| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 824.72% | 671.8% |
| CAGR﹪ | 10.99% | 10.05% |
| Sharpe | 0.78 | 0.91 |
| Prob. Sharpe Ratio | 99.96% | 100.0% |
| Smart Sharpe | 0.73 | 0.85 |
| Sortino | 1.19 | 1.75 |
| Smart Sortino | 1.12 | 1.64 |
| Sortino/√2 | 0.84 | 1.24 |
| Smart Sortino/√2 | 0.79 | 1.16 |
| Omega | 1.78 | 2.3 |
| Max Drawdown | -50.78% | -16.45% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2021-08-31 |
| Max DD Period End | 2012-02-29 | 2025-09-30 |
| Longest DD Days | 1553 | 1492 |
| Volatility (ann.) | 14.91% | 11.3% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.22 | 0.61 |
| Skew | -0.56 | 0.83 |
| Kurtosis | 1.21 | 3.81 |
| Ulcer Performance Index | 69.56 | 100.1 |
| Risk-Adjusted Return | 793.14% | 647.54% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.97% | 0.87% |
| Avg. Win | 3.16% | 2.51% |
| Avg. Loss | -3.2% | -2.94% |
| Win/Loss Ratio | 0.99 | 0.85 |
| Profit Ratio | 0.44 | 0.49 |
| Expected Daily | 0.87% | 0.8% |
| Expected Monthly | 0.87% | 0.8% |
| Expected Yearly | 10.64% | 9.73% |
| Kelly Criterion | 32.89% | 31.27% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.11% | -4.51% |
| Expected Shortfall (cVaR) | -8.99% | -6.91% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 7 |
| Gain/Pain Ratio | 0.78 | 1.3 |
| Gain/Pain (1M) | 0.78 | 1.3 |
| Payoff Ratio | 0.99 | 0.85 |
| Profit Factor | 1.78 | 2.3 |
| Common Sense Ratio | 1.83 | 4.21 |
| CPC Index | 1.17 | 1.34 |
| Tail Ratio | 1.03 | 1.83 |
| Outlier Win Ratio | 3.24 | 5.27 |
| Outlier Loss Ratio | 2.69 | 3.73 |
| MTD | -1.05% | -6.83% |
| 3M | 13.91% | 0.32% |
| 6M | 8.94% | 4.14% |
| YTD | 8.94% | 4.14% |
| 1Y | 20.92% | 18.76% |
| 3Y (ann.) | 18.77% | 7.53% |
| 5Y (ann.) | 12.51% | 1.1% |
| 10Y (ann.) | 15.13% | 6.62% |
| All-time (ann.) | 10.99% | 10.05% |
| Best Day | 12.7% | 15.83% |
| Worst Day | -16.52% | -9.25% |
| Best Month | 12.7% | 15.83% |
| Worst Month | -16.52% | -9.25% |
| Best Year | 32.31% | 34.51% |
| Worst Year | -36.79% | -8.56% |
| Avg. Drawdown | -5.93% | -3.8% |
| Avg. Drawdown Days | 102 | 151 |
| Recovery Factor | 4.87 | 13.28 |
| Ulcer Index | 0.12 | 0.07 |
| Serenity Index | 2.74 | 7.53 |
| Avg. Up Month | 3.16% | 2.51% |
| Avg. Down Month | -3.2% | -2.94% |
| Win Days | 66.67% | 68.36% |
| Win Month | 66.67% | 68.36% |
| Win Quarter | 74.42% | 68.6% |
| Win Year | 86.36% | 81.82% |
| Beta | - | 0.2 |
| Alpha | - | 0.08 |
| Correlation | - | 26.66% |
| Treynor Ratio | - | 3323.95% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2005 | 6.99 | 22.39 | 3.20 | + |
| 2006 | 15.85 | 34.51 | 2.18 | + |
| 2007 | 5.15 | 28.46 | 5.53 | + |
| 2008 | -36.79 | 14.53 | -0.39 | + |
| 2009 | 26.35 | 28.99 | 1.10 | + |
| 2010 | 15.06 | -2.52 | -0.17 | - |
| 2011 | 1.89 | 2.42 | 1.28 | + |
| 2012 | 15.99 | 22.37 | 1.40 | + |
| 2013 | 32.31 | 10.50 | 0.33 | - |
| 2014 | 13.46 | 0.02 | 0.00 | - |
| 2015 | 1.23 | -4.89 | -3.96 | - |
| 2016 | 12.00 | 4.67 | 0.39 | - |
| 2017 | 21.71 | 14.92 | 0.69 | - |
| 2018 | -4.57 | 11.74 | -2.57 | + |
| 2019 | 31.22 | 9.20 | 0.29 | - |
| 2020 | 18.33 | 14.46 | 0.79 | - |
| 2021 | 28.73 | 1.91 | 0.07 | - |
| 2022 | -18.18 | -8.56 | 0.47 | + |
| 2023 | 26.18 | 5.07 | 0.19 | - |
| 2024 | 24.89 | -0.57 | -0.02 | - |
| 2025 | 17.72 | 12.93 | 0.73 | - |
| 2026 | 8.94 | 4.14 | 0.46 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-08-31 | 2025-09-30 | -16.45 | 1492 |
| 2010-04-30 | 2012-02-29 | -14.98 | 671 |
| 2014-09-30 | 2017-06-30 | -13.07 | 1005 |
| 2026-03-31 | 2026-07-31 | -9.25 | 123 |
| 2007-11-30 | 2008-07-31 | -7.70 | 245 |
| 2009-01-31 | 2009-04-30 | -7.00 | 90 |
| 2019-05-31 | 2019-10-31 | -6.38 | 154 |
| 2020-01-31 | 2020-04-30 | -6.24 | 91 |
| 2006-02-28 | 2006-07-31 | -3.85 | 154 |
| 2020-09-30 | 2020-11-30 | -3.84 | 62 |