| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 330.62% |
| CAGR﹪ | 14.74% | 8.66% |
| Sharpe | 1.0 | 0.73 |
| Prob. Sharpe Ratio | 100.0% | 99.83% |
| Smart Sharpe | 0.97 | 0.71 |
| Sortino | 1.65 | 1.13 |
| Smart Sortino | 1.59 | 1.09 |
| Sortino/√2 | 1.17 | 0.8 |
| Smart Sortino/√2 | 1.13 | 0.77 |
| Omega | 2.07 | 1.75 |
| Max Drawdown | -23.93% | -19.45% |
| Max DD Date | 2022-09-30 | 2020-03-31 |
| Max DD Period Start | 2022-01-31 | 2020-01-31 |
| Max DD Period End | 2023-11-30 | 2020-11-30 |
| Longest DD Days | 669 | 731 |
| Volatility (ann.) | 14.92% | 12.43% |
| R^2 | 0.66 | 0.66 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 0.62 | 0.45 |
| Skew | -0.37 | -0.45 |
| Kurtosis | 0.47 | 1.09 |
| Ulcer Performance Index | 181.23 | 48.9 |
| Risk-Adjusted Return | 1695.98% | 471.88% |
| Risk-Return Ratio | 0.29 | 0.21 |
| Avg. Return | 1.25% | 0.76% |
| Avg. Win | 3.55% | 2.7% |
| Avg. Loss | -3.59% | -3.46% |
| Win/Loss Ratio | 0.99 | 0.78 |
| Profit Ratio | 0.45 | 0.38 |
| Expected Daily | 1.15% | 0.69% |
| Expected Monthly | 1.15% | 0.69% |
| Expected Yearly | 14.38% | 8.45% |
| Kelly Criterion | 35.83% | 27.65% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -5.14% |
| Expected Shortfall (cVaR) | -8.19% | -7.19% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 1.07 | 0.75 |
| Gain/Pain (1M) | 1.07 | 0.75 |
| Payoff Ratio | 0.99 | 0.78 |
| Profit Factor | 2.07 | 1.75 |
| Common Sense Ratio | 2.52 | 1.79 |
| CPC Index | 1.4 | 0.93 |
| Tail Ratio | 1.21 | 1.02 |
| Outlier Win Ratio | 3.08 | 3.42 |
| Outlier Loss Ratio | 2.52 | 2.73 |
| MTD | -1.05% | -0.76% |
| 3M | 13.91% | 9.0% |
| 6M | 8.94% | 10.31% |
| YTD | 8.94% | 10.31% |
| 1Y | 20.92% | 20.8% |
| 3Y (ann.) | 18.77% | 16.89% |
| 5Y (ann.) | 12.51% | 10.29% |
| 10Y (ann.) | 15.13% | 10.68% |
| All-time (ann.) | 14.74% | 8.66% |
| Best Day | 12.7% | 10.91% |
| Worst Day | -12.49% | -12.49% |
| Best Month | 12.7% | 10.91% |
| Worst Month | -12.49% | -12.49% |
| Best Year | 32.31% | 28.73% |
| Worst Year | -18.18% | -11.29% |
| Avg. Drawdown | -5.74% | -6.27% |
| Avg. Drawdown Days | 66 | 125 |
| Recovery Factor | 10.98 | 8.23 |
| Ulcer Index | 0.06 | 0.07 |
| Serenity Index | 13.13 | 5.66 |
| Avg. Up Month | 3.55% | 2.7% |
| Avg. Down Month | -3.59% | -3.46% |
| Win Days | 68.1% | 68.25% |
| Win Month | 68.1% | 68.25% |
| Win Quarter | 77.46% | 74.65% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.67 |
| Alpha | - | -0.01 |
| Correlation | - | 80.96% |
| Treynor Ratio | - | 489.97% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 8.28 | 0.31 | - |
| 2010 | 15.06 | 5.68 | 0.38 | - |
| 2011 | 1.89 | 0.67 | 0.36 | - |
| 2012 | 15.99 | 11.22 | 0.70 | - |
| 2013 | 32.31 | 16.57 | 0.51 | - |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | -6.82 | -5.53 | - |
| 2016 | 12.00 | 5.76 | 0.48 | - |
| 2017 | 21.71 | 19.70 | 0.91 | - |
| 2018 | -4.57 | -7.12 | 1.56 | - |
| 2019 | 31.22 | 17.54 | 0.56 | - |
| 2020 | 18.33 | 2.43 | 0.13 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -11.29 | 0.62 | + |
| 2023 | 26.18 | 7.07 | 0.27 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 14.39 | 0.81 | - |
| 2026 | 8.94 | 10.31 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-31 | 2020-11-30 | -19.45 | 305 |
| 2011-05-31 | 2012-01-31 | -17.23 | 246 |
| 2022-01-31 | 2024-01-31 | -16.06 | 731 |
| 2010-04-30 | 2010-11-30 | -15.24 | 215 |
| 2015-08-31 | 2017-01-31 | -14.37 | 520 |
| 2018-10-31 | 2019-11-30 | -14.32 | 396 |
| 2026-03-31 | 2026-04-30 | -7.92 | 31 |
| 2025-02-28 | 2025-05-31 | -7.58 | 93 |
| 2012-04-30 | 2012-12-31 | -6.74 | 246 |
| 2013-05-31 | 2013-09-30 | -5.97 | 123 |