| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 346.05% | 125.58% |
| CAGR﹪ | 13.57% | 7.17% |
| Sharpe | 0.93 | 0.93 |
| Prob. Sharpe Ratio | 99.89% | 99.93% |
| Smart Sharpe | 0.84 | 0.84 |
| Sortino | 1.52 | 1.61 |
| Smart Sortino | 1.37 | 1.45 |
| Sortino/√2 | 1.08 | 1.14 |
| Smart Sortino/√2 | 0.97 | 1.03 |
| Omega | 1.99 | 1.96 |
| Max Drawdown | -23.93% | -12.9% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2021-11-30 |
| Max DD Period End | 2023-11-30 | 2024-06-30 |
| Longest DD Days | 669 | 944 |
| Volatility (ann.) | 14.93% | 7.76% |
| R^2 | 0.52 | 0.52 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.57 | 0.56 |
| Skew | -0.33 | -0.12 |
| Kurtosis | 0.57 | -0.33 |
| Ulcer Performance Index | 57.28 | 29.61 |
| Risk-Adjusted Return | 1347.46% | 327.97% |
| Risk-Return Ratio | 0.27 | 0.27 |
| Avg. Return | 1.16% | 0.6% |
| Avg. Win | 3.77% | 2.0% |
| Avg. Loss | -4.24% | -2.14% |
| Win/Loss Ratio | 0.89 | 0.93 |
| Profit Ratio | 0.44 | 0.67 |
| Expected Daily | 1.07% | 0.58% |
| Expected Monthly | 1.07% | 0.58% |
| Expected Yearly | 12.19% | 6.46% |
| Kelly Criterion | 32.23% | 23.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.93% | -3.08% |
| Expected Shortfall (cVaR) | -8.32% | -3.85% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 3 | 5 |
| Gain/Pain Ratio | 0.99 | 0.96 |
| Gain/Pain (1M) | 0.99 | 0.96 |
| Payoff Ratio | 0.89 | 0.93 |
| Profit Factor | 1.99 | 1.96 |
| Common Sense Ratio | 2.49 | 2.24 |
| CPC Index | 1.2 | 1.15 |
| Tail Ratio | 1.26 | 1.15 |
| Outlier Win Ratio | 3.13 | 2.75 |
| Outlier Loss Ratio | 2.46 | 2.47 |
| MTD | -1.05% | 0.56% |
| 3M | 13.91% | 6.38% |
| 6M | 8.94% | 12.32% |
| YTD | 8.94% | 12.32% |
| 1Y | 20.92% | 22.74% |
| 3Y (ann.) | 18.77% | 13.83% |
| 5Y (ann.) | 12.51% | 7.36% |
| 10Y (ann.) | 15.13% | 8.01% |
| All-time (ann.) | 13.57% | 7.17% |
| Best Day | 12.7% | 5.75% |
| Worst Day | -12.49% | -4.35% |
| Best Month | 12.7% | 5.75% |
| Worst Month | -12.49% | -4.35% |
| Best Year | 31.22% | 21.25% |
| Worst Year | -18.18% | -9.19% |
| Avg. Drawdown | -5.89% | -3.98% |
| Avg. Drawdown Days | 76 | 173 |
| Recovery Factor | 6.83 | 6.59 |
| Ulcer Index | 0.06 | 0.04 |
| Serenity Index | 7.39 | 4.57 |
| Avg. Up Month | 3.77% | 2.0% |
| Avg. Down Month | -4.24% | -2.14% |
| Win Days | 68.09% | 63.12% |
| Win Month | 68.09% | 63.12% |
| Win Quarter | 77.08% | 72.92% |
| Win Year | 84.62% | 76.92% |
| Beta | - | 0.37 |
| Alpha | - | 0.02 |
| Correlation | - | 71.83% |
| Treynor Ratio | - | 336.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2014 | 2.49 | 1.11 | 0.45 | - |
| 2015 | 1.23 | -4.22 | -3.42 | - |
| 2016 | 12.00 | 4.95 | 0.41 | - |
| 2017 | 21.71 | 14.86 | 0.68 | - |
| 2018 | -4.57 | -3.81 | 0.83 | + |
| 2019 | 31.22 | 14.54 | 0.47 | - |
| 2020 | 18.33 | 11.91 | 0.65 | - |
| 2021 | 28.73 | 12.24 | 0.43 | - |
| 2022 | -18.18 | -9.19 | 0.51 | + |
| 2023 | 26.18 | 5.86 | 0.22 | - |
| 2024 | 24.89 | 6.64 | 0.27 | - |
| 2025 | 17.72 | 21.25 | 1.20 | + |
| 2026 | 8.94 | 12.32 | 1.38 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2024-06-30 | -12.90 | 944 |
| 2015-02-28 | 2016-06-30 | -8.06 | 489 |
| 2018-02-28 | 2019-05-31 | -7.13 | 458 |
| 2020-01-31 | 2020-05-31 | -6.13 | 122 |
| 2016-08-31 | 2017-03-31 | -5.47 | 213 |
| 2024-10-31 | 2025-02-28 | -4.70 | 121 |
| 2026-03-31 | 2026-03-31 | -3.77 | 1 |
| 2020-09-30 | 2020-10-31 | -2.95 | 32 |
| 2021-09-30 | 2021-09-30 | -1.78 | 1 |
| 2026-06-30 | 2026-07-31 | -1.63 | 32 |