| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 192.37% |
| CAGR﹪ | 14.19% | 6.23% |
| Sharpe | 0.97 | 0.85 |
| Prob. Sharpe Ratio | 99.99% | 99.98% |
| Smart Sharpe | 0.87 | 0.77 |
| Sortino | 1.58 | 1.39 |
| Smart Sortino | 1.43 | 1.25 |
| Sortino/√2 | 1.12 | 0.98 |
| Smart Sortino/√2 | 1.01 | 0.89 |
| Omega | 2.02 | 1.92 |
| Max Drawdown | -23.93% | -19.71% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2025-05-31 |
| Longest DD Days | 669 | 1217 |
| Volatility (ann.) | 14.97% | 7.42% |
| R^2 | 0.4 | 0.4 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 0.59 | 0.32 |
| Skew | -0.37 | -0.17 |
| Kurtosis | 0.43 | 1.56 |
| Ulcer Performance Index | 162.39 | 37.18 |
| Risk-Adjusted Return | 1523.54% | 255.83% |
| Risk-Return Ratio | 0.28 | 0.25 |
| Avg. Return | 1.21% | 0.54% |
| Avg. Win | 3.82% | 1.77% |
| Avg. Loss | -4.38% | -2.3% |
| Win/Loss Ratio | 0.87 | 0.77 |
| Profit Ratio | 0.44 | 0.52 |
| Expected Daily | 1.11% | 0.5% |
| Expected Monthly | 1.11% | 0.5% |
| Expected Yearly | 13.2% | 5.81% |
| Kelly Criterion | 31.16% | 21.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -2.99% |
| Expected Shortfall (cVaR) | -8.11% | -4.32% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.02 | 0.92 |
| Gain/Pain (1M) | 1.02 | 0.92 |
| Payoff Ratio | 0.87 | 0.77 |
| Profit Factor | 2.02 | 1.92 |
| Common Sense Ratio | 2.35 | 2.03 |
| CPC Index | 1.2 | 0.97 |
| Tail Ratio | 1.16 | 1.06 |
| Outlier Win Ratio | 3.09 | 3.12 |
| Outlier Loss Ratio | 2.49 | 2.88 |
| MTD | -1.05% | -1.13% |
| 3M | 13.91% | 3.04% |
| 6M | 8.94% | 2.34% |
| YTD | 8.94% | 2.34% |
| 1Y | 20.92% | 6.52% |
| 3Y (ann.) | 18.77% | 6.91% |
| 5Y (ann.) | 12.51% | 1.62% |
| 10Y (ann.) | 15.13% | 3.89% |
| All-time (ann.) | 14.19% | 6.23% |
| Best Day | 12.7% | 8.53% |
| Worst Day | -12.49% | -6.68% |
| Best Month | 12.7% | 8.53% |
| Worst Month | -12.49% | -6.68% |
| Best Year | 32.31% | 16.99% |
| Worst Year | -18.18% | -17.19% |
| Avg. Drawdown | -6.07% | -2.97% |
| Avg. Drawdown Days | 72 | 115 |
| Recovery Factor | 10.73 | 5.7 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 11.83 | 3.25 |
| Avg. Up Month | 3.82% | 1.77% |
| Avg. Down Month | -4.38% | -2.3% |
| Win Days | 67.92% | 65.73% |
| Win Month | 67.92% | 65.73% |
| Win Quarter | 76.39% | 76.39% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.31 |
| Alpha | - | 0.02 |
| Correlation | - | 62.9% |
| Treynor Ratio | - | 617.5% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 10.51 | -1.74 | + |
| 2009 | 26.35 | 6.02 | 0.23 | - |
| 2010 | 15.06 | 12.03 | 0.80 | - |
| 2011 | 1.89 | 11.90 | 6.28 | + |
| 2012 | 15.99 | 9.32 | 0.58 | - |
| 2013 | 32.31 | 1.14 | 0.04 | - |
| 2014 | 13.46 | 11.95 | 0.89 | - |
| 2015 | 1.23 | 0.79 | 0.64 | - |
| 2016 | 12.00 | 5.68 | 0.47 | - |
| 2017 | 21.71 | 7.36 | 0.34 | - |
| 2018 | -4.57 | -2.14 | 0.47 | + |
| 2019 | 31.22 | 16.99 | 0.54 | - |
| 2020 | 18.33 | 9.04 | 0.49 | - |
| 2021 | 28.73 | 4.99 | 0.17 | - |
| 2022 | -18.18 | -17.19 | 0.95 | + |
| 2023 | 26.18 | 10.48 | 0.40 | - |
| 2024 | 24.89 | 5.04 | 0.20 | - |
| 2025 | 17.72 | 9.09 | 0.51 | - |
| 2026 | 8.94 | 2.34 | 0.26 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-05-31 | -19.71 | 1217 |
| 2009-01-31 | 2009-06-30 | -9.40 | 151 |
| 2013-05-31 | 2014-01-31 | -6.23 | 246 |
| 2016-08-31 | 2017-06-30 | -5.37 | 304 |
| 2020-02-29 | 2020-04-30 | -4.94 | 62 |
| 2015-02-28 | 2016-02-29 | -4.69 | 367 |
| 2018-01-31 | 2018-07-31 | -3.68 | 182 |
| 2026-03-31 | 2026-04-30 | -3.25 | 31 |
| 2018-09-30 | 2018-12-31 | -2.91 | 93 |
| 2021-01-31 | 2021-04-30 | -2.71 | 90 |