| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 789.55% | 2,336.90% |
| CAGR﹪ | 8.92% | 13.29% |
| Sharpe | 0.64 | 0.79 |
| Prob. Sharpe Ratio | 99.91% | 100.0% |
| Smart Sharpe | 0.64 | 0.78 |
| Sortino | 0.97 | 1.33 |
| Smart Sortino | 0.96 | 1.32 |
| Sortino/√2 | 0.68 | 0.94 |
| Smart Sortino/√2 | 0.68 | 0.94 |
| Omega | 1.61 | 1.81 |
| Max Drawdown | -50.78% | -37.04% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2011-01-31 |
| Longest DD Days | 1768 | 1159 |
| Volatility (ann.) | 15.09% | 17.86% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | 0.08 | 0.08 |
| Calmar | 0.18 | 0.36 |
| Skew | -0.51 | 0.1 |
| Kurtosis | 0.89 | 1.1 |
| Ulcer Performance Index | 57.04 | 213.72 |
| Risk-Adjusted Return | 501.34% | 1275.25% |
| Risk-Return Ratio | 0.19 | 0.23 |
| Avg. Return | 0.81% | 1.16% |
| Avg. Win | 3.55% | 4.4% |
| Avg. Loss | -4.38% | -4.57% |
| Win/Loss Ratio | 0.81 | 0.96 |
| Profit Ratio | 0.48 | 0.63 |
| Expected Daily | 0.71% | 1.05% |
| Expected Monthly | 0.71% | 1.05% |
| Expected Yearly | 8.77% | 13.07% |
| Kelly Criterion | 21.2% | 24.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.36% | -7.3% |
| Expected Shortfall (cVaR) | -8.92% | -10.18% |
| Max Consecutive Wins | 15 | 8 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.61 | 0.81 |
| Gain/Pain (1M) | 0.61 | 0.81 |
| Payoff Ratio | 0.81 | 0.96 |
| Profit Factor | 1.61 | 1.81 |
| Common Sense Ratio | 1.61 | 2.21 |
| CPC Index | 0.85 | 1.09 |
| Tail Ratio | 1.0 | 1.22 |
| Outlier Win Ratio | 3.19 | 3.48 |
| Outlier Loss Ratio | 2.78 | 2.92 |
| MTD | -1.05% | 12.36% |
| 3M | 13.91% | 8.54% |
| 6M | 8.94% | 56.28% |
| YTD | 8.94% | 56.28% |
| 1Y | 20.92% | 52.96% |
| 3Y (ann.) | 18.77% | 11.58% |
| 5Y (ann.) | 12.51% | 13.06% |
| 10Y (ann.) | 15.13% | 15.29% |
| All-time (ann.) | 8.92% | 13.29% |
| Best Day | 12.7% | 22.46% |
| Worst Day | -16.52% | -12.71% |
| Best Month | 12.7% | 22.46% |
| Worst Month | -16.52% | -12.71% |
| Best Year | 32.31% | 56.28% |
| Worst Year | -36.79% | -24.45% |
| Avg. Drawdown | -7.33% | -8.02% |
| Avg. Drawdown Days | 160 | 133 |
| Recovery Factor | 4.9 | 9.75 |
| Ulcer Index | 0.14 | 0.11 |
| Serenity Index | 2.23 | 6.36 |
| Avg. Up Month | 3.55% | 4.4% |
| Avg. Down Month | -4.38% | -4.57% |
| Win Days | 64.71% | 62.87% |
| Win Month | 64.71% | 62.87% |
| Win Quarter | 71.84% | 65.05% |
| Win Year | 80.77% | 80.77% |
| Beta | - | 0.67 |
| Alpha | - | 0.08 |
| Correlation | - | 56.36% |
| Treynor Ratio | - | 3503.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2001 | -11.76 | 19.45 | -1.65 | + |
| 2002 | -21.58 | -14.28 | 0.66 | + |
| 2003 | 28.18 | 36.98 | 1.31 | + |
| 2004 | 10.70 | 44.58 | 4.17 | + |
| 2005 | 4.83 | 30.24 | 6.26 | + |
| 2006 | 15.85 | 24.96 | 1.58 | + |
| 2007 | 5.15 | 17.80 | 3.46 | + |
| 2008 | -36.79 | -24.45 | 0.66 | + |
| 2009 | 26.35 | 7.52 | 0.29 | - |
| 2010 | 15.06 | 15.86 | 1.05 | + |
| 2011 | 1.89 | 12.65 | 6.68 | + |
| 2012 | 15.99 | 3.70 | 0.23 | - |
| 2013 | 32.31 | 29.04 | 0.90 | - |
| 2014 | 13.46 | 6.17 | 0.46 | - |
| 2015 | 1.23 | -2.04 | -1.65 | - |
| 2016 | 12.00 | 17.49 | 1.46 | + |
| 2017 | 21.71 | 3.76 | 0.17 | - |
| 2018 | -4.57 | -10.79 | 2.36 | - |
| 2019 | 31.22 | 37.57 | 1.20 | + |
| 2020 | 18.33 | 15.54 | 0.85 | - |
| 2021 | 28.73 | 39.04 | 1.36 | + |
| 2022 | -18.18 | 12.54 | -0.69 | + |
| 2023 | 26.18 | 10.21 | 0.39 | - |
| 2024 | 24.89 | 4.59 | 0.18 | - |
| 2025 | 17.72 | -12.81 | -0.72 | - |
| 2026 | 8.94 | 56.28 | 6.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2011-01-31 | -37.04 | 1159 |
| 2024-12-31 | 2026-02-28 | -24.93 | 425 |
| 2002-04-30 | 2003-07-31 | -19.57 | 458 |
| 2018-08-31 | 2019-09-30 | -17.56 | 396 |
| 2020-02-29 | 2020-06-30 | -17.08 | 123 |
| 2011-05-31 | 2011-12-31 | -13.86 | 215 |
| 2022-12-31 | 2023-05-31 | -12.06 | 152 |
| 2012-03-31 | 2012-12-31 | -11.80 | 276 |
| 2021-07-31 | 2022-02-28 | -11.31 | 213 |
| 2018-02-28 | 2018-04-30 | -10.84 | 62 |