| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 191.39% |
| CAGR﹪ | 14.19% | 6.21% |
| Sharpe | 0.97 | 0.97 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.89 | 0.9 |
| Sortino | 1.58 | 1.58 |
| Smart Sortino | 1.46 | 1.47 |
| Sortino/√2 | 1.12 | 1.12 |
| Smart Sortino/√2 | 1.03 | 1.04 |
| Omega | 2.02 | 2.09 |
| Max Drawdown | -23.93% | -17.57% |
| 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 | 2024-08-31 |
| Longest DD Days | 669 | 944 |
| Volatility (ann.) | 14.97% | 6.41% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 0.59 | 0.35 |
| Skew | -0.37 | -0.31 |
| Kurtosis | 0.43 | 1.69 |
| Ulcer Performance Index | 162.39 | 42.49 |
| Risk-Adjusted Return | 1523.54% | 254.42% |
| Risk-Return Ratio | 0.28 | 0.28 |
| Avg. Return | 1.21% | 0.53% |
| Avg. Win | 3.81% | 1.48% |
| Avg. Loss | -3.91% | -2.14% |
| Win/Loss Ratio | 0.97 | 0.69 |
| Profit Ratio | 0.44 | 0.35 |
| Expected Daily | 1.11% | 0.5% |
| Expected Monthly | 1.11% | 0.5% |
| Expected Yearly | 13.2% | 5.79% |
| Kelly Criterion | 35.02% | 28.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -2.52% |
| Expected Shortfall (cVaR) | -8.11% | -3.72% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.02 | 1.09 |
| Gain/Pain (1M) | 1.02 | 1.09 |
| Payoff Ratio | 0.97 | 0.69 |
| Profit Factor | 2.02 | 2.09 |
| Common Sense Ratio | 2.35 | 2.26 |
| CPC Index | 1.34 | 1.02 |
| Tail Ratio | 1.16 | 1.08 |
| Outlier Win Ratio | 3.09 | 3.19 |
| Outlier Loss Ratio | 2.49 | 2.9 |
| MTD | -1.05% | -1.14% |
| 3M | 13.91% | 3.52% |
| 6M | 8.94% | 2.25% |
| YTD | 8.94% | 2.25% |
| 1Y | 20.92% | 7.39% |
| 3Y (ann.) | 18.77% | 7.64% |
| 5Y (ann.) | 12.51% | 2.25% |
| 10Y (ann.) | 15.13% | 4.35% |
| All-time (ann.) | 14.19% | 6.21% |
| Best Day | 12.7% | 7.22% |
| Worst Day | -12.49% | -5.99% |
| Best Month | 12.7% | 7.22% |
| Worst Month | -12.49% | -5.99% |
| Best Year | 32.31% | 13.96% |
| Worst Year | -18.18% | -15.8% |
| Avg. Drawdown | -6.07% | -2.31% |
| Avg. Drawdown Days | 72 | 82 |
| Recovery Factor | 10.73 | 6.31 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 11.83 | 3.56 |
| Avg. Up Month | 3.81% | 1.48% |
| Avg. Down Month | -3.91% | -2.14% |
| Win Days | 67.92% | 70.89% |
| Win Month | 67.92% | 70.89% |
| Win Quarter | 76.39% | 76.39% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.24 |
| Alpha | - | 0.03 |
| Correlation | - | 55.72% |
| Treynor Ratio | - | 802.24% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 10.85 | -1.79 | + |
| 2009 | 26.35 | 1.42 | 0.05 | - |
| 2010 | 15.06 | 11.58 | 0.77 | - |
| 2011 | 1.89 | 13.41 | 7.08 | + |
| 2012 | 15.99 | 7.18 | 0.45 | - |
| 2013 | 32.31 | 3.89 | 0.12 | - |
| 2014 | 13.46 | 10.57 | 0.78 | - |
| 2015 | 1.23 | 1.59 | 1.29 | + |
| 2016 | 12.00 | 4.30 | 0.36 | - |
| 2017 | 21.71 | 8.14 | 0.38 | - |
| 2018 | -4.57 | -0.12 | 0.03 | + |
| 2019 | 31.22 | 13.96 | 0.45 | - |
| 2020 | 18.33 | 11.49 | 0.63 | - |
| 2021 | 28.73 | 2.84 | 0.10 | - |
| 2022 | -18.18 | -15.80 | 0.87 | + |
| 2023 | 26.18 | 9.35 | 0.36 | - |
| 2024 | 24.89 | 6.67 | 0.27 | - |
| 2025 | 17.72 | 10.80 | 0.61 | - |
| 2026 | 8.94 | 2.25 | 0.25 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-08-31 | -17.57 | 944 |
| 2009-01-31 | 2009-07-31 | -8.19 | 182 |
| 2013-05-31 | 2013-12-31 | -4.35 | 215 |
| 2016-08-31 | 2017-03-31 | -3.93 | 213 |
| 2021-01-31 | 2021-05-31 | -3.36 | 121 |
| 2026-03-31 | 2026-04-30 | -3.30 | 31 |
| 2018-09-30 | 2018-12-31 | -2.86 | 93 |
| 2009-12-31 | 2010-03-31 | -2.79 | 91 |
| 2024-10-31 | 2025-01-31 | -2.65 | 93 |
| 2018-02-28 | 2018-07-31 | -2.42 | 154 |