| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 138.59% |
| CAGR﹪ | 10.92% | 4.7% |
| Sharpe | 0.74 | 0.87 |
| Prob. Sharpe Ratio | 99.89% | 99.98% |
| Smart Sharpe | 0.66 | 0.78 |
| Sortino | 1.14 | 1.37 |
| Smart Sortino | 1.01 | 1.22 |
| Sortino/√2 | 0.8 | 0.97 |
| Smart Sortino/√2 | 0.71 | 0.86 |
| Omega | 1.73 | 1.88 |
| Max Drawdown | -50.78% | -8.47% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2009-08-31 |
| Longest DD Days | 1553 | 1005 |
| Volatility (ann.) | 15.62% | 5.44% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.15 | -0.15 |
| Calmar | 0.21 | 0.56 |
| Skew | -0.55 | -0.55 |
| Kurtosis | 0.93 | 0.42 |
| Ulcer Performance Index | 48.48 | 45.08 |
| Risk-Adjusted Return | 781.06% | 162.57% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.97% | 0.4% |
| Avg. Win | 3.47% | 1.32% |
| Avg. Loss | -4.27% | -1.56% |
| Win/Loss Ratio | 0.81 | 0.85 |
| Profit Ratio | 0.46 | 0.58 |
| Expected Daily | 0.87% | 0.38% |
| Expected Monthly | 0.87% | 0.38% |
| Expected Yearly | 10.3% | 4.44% |
| Kelly Criterion | 23.95% | 22.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -2.19% |
| Expected Shortfall (cVaR) | -9.17% | -3.13% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.73 | 0.88 |
| Gain/Pain (1M) | 0.73 | 0.88 |
| Payoff Ratio | 0.81 | 0.85 |
| Profit Factor | 1.73 | 1.88 |
| Common Sense Ratio | 1.78 | 2.01 |
| CPC Index | 0.93 | 1.03 |
| Tail Ratio | 1.03 | 1.07 |
| Outlier Win Ratio | 3.1 | 2.57 |
| Outlier Loss Ratio | 2.66 | 3.02 |
| MTD | -1.05% | 1.37% |
| 3M | 13.91% | 4.22% |
| 6M | 8.94% | 7.47% |
| YTD | 8.94% | 7.47% |
| 1Y | 20.92% | 13.31% |
| 3Y (ann.) | 18.77% | 5.38% |
| 5Y (ann.) | 12.51% | 2.58% |
| 10Y (ann.) | 15.13% | 4.45% |
| All-time (ann.) | 10.92% | 4.7% |
| Best Day | 12.7% | 3.94% |
| Worst Day | -16.52% | -4.89% |
| Best Month | 12.7% | 3.94% |
| Worst Month | -16.52% | -4.89% |
| Best Year | 32.31% | 13.2% |
| Worst Year | -36.79% | -5.89% |
| Avg. Drawdown | -6.67% | -2.84% |
| Avg. Drawdown Days | 114 | 154 |
| Recovery Factor | 4.33 | 10.61 |
| Ulcer Index | 0.13 | 0.03 |
| Serenity Index | 2.31 | 6.27 |
| Avg. Up Month | 3.47% | 1.32% |
| Avg. Down Month | -4.27% | -1.56% |
| Win Days | 65.93% | 64.32% |
| Win Month | 65.93% | 64.32% |
| Win Quarter | 72.73% | 66.23% |
| Win Year | 85.0% | 85.0% |
| Beta | - | 0.2 |
| Alpha | - | 0.02 |
| Correlation | - | 57.47% |
| Treynor Ratio | - | 692.31% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 5.28 | 83.53 | + |
| 2008 | -36.79 | 2.27 | -0.06 | + |
| 2009 | 26.35 | 6.92 | 0.26 | - |
| 2010 | 15.06 | 5.77 | 0.38 | - |
| 2011 | 1.89 | 2.14 | 1.13 | + |
| 2012 | 15.99 | 4.07 | 0.25 | - |
| 2013 | 32.31 | 9.24 | 0.29 | - |
| 2014 | 13.46 | 6.27 | 0.47 | - |
| 2015 | 1.23 | -1.85 | -1.50 | - |
| 2016 | 12.00 | 6.95 | 0.58 | - |
| 2017 | 21.71 | 7.82 | 0.36 | - |
| 2018 | -4.57 | 0.18 | -0.04 | + |
| 2019 | 31.22 | 8.14 | 0.26 | - |
| 2020 | 18.33 | 3.18 | 0.17 | - |
| 2021 | 28.73 | 13.20 | 0.46 | - |
| 2022 | -18.18 | -5.89 | 0.32 | + |
| 2023 | 26.18 | -1.06 | -0.04 | - |
| 2024 | 24.89 | 5.95 | 0.24 | - |
| 2025 | 17.72 | 4.59 | 0.26 | - |
| 2026 | 8.94 | 7.47 | 0.84 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-08-31 | -8.47 | 428 |
| 2022-01-31 | 2024-10-31 | -8.27 | 1005 |
| 2015-04-30 | 2016-06-30 | -5.74 | 428 |
| 2024-12-31 | 2025-08-31 | -5.31 | 244 |
| 2011-05-31 | 2012-12-31 | -5.25 | 581 |
| 2010-05-31 | 2010-11-30 | -4.88 | 184 |
| 2018-09-30 | 2019-07-31 | -4.86 | 305 |
| 2020-01-31 | 2020-10-31 | -4.18 | 275 |
| 2010-01-31 | 2010-02-28 | -2.91 | 29 |
| 2014-07-31 | 2014-10-31 | -2.65 | 93 |