| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 281.78% |
| CAGR﹪ | 11.13% | 6.87% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.72 | 1.02 |
| Sortino | 1.18 | 1.96 |
| Smart Sortino | 1.1 | 1.82 |
| Sortino/√2 | 0.84 | 1.38 |
| Smart Sortino/√2 | 0.78 | 1.28 |
| Omega | 1.77 | 2.24 |
| Max Drawdown | -50.78% | -8.19% |
| Max DD Date | 2009-02-28 | 2022-06-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-06-30 |
| Longest DD Days | 1553 | 704 |
| Volatility (ann.) | 15.22% | 6.26% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.22 | 0.84 |
| Skew | -0.56 | -0.2 |
| Kurtosis | 1.09 | 0.8 |
| Ulcer Performance Index | 60.76 | 104.14 |
| Risk-Adjusted Return | 817.9% | 303.51% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.98% | 0.57% |
| Avg. Win | 3.58% | 1.56% |
| Avg. Loss | -3.79% | -1.58% |
| Win/Loss Ratio | 0.94 | 0.99 |
| Profit Ratio | 0.43 | 0.71 |
| Expected Daily | 0.88% | 0.56% |
| Expected Monthly | 0.88% | 0.56% |
| Expected Yearly | 10.67% | 6.59% |
| Kelly Criterion | 31.67% | 27.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -2.4% |
| Expected Shortfall (cVaR) | -8.99% | -3.58% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.77 | 1.24 |
| Gain/Pain (1M) | 0.77 | 1.24 |
| Payoff Ratio | 0.94 | 0.99 |
| Profit Factor | 1.77 | 2.24 |
| Common Sense Ratio | 1.89 | 3.48 |
| CPC Index | 1.12 | 1.42 |
| Tail Ratio | 1.07 | 1.55 |
| Outlier Win Ratio | 3.19 | 2.98 |
| Outlier Loss Ratio | 2.65 | 3.02 |
| MTD | -1.05% | -1.14% |
| 3M | 13.91% | -2.06% |
| 6M | 8.94% | -1.43% |
| YTD | 8.94% | -1.43% |
| 1Y | 20.92% | 8.18% |
| 3Y (ann.) | 18.77% | 8.4% |
| 5Y (ann.) | 12.51% | 5.78% |
| 10Y (ann.) | 15.13% | 6.55% |
| All-time (ann.) | 11.13% | 6.87% |
| Best Day | 12.7% | 4.96% |
| Worst Day | -16.52% | -6.8% |
| Best Month | 12.7% | 4.96% |
| Worst Month | -16.52% | -6.8% |
| Best Year | 32.31% | 18.03% |
| Worst Year | -36.79% | -6.7% |
| Avg. Drawdown | -6.45% | -2.41% |
| Avg. Drawdown Days | 110 | 96 |
| Recovery Factor | 4.67 | 16.88 |
| Ulcer Index | 0.12 | 0.03 |
| Serenity Index | 2.58 | 13.74 |
| Avg. Up Month | 3.58% | 1.56% |
| Avg. Down Month | -3.79% | -1.58% |
| Win Days | 66.8% | 64.05% |
| Win Month | 66.8% | 64.05% |
| Win Quarter | 74.39% | 70.73% |
| Win Year | 85.71% | 85.71% |
| Beta | - | 0.13 |
| Alpha | - | 0.05 |
| Correlation | - | 30.95% |
| Treynor Ratio | - | 2214.6% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 5.27 | 0.42 | - |
| 2007 | 5.15 | 12.99 | 2.52 | + |
| 2008 | -36.79 | 9.07 | -0.25 | + |
| 2009 | 26.35 | 3.43 | 0.13 | - |
| 2010 | 15.06 | 11.71 | 0.78 | - |
| 2011 | 1.89 | 12.58 | 6.64 | + |
| 2012 | 15.99 | 6.06 | 0.38 | - |
| 2013 | 32.31 | 10.00 | 0.31 | - |
| 2014 | 13.46 | 3.72 | 0.28 | - |
| 2015 | 1.23 | -3.65 | -2.96 | - |
| 2016 | 12.00 | 1.71 | 0.14 | - |
| 2017 | 21.71 | 10.60 | 0.49 | - |
| 2018 | -4.57 | 1.44 | -0.32 | + |
| 2019 | 31.22 | 11.30 | 0.36 | - |
| 2020 | 18.33 | 9.99 | 0.55 | - |
| 2021 | 28.73 | 8.08 | 0.28 | - |
| 2022 | -18.18 | -6.70 | 0.37 | + |
| 2023 | 26.18 | 5.55 | 0.21 | - |
| 2024 | 24.89 | 12.19 | 0.49 | - |
| 2025 | 17.72 | 18.03 | 1.02 | + |
| 2026 | 8.94 | -1.43 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-06-30 | -8.19 | 516 |
| 2015-02-28 | 2017-01-31 | -7.84 | 704 |
| 2018-09-30 | 2019-05-31 | -7.49 | 244 |
| 2023-08-31 | 2024-02-29 | -6.25 | 183 |
| 2008-03-31 | 2008-11-30 | -5.51 | 245 |
| 2009-12-31 | 2010-07-31 | -5.39 | 213 |
| 2026-03-31 | 2026-07-31 | -5.35 | 123 |
| 2018-02-28 | 2018-07-31 | -3.26 | 154 |
| 2021-06-30 | 2021-09-30 | -2.85 | 93 |
| 2012-10-31 | 2013-03-31 | -2.85 | 152 |