| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,022.61% | 181.81% |
| CAGR﹪ | 14.74% | 6.07% |
| Sharpe | 1.0 | 0.64 |
| Prob. Sharpe Ratio | 100.0% | 99.57% |
| Smart Sharpe | 0.95 | 0.61 |
| Sortino | 1.65 | 1.03 |
| Smart Sortino | 1.56 | 0.98 |
| Sortino/√2 | 1.17 | 0.73 |
| Smart Sortino/√2 | 1.11 | 0.69 |
| Omega | 2.07 | 1.88 |
| 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 | 854 |
| Volatility (ann.) | 14.92% | 9.98% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.22 | -0.22 |
| Calmar | 0.62 | 0.31 |
| Skew | -0.37 | -0.08 |
| Kurtosis | 0.47 | 3.91 |
| Ulcer Performance Index | 181.23 | 35.49 |
| Risk-Adjusted Return | 1695.98% | 244.66% |
| Risk-Return Ratio | 0.29 | 0.19 |
| Avg. Return | 1.25% | 0.54% |
| Avg. Win | 3.42% | 1.75% |
| Avg. Loss | -3.39% | -2.9% |
| Win/Loss Ratio | 1.01 | 0.6 |
| Profit Ratio | 0.45 | 0.19 |
| Expected Daily | 1.15% | 0.49% |
| Expected Monthly | 1.15% | 0.49% |
| Expected Yearly | 14.38% | 5.92% |
| Kelly Criterion | 36.56% | 35.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.84% | -4.21% |
| Expected Shortfall (cVaR) | -8.19% | -6.58% |
| Max Consecutive Wins | 15 | 42 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 1.07 | 0.88 |
| Gain/Pain (1M) | 1.07 | 0.88 |
| Payoff Ratio | 1.01 | 0.6 |
| Profit Factor | 2.07 | 1.88 |
| Common Sense Ratio | 2.52 | 2.36 |
| CPC Index | 1.43 | 0.86 |
| Tail Ratio | 1.21 | 1.26 |
| Outlier Win Ratio | 3.08 | 5.81 |
| Outlier Loss Ratio | 2.52 | 3.1 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | -0.36% |
| 6M | 8.94% | -4.72% |
| YTD | 8.94% | -4.72% |
| 1Y | 20.92% | -1.38% |
| 3Y (ann.) | 18.77% | 7.24% |
| 5Y (ann.) | 12.51% | 5.27% |
| 10Y (ann.) | 15.13% | 6.36% |
| All-time (ann.) | 14.74% | 6.07% |
| 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% | 17.12% |
| Worst Year | -18.18% | -7.48% |
| Avg. Drawdown | -5.74% | -5.05% |
| Avg. Drawdown Days | 66 | 147 |
| Recovery Factor | 10.98 | 5.79 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 13.13 | 4.6 |
| Avg. Up Month | 3.42% | 1.75% |
| Avg. Down Month | -3.39% | -2.9% |
| Win Days | 68.1% | 75.71% |
| Win Month | 68.1% | 75.71% |
| Win Quarter | 77.46% | 83.1% |
| Win Year | 88.89% | 88.89% |
| Beta | - | 0.43 |
| Alpha | - | -0.0 |
| Correlation | - | 64.18% |
| Treynor Ratio | - | 423.22% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2009 | 26.35 | 3.52 | 0.13 | - |
| 2010 | 15.06 | 13.82 | 0.92 | - |
| 2011 | 1.89 | 1.90 | 1.00 | + |
| 2012 | 15.99 | 10.78 | 0.67 | - |
| 2013 | 32.31 | 15.25 | 0.47 | - |
| 2014 | 13.46 | 8.24 | 0.61 | - |
| 2015 | 1.23 | -7.48 | -6.06 | - |
| 2016 | 12.00 | 6.30 | 0.53 | - |
| 2017 | 21.71 | 3.72 | 0.17 | - |
| 2018 | -4.57 | 7.48 | -1.64 | + |
| 2019 | 31.22 | 17.12 | 0.55 | - |
| 2020 | 18.33 | 0.63 | 0.03 | - |
| 2021 | 28.73 | 1.71 | 0.06 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 5.00 | 0.19 | - |
| 2024 | 24.89 | 8.18 | 0.33 | - |
| 2025 | 17.72 | 17.09 | 0.96 | - |
| 2026 | 8.94 | -4.72 | -0.53 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-01-31 | 2020-11-30 | -19.45 | 305 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 2015-08-31 | 2017-12-31 | -14.95 | 854 |
| 2010-04-30 | 2010-09-30 | -12.78 | 154 |
| 2012-04-30 | 2012-12-31 | -7.11 | 246 |
| 2009-01-31 | 2009-10-31 | -6.65 | 274 |
| 2019-05-31 | 2019-05-31 | -6.38 | 1 |
| 2026-02-28 | 2026-07-31 | -6.29 | 154 |
| 2014-12-31 | 2015-01-31 | -3.21 | 32 |
| 2024-12-31 | 2025-04-30 | -2.41 | 121 |