| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 198.68% |
| CAGR﹪ | 14.19% | 6.36% |
| Sharpe | 0.97 | 0.74 |
| Prob. Sharpe Ratio | 99.99% | 99.85% |
| Smart Sharpe | 0.87 | 0.66 |
| Sortino | 1.58 | 1.14 |
| Smart Sortino | 1.42 | 1.03 |
| Sortino/√2 | 1.12 | 0.81 |
| Smart Sortino/√2 | 1.0 | 0.73 |
| Omega | 2.02 | 1.79 |
| Max Drawdown | -23.93% | -27.33% |
| 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 | 2024-01-31 |
| Longest DD Days | 669 | 731 |
| Volatility (ann.) | 14.97% | 8.95% |
| R^2 | 0.38 | 0.38 |
| Information Ratio | -0.19 | -0.19 |
| Calmar | 0.59 | 0.23 |
| Skew | -0.37 | -0.35 |
| Kurtosis | 0.43 | 1.95 |
| Ulcer Performance Index | 162.39 | 35.59 |
| Risk-Adjusted Return | 1523.54% | 264.93% |
| Risk-Return Ratio | 0.28 | 0.21 |
| Avg. Return | 1.21% | 0.56% |
| Avg. Win | 3.76% | 1.96% |
| Avg. Loss | -3.79% | -2.47% |
| Win/Loss Ratio | 0.99 | 0.79 |
| Profit Ratio | 0.44 | 0.51 |
| Expected Daily | 1.11% | 0.52% |
| Expected Monthly | 1.11% | 0.52% |
| Expected Yearly | 13.2% | 5.93% |
| Kelly Criterion | 35.6% | 21.46% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -3.7% |
| Expected Shortfall (cVaR) | -8.11% | -5.64% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.02 | 0.79 |
| Gain/Pain (1M) | 1.02 | 0.79 |
| Payoff Ratio | 0.99 | 0.79 |
| Profit Factor | 2.02 | 1.79 |
| Common Sense Ratio | 2.35 | 2.12 |
| CPC Index | 1.36 | 0.92 |
| Tail Ratio | 1.16 | 1.19 |
| Outlier Win Ratio | 3.09 | 3.46 |
| Outlier Loss Ratio | 2.49 | 3.3 |
| MTD | -1.05% | -1.14% |
| 3M | 13.91% | 6.65% |
| 6M | 8.94% | 4.61% |
| YTD | 8.94% | 4.61% |
| 1Y | 20.92% | 11.5% |
| 3Y (ann.) | 18.77% | 12.81% |
| 5Y (ann.) | 12.51% | 7.12% |
| 10Y (ann.) | 15.13% | 6.11% |
| All-time (ann.) | 14.19% | 6.36% |
| Best Day | 12.7% | 8.85% |
| Worst Day | -12.49% | -9.24% |
| Best Month | 12.7% | 8.85% |
| Worst Month | -12.49% | -9.24% |
| Best Year | 32.31% | 24.98% |
| Worst Year | -18.18% | -21.83% |
| Avg. Drawdown | -6.07% | -3.65% |
| Avg. Drawdown Days | 72 | 114 |
| Recovery Factor | 10.73 | 4.27 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 11.83 | 3.21 |
| Avg. Up Month | 3.76% | 1.96% |
| Avg. Down Month | -3.79% | -2.47% |
| Win Days | 67.92% | 65.26% |
| Win Month | 67.92% | 65.26% |
| Win Quarter | 76.39% | 72.22% |
| Win Year | 84.21% | 78.95% |
| Beta | - | 0.37 |
| Alpha | - | 0.01 |
| Correlation | - | 62.04% |
| Treynor Ratio | - | 536.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 11.98 | -1.98 | + |
| 2009 | 26.35 | -5.14 | -0.19 | - |
| 2010 | 15.06 | 8.29 | 0.55 | - |
| 2011 | 1.89 | 9.15 | 4.83 | + |
| 2012 | 15.99 | 6.63 | 0.41 | - |
| 2013 | 32.31 | 8.60 | 0.27 | - |
| 2014 | 13.46 | 8.59 | 0.64 | - |
| 2015 | 1.23 | -1.06 | -0.86 | - |
| 2016 | 12.00 | 2.37 | 0.20 | - |
| 2017 | 21.71 | 10.85 | 0.50 | - |
| 2018 | -4.57 | -8.41 | 1.84 | - |
| 2019 | 31.22 | 14.74 | 0.47 | - |
| 2020 | 18.33 | 7.22 | 0.39 | - |
| 2021 | 28.73 | 11.23 | 0.39 | - |
| 2022 | -18.18 | -21.83 | 1.20 | - |
| 2023 | 26.18 | 24.98 | 0.95 | - |
| 2024 | 24.89 | 20.75 | 0.83 | - |
| 2025 | 17.72 | 8.95 | 0.51 | - |
| 2026 | 8.94 | 4.61 | 0.52 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -27.33 | 731 |
| 2018-10-31 | 2019-07-31 | -10.98 | 274 |
| 2009-01-31 | 2010-05-31 | -7.67 | 486 |
| 2024-12-31 | 2025-06-30 | -6.32 | 182 |
| 2018-02-28 | 2018-07-31 | -5.49 | 154 |
| 2016-08-31 | 2017-04-30 | -4.60 | 243 |
| 2013-05-31 | 2013-09-30 | -4.55 | 123 |
| 2015-02-28 | 2016-05-31 | -4.08 | 459 |
| 2024-04-30 | 2024-04-30 | -4.03 | 1 |
| 2021-09-30 | 2021-11-30 | -3.72 | 62 |