| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 780.48% | 183.91% |
| CAGR﹪ | 12.97% | 6.03% |
| Sharpe | 0.87 | 0.78 |
| Prob. Sharpe Ratio | 99.97% | 99.92% |
| Smart Sharpe | 0.78 | 0.7 |
| Sortino | 1.35 | 1.23 |
| Smart Sortino | 1.22 | 1.1 |
| Sortino/√2 | 0.96 | 0.87 |
| Smart Sortino/√2 | 0.86 | 0.78 |
| Omega | 1.9 | 1.83 |
| Max Drawdown | -35.74% | -20.26% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2008-10-31 | 2022-01-31 |
| Max DD Period End | 2010-02-28 | 2025-05-31 |
| Longest DD Days | 669 | 1217 |
| Volatility (ann.) | 15.52% | 7.88% |
| R^2 | 0.46 | 0.46 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.36 | 0.3 |
| Skew | -0.57 | -0.33 |
| Kurtosis | 1.09 | 1.95 |
| Ulcer Performance Index | 103.76 | 33.67 |
| Risk-Adjusted Return | 1195.6% | 241.7% |
| Risk-Return Ratio | 0.25 | 0.23 |
| Avg. Return | 1.13% | 0.52% |
| Avg. Win | 3.79% | 1.83% |
| Avg. Loss | -4.69% | -2.45% |
| Win/Loss Ratio | 0.81 | 0.75 |
| Profit Ratio | 0.43 | 0.51 |
| Expected Daily | 1.02% | 0.49% |
| Expected Monthly | 1.02% | 0.49% |
| Expected Yearly | 12.13% | 5.65% |
| Kelly Criterion | 27.61% | 19.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.22% |
| Expected Shortfall (cVaR) | -9.01% | -4.74% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.9 | 0.83 |
| Gain/Pain (1M) | 0.9 | 0.83 |
| Payoff Ratio | 0.81 | 0.75 |
| Profit Factor | 1.9 | 1.83 |
| Common Sense Ratio | 2.2 | 1.91 |
| CPC Index | 1.04 | 0.89 |
| Tail Ratio | 1.16 | 1.04 |
| Outlier Win Ratio | 3.09 | 3.01 |
| Outlier Loss Ratio | 2.72 | 3.28 |
| MTD | -1.05% | -0.59% |
| 3M | 13.91% | 4.03% |
| 6M | 8.94% | 3.17% |
| YTD | 8.94% | 3.17% |
| 1Y | 20.92% | 7.6% |
| 3Y (ann.) | 18.77% | 7.36% |
| 5Y (ann.) | 12.51% | 1.74% |
| 10Y (ann.) | 15.13% | 4.21% |
| All-time (ann.) | 12.97% | 6.03% |
| Best Day | 12.7% | 9.11% |
| Worst Day | -16.52% | -7.47% |
| Best Month | 12.7% | 9.11% |
| Worst Month | -16.52% | -7.47% |
| Best Year | 32.31% | 17.59% |
| Worst Year | -21.57% | -17.88% |
| Avg. Drawdown | -6.69% | -3.18% |
| Avg. Drawdown Days | 84 | 109 |
| Recovery Factor | 6.72 | 5.43 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 6.7 | 3.1 |
| Avg. Up Month | 3.79% | 1.83% |
| Avg. Down Month | -4.69% | -2.45% |
| Win Days | 67.61% | 65.42% |
| Win Month | 67.61% | 65.42% |
| Win Quarter | 76.39% | 77.78% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.35 |
| Alpha | - | 0.02 |
| Correlation | - | 68.1% |
| Treynor Ratio | - | 532.1% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -21.57 | 2.79 | -0.13 | + |
| 2009 | 26.35 | 6.27 | 0.24 | - |
| 2010 | 15.06 | 12.09 | 0.80 | - |
| 2011 | 1.89 | 11.99 | 6.33 | + |
| 2012 | 15.99 | 9.22 | 0.58 | - |
| 2013 | 32.31 | 1.71 | 0.05 | - |
| 2014 | 13.46 | 12.31 | 0.91 | - |
| 2015 | 1.23 | 0.87 | 0.70 | - |
| 2016 | 12.00 | 6.01 | 0.50 | - |
| 2017 | 21.71 | 7.82 | 0.36 | - |
| 2018 | -4.57 | -2.39 | 0.52 | + |
| 2019 | 31.22 | 17.59 | 0.56 | - |
| 2020 | 18.33 | 9.92 | 0.54 | - |
| 2021 | 28.73 | 6.02 | 0.21 | - |
| 2022 | -18.18 | -17.88 | 0.98 | + |
| 2023 | 26.18 | 10.23 | 0.39 | - |
| 2024 | 24.89 | 5.24 | 0.21 | - |
| 2025 | 17.72 | 9.49 | 0.54 | - |
| 2026 | 8.94 | 3.17 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-05-31 | -20.26 | 1217 |
| 2009-01-31 | 2009-06-30 | -10.92 | 151 |
| 2008-10-31 | 2008-11-30 | -7.47 | 31 |
| 2013-05-31 | 2014-01-31 | -6.23 | 246 |
| 2020-02-29 | 2020-04-30 | -5.57 | 62 |
| 2016-08-31 | 2017-05-31 | -5.10 | 274 |
| 2015-02-28 | 2016-02-29 | -4.39 | 367 |
| 2018-01-31 | 2018-07-31 | -3.58 | 182 |
| 2026-03-31 | 2026-04-30 | -3.37 | 31 |
| 2018-09-30 | 2018-12-31 | -3.07 | 93 |