| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,052.96% | 820.44% |
| CAGR﹪ | 11.17% | 10.09% |
| Sharpe | 0.81 | 0.75 |
| Prob. Sharpe Ratio | 99.99% | 99.92% |
| Smart Sharpe | 0.78 | 0.72 |
| Sortino | 1.24 | 1.09 |
| Smart Sortino | 1.2 | 1.05 |
| Sortino/√2 | 0.88 | 0.77 |
| Smart Sortino/√2 | 0.85 | 0.74 |
| Omega | 1.82 | 1.77 |
| Max Drawdown | -50.78% | -46.34% |
| Max DD Date | 2009-02-28 | 2009-04-30 |
| Max DD Period Start | 2007-11-30 | 2008-12-31 |
| Max DD Period End | 2012-02-29 | 2011-03-31 |
| Longest DD Days | 1553 | 821 |
| Volatility (ann.) | 14.5% | 14.32% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.22 | 0.22 |
| Skew | -0.56 | -1.19 |
| Kurtosis | 1.36 | 5.08 |
| Ulcer Performance Index | 92.32 | 77.71 |
| Risk-Adjusted Return | 824.66% | 653.34% |
| Risk-Return Ratio | 0.23 | 0.22 |
| Avg. Return | 0.98% | 0.9% |
| Avg. Win | 2.86% | 2.78% |
| Avg. Loss | -3.0% | -3.04% |
| Win/Loss Ratio | 0.95 | 0.91 |
| Profit Ratio | 0.44 | 0.42 |
| Expected Daily | 0.89% | 0.8% |
| Expected Monthly | 0.89% | 0.8% |
| Expected Yearly | 10.72% | 9.69% |
| Kelly Criterion | 32.46% | 31.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.91% | -5.91% |
| Expected Shortfall (cVaR) | -8.53% | -9.14% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.82 | 0.77 |
| Gain/Pain (1M) | 0.82 | 0.77 |
| Payoff Ratio | 0.95 | 0.91 |
| Profit Factor | 1.82 | 1.77 |
| Common Sense Ratio | 1.84 | 1.94 |
| CPC Index | 1.17 | 1.09 |
| Tail Ratio | 1.01 | 1.09 |
| Outlier Win Ratio | 3.3 | 3.12 |
| Outlier Loss Ratio | 2.7 | 3.06 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | -8.18% |
| 6M | 8.94% | -12.19% |
| YTD | 8.94% | -12.19% |
| 1Y | 20.92% | -2.53% |
| 3Y (ann.) | 18.77% | 8.46% |
| 5Y (ann.) | 12.51% | 6.79% |
| 10Y (ann.) | 15.13% | 11.42% |
| All-time (ann.) | 11.17% | 10.09% |
| Best Day | 12.7% | 11.1% |
| Worst Day | -16.52% | -24.31% |
| Best Month | 12.7% | 11.1% |
| Worst Month | -16.52% | -24.31% |
| Best Year | 32.31% | 34.67% |
| Worst Year | -36.79% | -25.45% |
| Avg. Drawdown | -5.71% | -6.67% |
| Avg. Drawdown Days | 102 | 119 |
| Recovery Factor | 5.32 | 5.33 |
| Ulcer Index | 0.11 | 0.11 |
| Serenity Index | 3.02 | 3.01 |
| Avg. Up Month | 2.86% | 2.78% |
| Avg. Down Month | -3.0% | -3.04% |
| Win Days | 67.03% | 67.15% |
| Win Month | 67.03% | 67.15% |
| Win Quarter | 74.19% | 68.82% |
| Win Year | 87.5% | 83.33% |
| Beta | - | 0.18 |
| Alpha | - | 0.09 |
| Correlation | - | 18.28% |
| Treynor Ratio | - | 4545.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2003 | 14.96 | 14.96 | 1.00 | - |
| 2004 | 10.70 | 7.50 | 0.70 | - |
| 2005 | 4.83 | 2.30 | 0.48 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 9.91 | 1.93 | + |
| 2008 | -36.79 | 8.78 | -0.24 | + |
| 2009 | 26.35 | -25.45 | -0.97 | - |
| 2010 | 15.06 | 34.67 | 2.30 | + |
| 2011 | 1.89 | -10.83 | -5.72 | - |
| 2012 | 15.99 | 11.67 | 0.73 | - |
| 2013 | 32.31 | 17.31 | 0.54 | - |
| 2014 | 13.46 | 7.50 | 0.56 | - |
| 2015 | 1.23 | 17.34 | 14.04 | + |
| 2016 | 12.00 | 28.79 | 2.40 | + |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | 7.88 | -1.72 | + |
| 2019 | 31.22 | 4.91 | 0.16 | - |
| 2020 | 18.33 | 22.17 | 1.21 | + |
| 2021 | 28.73 | 27.73 | 0.97 | - |
| 2022 | -18.18 | -5.11 | 0.28 | + |
| 2023 | 26.18 | 4.79 | 0.18 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 17.72 | 1.00 | + |
| 2026 | 8.94 | -12.19 | -1.36 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-12-31 | 2011-03-31 | -46.34 | 821 |
| 2022-07-31 | 2024-04-30 | -21.45 | 640 |
| 2011-05-31 | 2013-02-28 | -19.02 | 640 |
| 2026-02-28 | 2026-07-31 | -15.97 | 154 |
| 2007-11-30 | 2008-09-30 | -15.48 | 306 |
| 2019-05-31 | 2019-11-30 | -9.98 | 184 |
| 2022-01-31 | 2022-03-31 | -9.71 | 60 |
| 2013-07-31 | 2013-11-30 | -8.36 | 123 |
| 2020-01-31 | 2020-02-29 | -7.95 | 30 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |