| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 780.48% | 171.2% |
| CAGR﹪ | 12.97% | 5.75% |
| Sharpe | 0.87 | 0.79 |
| Prob. Sharpe Ratio | 99.97% | 99.94% |
| Smart Sharpe | 0.8 | 0.73 |
| Sortino | 1.35 | 1.25 |
| Smart Sortino | 1.25 | 1.15 |
| Sortino/√2 | 0.96 | 0.88 |
| Smart Sortino/√2 | 0.88 | 0.82 |
| Omega | 1.9 | 1.82 |
| Max Drawdown | -35.74% | -19.03% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2008-10-31 | 2021-09-30 |
| Max DD Period End | 2010-02-28 | 2025-05-31 |
| Longest DD Days | 669 | 1340 |
| Volatility (ann.) | 15.52% | 7.44% |
| R^2 | 0.42 | 0.42 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.36 | 0.3 |
| Skew | -0.57 | -0.26 |
| Kurtosis | 1.09 | 1.29 |
| Ulcer Performance Index | 103.76 | 33.15 |
| Risk-Adjusted Return | 1195.6% | 223.77% |
| Risk-Return Ratio | 0.25 | 0.23 |
| Avg. Return | 1.13% | 0.5% |
| Avg. Win | 3.78% | 1.73% |
| Avg. Loss | -4.38% | -2.2% |
| Win/Loss Ratio | 0.86 | 0.78 |
| Profit Ratio | 0.43 | 0.55 |
| Expected Daily | 1.02% | 0.47% |
| Expected Monthly | 1.02% | 0.47% |
| Expected Yearly | 12.13% | 5.39% |
| Kelly Criterion | 30.02% | 19.24% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.04% |
| Expected Shortfall (cVaR) | -9.01% | -4.34% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.9 | 0.82 |
| Gain/Pain (1M) | 0.9 | 0.82 |
| Payoff Ratio | 0.86 | 0.78 |
| Profit Factor | 1.9 | 1.82 |
| Common Sense Ratio | 2.2 | 2.0 |
| CPC Index | 1.11 | 0.92 |
| Tail Ratio | 1.16 | 1.1 |
| Outlier Win Ratio | 3.09 | 3.09 |
| Outlier Loss Ratio | 2.72 | 3.01 |
| MTD | -1.05% | -0.57% |
| 3M | 13.91% | 6.74% |
| 6M | 8.94% | 4.94% |
| YTD | 8.94% | 4.94% |
| 1Y | 20.92% | 11.09% |
| 3Y (ann.) | 18.77% | 8.48% |
| 5Y (ann.) | 12.51% | 2.25% |
| 10Y (ann.) | 15.13% | 4.1% |
| All-time (ann.) | 12.97% | 5.75% |
| Best Day | 12.7% | 8.27% |
| Worst Day | -16.52% | -6.02% |
| Best Month | 12.7% | 8.27% |
| Worst Month | -16.52% | -6.02% |
| Best Year | 32.31% | 18.77% |
| Worst Year | -21.57% | -16.7% |
| Avg. Drawdown | -6.69% | -2.96% |
| Avg. Drawdown Days | 84 | 111 |
| Recovery Factor | 6.72 | 5.51 |
| Ulcer Index | 0.08 | 0.05 |
| Serenity Index | 6.7 | 3.09 |
| Avg. Up Month | 3.78% | 1.73% |
| Avg. Down Month | -4.38% | -2.2% |
| Win Days | 67.61% | 64.49% |
| Win Month | 67.61% | 64.49% |
| Win Quarter | 76.39% | 75.0% |
| Win Year | 84.21% | 89.47% |
| Beta | - | 0.31 |
| Alpha | - | 0.02 |
| Correlation | - | 64.9% |
| Treynor Ratio | - | 550.5% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -21.57 | 5.93 | -0.28 | + |
| 2009 | 26.35 | 2.82 | 0.11 | - |
| 2010 | 15.06 | 11.75 | 0.78 | - |
| 2011 | 1.89 | 13.10 | 6.91 | + |
| 2012 | 15.99 | 7.45 | 0.47 | - |
| 2013 | 32.31 | 0.70 | 0.02 | - |
| 2014 | 13.46 | 11.80 | 0.88 | - |
| 2015 | 1.23 | 1.35 | 1.09 | + |
| 2016 | 12.00 | 6.56 | 0.55 | - |
| 2017 | 21.71 | 10.17 | 0.47 | - |
| 2018 | -4.57 | -1.70 | 0.37 | + |
| 2019 | 31.22 | 18.77 | 0.60 | - |
| 2020 | 18.33 | 2.78 | 0.15 | - |
| 2021 | 28.73 | 2.07 | 0.07 | - |
| 2022 | -18.18 | -16.70 | 0.92 | + |
| 2023 | 26.18 | 9.10 | 0.35 | - |
| 2024 | 24.89 | 4.55 | 0.18 | - |
| 2025 | 17.72 | 12.07 | 0.68 | - |
| 2026 | 8.94 | 4.94 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2025-05-31 | -19.03 | 1340 |
| 2009-01-31 | 2009-07-31 | -9.49 | 182 |
| 2020-02-29 | 2020-06-30 | -6.50 | 123 |
| 2013-05-31 | 2014-01-31 | -6.09 | 246 |
| 2008-10-31 | 2008-11-30 | -5.71 | 31 |
| 2015-03-31 | 2016-02-29 | -4.22 | 336 |
| 2018-09-30 | 2018-12-31 | -3.99 | 93 |
| 2026-03-31 | 2026-03-31 | -3.85 | 1 |
| 2021-01-31 | 2021-06-30 | -3.80 | 151 |
| 2016-08-31 | 2017-01-31 | -3.60 | 154 |