| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 780.48% | 180.81% |
| CAGR﹪ | 12.97% | 5.96% |
| Sharpe | 0.87 | 0.87 |
| Prob. Sharpe Ratio | 99.97% | 99.97% |
| Smart Sharpe | 0.79 | 0.79 |
| Sortino | 1.35 | 1.35 |
| Smart Sortino | 1.24 | 1.23 |
| Sortino/√2 | 0.96 | 0.96 |
| Smart Sortino/√2 | 0.87 | 0.87 |
| Omega | 1.9 | 1.94 |
| Max Drawdown | -35.74% | -20.29% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2008-10-31 | 2022-01-31 |
| Max DD Period End | 2010-02-28 | 2025-07-31 |
| Longest DD Days | 669 | 1278 |
| Volatility (ann.) | 15.52% | 6.98% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.36 | 0.29 |
| Skew | -0.57 | -0.53 |
| Kurtosis | 1.09 | 1.73 |
| Ulcer Performance Index | 103.76 | 33.45 |
| Risk-Adjusted Return | 1195.6% | 237.32% |
| Risk-Return Ratio | 0.25 | 0.25 |
| Avg. Return | 1.13% | 0.51% |
| Avg. Win | 3.85% | 1.64% |
| Avg. Loss | -4.4% | -2.14% |
| Win/Loss Ratio | 0.88 | 0.77 |
| Profit Ratio | 0.43 | 0.5 |
| Expected Daily | 1.02% | 0.48% |
| Expected Monthly | 1.02% | 0.48% |
| Expected Yearly | 12.13% | 5.58% |
| Kelly Criterion | 30.62% | 22.54% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -2.81% |
| Expected Shortfall (cVaR) | -9.01% | -4.33% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.9 | 0.94 |
| Gain/Pain (1M) | 0.9 | 0.94 |
| Payoff Ratio | 0.88 | 0.77 |
| Profit Factor | 1.9 | 1.94 |
| Common Sense Ratio | 2.2 | 2.11 |
| CPC Index | 1.12 | 0.99 |
| Tail Ratio | 1.16 | 1.09 |
| Outlier Win Ratio | 3.09 | 3.23 |
| Outlier Loss Ratio | 2.72 | 3.41 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 4.1% |
| 6M | 8.94% | 2.5% |
| YTD | 8.94% | 2.5% |
| 1Y | 20.92% | 8.28% |
| 3Y (ann.) | 18.77% | 7.63% |
| 5Y (ann.) | 12.51% | 1.59% |
| 10Y (ann.) | 15.13% | 4.3% |
| All-time (ann.) | 12.97% | 5.96% |
| Best Day | 12.7% | 6.49% |
| Worst Day | -16.52% | -6.68% |
| Best Month | 12.7% | 6.49% |
| Worst Month | -16.52% | -6.68% |
| Best Year | 32.31% | 14.91% |
| Worst Year | -21.57% | -17.47% |
| Avg. Drawdown | -6.69% | -2.38% |
| Avg. Drawdown Days | 84 | 82 |
| Recovery Factor | 6.72 | 5.31 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 6.7 | 2.81 |
| Avg. Up Month | 3.85% | 1.64% |
| Avg. Down Month | -4.4% | -2.14% |
| Win Days | 67.61% | 66.36% |
| Win Month | 67.61% | 66.36% |
| Win Quarter | 76.39% | 75.0% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.29 |
| Alpha | - | 0.02 |
| Correlation | - | 64.72% |
| Treynor Ratio | - | 621.45% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -21.57 | 3.52 | -0.16 | + |
| 2009 | 26.35 | 3.37 | 0.13 | - |
| 2010 | 15.06 | 12.56 | 0.83 | - |
| 2011 | 1.89 | 13.20 | 6.96 | + |
| 2012 | 15.99 | 7.08 | 0.44 | - |
| 2013 | 32.31 | 4.54 | 0.14 | - |
| 2014 | 13.46 | 10.77 | 0.80 | - |
| 2015 | 1.23 | 1.77 | 1.44 | + |
| 2016 | 12.00 | 4.86 | 0.40 | - |
| 2017 | 21.71 | 8.96 | 0.41 | - |
| 2018 | -4.57 | -0.55 | 0.12 | + |
| 2019 | 31.22 | 14.91 | 0.48 | - |
| 2020 | 18.33 | 12.24 | 0.67 | - |
| 2021 | 28.73 | 3.64 | 0.13 | - |
| 2022 | -18.18 | -17.47 | 0.96 | + |
| 2023 | 26.18 | 8.00 | 0.31 | - |
| 2024 | 24.89 | 4.83 | 0.19 | - |
| 2025 | 17.72 | 12.18 | 0.69 | - |
| 2026 | 8.94 | 2.50 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-07-31 | -20.29 | 1278 |
| 2009-01-31 | 2009-07-31 | -9.49 | 182 |
| 2008-10-31 | 2008-11-30 | -6.46 | 31 |
| 2013-05-31 | 2013-10-31 | -4.22 | 154 |
| 2016-08-31 | 2017-03-31 | -3.64 | 213 |
| 2026-03-31 | 2026-03-31 | -3.43 | 1 |
| 2018-09-30 | 2018-12-31 | -3.12 | 93 |
| 2021-01-31 | 2021-05-31 | -3.03 | 121 |
| 2018-02-28 | 2018-06-30 | -2.49 | 123 |
| 2009-12-31 | 2010-02-28 | -2.45 | 60 |