| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 954.7% | 156.04% |
| CAGR﹪ | 14.19% | 5.44% |
| Sharpe | 0.97 | 0.79 |
| Prob. Sharpe Ratio | 99.99% | 99.96% |
| Smart Sharpe | 0.88 | 0.72 |
| Sortino | 1.58 | 1.35 |
| Smart Sortino | 1.44 | 1.23 |
| Sortino/√2 | 1.12 | 0.95 |
| Smart Sortino/√2 | 1.02 | 0.87 |
| Omega | 2.02 | 1.89 |
| Max Drawdown | -23.93% | -19.5% |
| Max DD Date | 2022-09-30 | 2023-08-31 |
| Max DD Period Start | 2022-01-31 | 2021-09-30 |
| Max DD Period End | 2023-11-30 | 2026-01-31 |
| Longest DD Days | 669 | 1585 |
| Volatility (ann.) | 14.97% | 7.06% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.18 | -0.18 |
| Calmar | 0.59 | 0.28 |
| Skew | -0.37 | 0.16 |
| Kurtosis | 0.43 | 1.02 |
| Ulcer Performance Index | 162.39 | 21.61 |
| Risk-Adjusted Return | 1523.54% | 204.13% |
| Risk-Return Ratio | 0.28 | 0.23 |
| Avg. Return | 1.21% | 0.47% |
| Avg. Win | 3.42% | 1.48% |
| Avg. Loss | -3.17% | -2.14% |
| Win/Loss Ratio | 1.08 | 0.69 |
| Profit Ratio | 0.44 | 0.45 |
| Expected Daily | 1.11% | 0.44% |
| Expected Monthly | 1.11% | 0.44% |
| Expected Yearly | 13.2% | 5.07% |
| Kelly Criterion | 38.19% | 19.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.9% | -2.89% |
| Expected Shortfall (cVaR) | -8.11% | -3.9% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 1.02 | 0.89 |
| Gain/Pain (1M) | 1.02 | 0.89 |
| Payoff Ratio | 1.08 | 0.69 |
| Profit Factor | 2.02 | 1.89 |
| Common Sense Ratio | 2.35 | 2.5 |
| CPC Index | 1.48 | 0.88 |
| Tail Ratio | 1.16 | 1.32 |
| Outlier Win Ratio | 3.09 | 4.11 |
| Outlier Loss Ratio | 2.49 | 2.78 |
| MTD | -1.05% | -2.37% |
| 3M | 13.91% | 1.62% |
| 6M | 8.94% | 5.5% |
| YTD | 8.94% | 5.5% |
| 1Y | 20.92% | 18.3% |
| 3Y (ann.) | 18.77% | 7.33% |
| 5Y (ann.) | 12.51% | 0.45% |
| 10Y (ann.) | 15.13% | 5.22% |
| All-time (ann.) | 14.19% | 5.44% |
| Best Day | 12.7% | 7.0% |
| Worst Day | -12.49% | -5.2% |
| Best Month | 12.7% | 7.0% |
| Worst Month | -12.49% | -5.2% |
| Best Year | 32.31% | 19.43% |
| Worst Year | -18.18% | -8.6% |
| Avg. Drawdown | -6.07% | -3.06% |
| Avg. Drawdown Days | 72 | 157 |
| Recovery Factor | 10.73 | 5.06 |
| Ulcer Index | 0.06 | 0.07 |
| Serenity Index | 11.83 | 1.69 |
| Avg. Up Month | 3.42% | 1.48% |
| Avg. Down Month | -3.17% | -2.14% |
| Win Days | 67.92% | 67.14% |
| Win Month | 67.92% | 67.14% |
| Win Quarter | 76.39% | 65.28% |
| Win Year | 84.21% | 84.21% |
| Beta | - | 0.13 |
| Alpha | - | 0.04 |
| Correlation | - | 27.82% |
| Treynor Ratio | - | 1189.4% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2008 | -6.05 | 5.12 | -0.85 | + |
| 2009 | 26.35 | 5.85 | 0.22 | - |
| 2010 | 15.06 | 8.16 | 0.54 | - |
| 2011 | 1.89 | 5.91 | 3.12 | + |
| 2012 | 15.99 | 13.32 | 0.83 | - |
| 2013 | 32.31 | -0.78 | -0.02 | - |
| 2014 | 13.46 | 3.26 | 0.24 | - |
| 2015 | 1.23 | 1.13 | 0.92 | - |
| 2016 | 12.00 | 3.81 | 0.32 | - |
| 2017 | 21.71 | 9.14 | 0.42 | - |
| 2018 | -4.57 | 5.15 | -1.13 | + |
| 2019 | 31.22 | 10.09 | 0.32 | - |
| 2020 | 18.33 | 19.43 | 1.06 | + |
| 2021 | 28.73 | 0.89 | 0.03 | - |
| 2022 | -18.18 | -8.60 | 0.47 | + |
| 2023 | 26.18 | 0.95 | 0.04 | - |
| 2024 | 24.89 | -1.92 | -0.08 | - |
| 2025 | 17.72 | 13.40 | 0.76 | - |
| 2026 | 8.94 | 5.50 | 0.62 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2026-01-31 | -19.50 | 1585 |
| 2009-01-31 | 2009-06-30 | -7.00 | 151 |
| 2010-11-30 | 2011-07-31 | -4.24 | 244 |
| 2010-05-31 | 2010-09-30 | -4.02 | 123 |
| 2026-03-31 | 2026-07-31 | -4.00 | 123 |
| 2019-05-31 | 2019-07-31 | -3.87 | 62 |
| 2018-02-28 | 2019-01-31 | -3.67 | 338 |
| 2013-05-31 | 2014-03-31 | -3.52 | 305 |
| 2015-02-28 | 2016-06-30 | -3.33 | 489 |
| 2014-09-30 | 2014-12-31 | -3.25 | 93 |