| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 309.15% |
| CAGR﹪ | 14.74% | 8.34% |
| Sharpe | 1.0 | 0.7 |
| Prob. Sharpe Ratio | 100.0% | 99.75% |
| Smart Sharpe | 0.96 | 0.67 |
| Sortino | 1.65 | 1.07 |
| Smart Sortino | 1.58 | 1.03 |
| Sortino/√2 | 1.17 | 0.76 |
| Smart Sortino/√2 | 1.12 | 0.73 |
| Omega | 2.07 | 1.68 |
| Max Drawdown | -23.93% | -21.53% |
| Max DD Date | 2022-09-30 | 2023-10-31 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-05-31 |
| Longest DD Days | 669 | 852 |
| Volatility (ann.) | 14.92% | 12.63% |
| R^2 | 0.71 | 0.71 |
| Information Ratio | -0.22 | -0.22 |
| Calmar | 0.62 | 0.39 |
| Skew | -0.37 | -0.43 |
| Kurtosis | 0.47 | 0.86 |
| Ulcer Performance Index | 181.23 | 41.18 |
| Risk-Adjusted Return | 1695.98% | 438.0% |
| Risk-Return Ratio | 0.29 | 0.2 |
| Avg. Return | 1.25% | 0.74% |
| Avg. Win | 3.52% | 2.84% |
| Avg. Loss | -3.83% | -3.43% |
| Win/Loss Ratio | 0.92 | 0.83 |
| Profit Ratio | 0.45 | 0.47 |
| Expected Daily | 1.15% | 0.67% |
| Expected Monthly | 1.15% | 0.67% |
| Expected Yearly | 14.38% | 8.14% |
| Kelly Criterion | 33.3% | 23.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -5.26% |
| Expected Shortfall (cVaR) | -8.19% | -7.34% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 1.07 | 0.68 |
| Gain/Pain (1M) | 1.07 | 0.68 |
| Payoff Ratio | 0.92 | 0.83 |
| Profit Factor | 2.07 | 1.68 |
| Common Sense Ratio | 2.52 | 1.72 |
| CPC Index | 1.3 | 0.91 |
| Tail Ratio | 1.21 | 1.02 |
| Outlier Win Ratio | 3.08 | 3.19 |
| Outlier Loss Ratio | 2.52 | 2.78 |
| 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% | 8.82% |
| 10Y (ann.) | 15.13% | 10.02% |
| All-time (ann.) | 14.74% | 8.34% |
| 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% | -16.96% |
| Avg. Drawdown | -5.74% | -6.54% |
| Avg. Drawdown Days | 66 | 134 |
| Recovery Factor | 10.98 | 7.22 |
| Ulcer Index | 0.06 | 0.08 |
| Serenity Index | 13.13 | 4.5 |
| Avg. Up Month | 3.52% | 2.84% |
| Avg. Down Month | -3.83% | -3.43% |
| Win Days | 68.1% | 65.4% |
| Win Month | 68.1% | 65.4% |
| Win Quarter | 77.46% | 71.83% |
| Win Year | 88.89% | 83.33% |
| Beta | - | 0.71 |
| Alpha | - | -0.02 |
| Correlation | - | 84.06% |
| Treynor Ratio | - | 434.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 8.33 | 0.32 | - |
| 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 | 6.67 | 0.56 | - |
| 2017 | 21.71 | 19.70 | 0.91 | - |
| 2018 | -4.57 | -7.12 | 1.56 | - |
| 2019 | 31.22 | 18.38 | 0.59 | - |
| 2020 | 18.33 | 2.43 | 0.13 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -16.96 | 0.93 | + |
| 2023 | 26.18 | 6.93 | 0.26 | - |
| 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 |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -21.53 | 852 |
| 2020-01-31 | 2020-11-30 | -19.45 | 305 |
| 2011-05-31 | 2012-01-31 | -17.23 | 246 |
| 2010-04-30 | 2010-11-30 | -15.24 | 215 |
| 2015-08-31 | 2017-01-31 | -14.35 | 520 |
| 2018-10-31 | 2019-11-30 | -13.70 | 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 |