| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 177.05% |
| CAGR﹪ | 14.19% | 5.91% |
| Sharpe | 0.97 | 0.85 |
| Prob. Sharpe Ratio | 99.99% | 99.98% |
| Smart Sharpe | 0.9 | 0.79 |
| Sortino | 1.58 | 1.39 |
| Smart Sortino | 1.48 | 1.3 |
| Sortino/√2 | 1.12 | 0.98 |
| Smart Sortino/√2 | 1.04 | 0.92 |
| Omega | 2.02 | 1.89 |
| Max Drawdown | -23.93% | -18.36% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2024-08-31 |
| Longest DD Days | 669 | 1067 |
| Volatility (ann.) | 14.97% | 7.07% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 0.59 | 0.32 |
| Skew | -0.37 | -0.15 |
| Kurtosis | 0.43 | 1.07 |
| Ulcer Performance Index | 162.39 | 36.01 |
| Risk-Adjusted Return | 1523.54% | 233.87% |
| Risk-Return Ratio | 0.28 | 0.25 |
| Avg. Return | 1.21% | 0.51% |
| Avg. Win | 3.8% | 1.68% |
| Avg. Loss | -4.22% | -2.18% |
| Win/Loss Ratio | 0.9 | 0.77 |
| Profit Ratio | 0.44 | 0.56 |
| Expected Daily | 1.11% | 0.48% |
| Expected Monthly | 1.11% | 0.48% |
| Expected Yearly | 13.2% | 5.51% |
| Kelly Criterion | 32.28% | 19.15% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -2.86% |
| Expected Shortfall (cVaR) | -8.11% | -4.04% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 1.02 | 0.89 |
| Gain/Pain (1M) | 1.02 | 0.89 |
| Payoff Ratio | 0.9 | 0.77 |
| Profit Factor | 2.02 | 1.89 |
| Common Sense Ratio | 2.35 | 2.05 |
| CPC Index | 1.24 | 0.95 |
| Tail Ratio | 1.16 | 1.08 |
| Outlier Win Ratio | 3.09 | 3.02 |
| Outlier Loss Ratio | 2.49 | 2.7 |
| MTD | -1.05% | -0.98% |
| 3M | 13.91% | 4.95% |
| 6M | 8.94% | 3.77% |
| YTD | 8.94% | 3.77% |
| 1Y | 20.92% | 8.82% |
| 3Y (ann.) | 18.77% | 7.9% |
| 5Y (ann.) | 12.51% | 2.11% |
| 10Y (ann.) | 15.13% | 3.73% |
| All-time (ann.) | 14.19% | 5.91% |
| Best Day | 12.7% | 7.44% |
| Worst Day | -12.49% | -6.11% |
| Best Month | 12.7% | 7.44% |
| Worst Month | -12.49% | -6.11% |
| Best Year | 32.31% | 18.35% |
| Worst Year | -18.18% | -16.41% |
| Avg. Drawdown | -6.07% | -2.99% |
| Avg. Drawdown Days | 72 | 118 |
| Recovery Factor | 10.73 | 5.8 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | 11.83 | 3.2 |
| Avg. Up Month | 3.8% | 1.68% |
| Avg. Down Month | -4.22% | -2.18% |
| Win Days | 67.92% | 64.79% |
| Win Month | 67.92% | 64.79% |
| Win Quarter | 76.39% | 76.39% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.27 |
| Alpha | - | 0.02 |
| Correlation | - | 56.96% |
| Treynor Ratio | - | 658.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 12.19 | -2.02 | + |
| 2009 | 26.35 | 1.54 | 0.06 | - |
| 2010 | 15.06 | 11.28 | 0.75 | - |
| 2011 | 1.89 | 13.74 | 7.25 | + |
| 2012 | 15.99 | 8.43 | 0.53 | - |
| 2013 | 32.31 | 0.71 | 0.02 | - |
| 2014 | 13.46 | 11.70 | 0.87 | - |
| 2015 | 1.23 | 0.80 | 0.65 | - |
| 2016 | 12.00 | 5.77 | 0.48 | - |
| 2017 | 21.71 | 8.25 | 0.38 | - |
| 2018 | -4.57 | -2.42 | 0.53 | + |
| 2019 | 31.22 | 18.35 | 0.59 | - |
| 2020 | 18.33 | 4.31 | 0.24 | - |
| 2021 | 28.73 | 2.13 | 0.07 | - |
| 2022 | -18.18 | -16.41 | 0.90 | + |
| 2023 | 26.18 | 9.86 | 0.38 | - |
| 2024 | 24.89 | 5.76 | 0.23 | - |
| 2025 | 17.72 | 10.07 | 0.57 | - |
| 2026 | 8.94 | 3.77 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-08-31 | -18.36 | 1067 |
| 2009-01-31 | 2009-07-31 | -7.49 | 182 |
| 2013-05-31 | 2014-03-31 | -6.21 | 305 |
| 2020-02-29 | 2020-06-30 | -5.04 | 123 |
| 2016-08-31 | 2017-04-30 | -4.87 | 243 |
| 2015-02-28 | 2016-02-29 | -4.11 | 367 |
| 2021-01-31 | 2021-06-30 | -3.74 | 151 |
| 2026-03-31 | 2026-03-31 | -3.61 | 1 |
| 2018-09-30 | 2018-12-31 | -3.59 | 93 |
| 2024-12-31 | 2025-05-31 | -3.39 | 152 |