| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 780.48% | 242.9% |
| CAGR﹪ | 12.97% | 7.15% |
| Sharpe | 0.87 | 0.78 |
| Prob. Sharpe Ratio | 99.97% | 99.91% |
| Smart Sharpe | 0.78 | 0.7 |
| Sortino | 1.35 | 1.22 |
| Smart Sortino | 1.22 | 1.1 |
| Sortino/√2 | 0.96 | 0.86 |
| Smart Sortino/√2 | 0.86 | 0.78 |
| Omega | 1.9 | 1.85 |
| Max Drawdown | -35.74% | -27.34% |
| 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 | 2024-01-31 |
| Longest DD Days | 669 | 731 |
| Volatility (ann.) | 15.52% | 9.49% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 0.36 | 0.26 |
| Skew | -0.57 | -0.38 |
| Kurtosis | 1.09 | 2.44 |
| Ulcer Performance Index | 103.76 | 41.72 |
| Risk-Adjusted Return | 1195.6% | 326.77% |
| Risk-Return Ratio | 0.25 | 0.22 |
| Avg. Return | 1.13% | 0.62% |
| Avg. Win | 3.65% | 2.03% |
| Avg. Loss | -3.99% | -2.46% |
| Win/Loss Ratio | 0.91 | 0.82 |
| Profit Ratio | 0.43 | 0.48 |
| Expected Daily | 1.02% | 0.58% |
| Expected Monthly | 1.02% | 0.58% |
| Expected Yearly | 12.13% | 6.7% |
| Kelly Criterion | 32.14% | 25.55% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.89% |
| Expected Shortfall (cVaR) | -9.01% | -5.71% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.9 | 0.85 |
| Gain/Pain (1M) | 0.9 | 0.85 |
| Payoff Ratio | 0.91 | 0.82 |
| Profit Factor | 1.9 | 1.85 |
| Common Sense Ratio | 2.2 | 2.35 |
| CPC Index | 1.17 | 1.01 |
| Tail Ratio | 1.16 | 1.27 |
| Outlier Win Ratio | 3.09 | 4.0 |
| Outlier Loss Ratio | 2.72 | 3.38 |
| MTD | -1.05% | -1.15% |
| 3M | 13.91% | 10.49% |
| 6M | 8.94% | 7.45% |
| YTD | 8.94% | 7.45% |
| 1Y | 20.92% | 17.44% |
| 3Y (ann.) | 18.77% | 16.42% |
| 5Y (ann.) | 12.51% | 8.49% |
| 10Y (ann.) | 15.13% | 6.94% |
| All-time (ann.) | 12.97% | 7.15% |
| Best Day | 12.7% | 9.13% |
| Worst Day | -16.52% | -11.05% |
| Best Month | 12.7% | 9.13% |
| Worst Month | -16.52% | -11.05% |
| Best Year | 32.31% | 26.18% |
| Worst Year | -21.57% | -23.55% |
| Avg. Drawdown | -6.69% | -3.55% |
| Avg. Drawdown Days | 84 | 92 |
| Recovery Factor | 6.72 | 4.81 |
| Ulcer Index | 0.08 | 0.06 |
| Serenity Index | 6.7 | 3.38 |
| Avg. Up Month | 3.65% | 2.03% |
| Avg. Down Month | -3.99% | -2.46% |
| Win Days | 67.61% | 66.36% |
| Win Month | 67.61% | 66.36% |
| Win Quarter | 76.39% | 70.83% |
| Win Year | 84.21% | 78.95% |
| Beta | - | 0.39 |
| Alpha | - | 0.02 |
| Correlation | - | 64.51% |
| Treynor Ratio | - | 615.67% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -21.57 | 9.49 | -0.44 | + |
| 2009 | 26.35 | -4.99 | -0.19 | - |
| 2010 | 15.06 | 8.65 | 0.57 | - |
| 2011 | 1.89 | 12.34 | 6.51 | + |
| 2012 | 15.99 | 6.24 | 0.39 | - |
| 2013 | 32.31 | 11.12 | 0.34 | - |
| 2014 | 13.46 | 10.48 | 0.78 | - |
| 2015 | 1.23 | -0.09 | -0.07 | - |
| 2016 | 12.00 | 2.45 | 0.20 | - |
| 2017 | 21.71 | 14.31 | 0.66 | - |
| 2018 | -4.57 | -5.73 | 1.25 | - |
| 2019 | 31.22 | 12.98 | 0.42 | - |
| 2020 | 18.33 | 4.46 | 0.24 | - |
| 2021 | 28.73 | 9.31 | 0.32 | - |
| 2022 | -18.18 | -23.55 | 1.30 | - |
| 2023 | 26.18 | 26.18 | 1.00 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 12.40 | 0.70 | - |
| 2026 | 8.94 | 7.45 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -27.34 | 731 |
| 2018-10-31 | 2019-07-31 | -10.26 | 274 |
| 2025-02-28 | 2025-05-31 | -6.92 | 93 |
| 2009-01-31 | 2010-05-31 | -6.66 | 486 |
| 2020-02-29 | 2020-06-30 | -5.07 | 123 |
| 2016-08-31 | 2017-03-31 | -4.68 | 213 |
| 2018-02-28 | 2018-06-30 | -4.41 | 123 |
| 2024-04-30 | 2024-04-30 | -4.03 | 1 |
| 2021-09-30 | 2021-11-30 | -4.01 | 62 |
| 2026-03-31 | 2026-03-31 | -3.93 | 1 |