | 2013-08-31 | -3.00 | 1 |