| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 740.6% | 451.66% |
| CAGR﹪ | 11.13% | 8.84% |
| Sharpe | 0.77 | 0.91 |
| Prob. Sharpe Ratio | 99.95% | 100.0% |
| Smart Sharpe | 0.71 | 0.83 |
| Sortino | 1.18 | 1.54 |
| Smart Sortino | 1.09 | 1.42 |
| Sortino/√2 | 0.84 | 1.09 |
| Smart Sortino/√2 | 0.77 | 1.0 |
| Omega | 1.77 | 2.0 |
| Max Drawdown | -50.78% | -23.05% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-06-30 |
| Longest DD Days | 1553 | 882 |
| Volatility (ann.) | 15.22% | 9.9% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.22 | 0.38 |
| Skew | -0.56 | -0.1 |
| Kurtosis | 1.09 | 1.5 |
| Ulcer Performance Index | 60.76 | 84.52 |
| Risk-Adjusted Return | 817.9% | 491.99% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.98% | 0.75% |
| Avg. Win | 3.79% | 2.56% |
| Avg. Loss | -4.34% | -2.71% |
| Win/Loss Ratio | 0.87 | 0.94 |
| Profit Ratio | 0.43 | 0.81 |
| Expected Daily | 0.88% | 0.71% |
| Expected Monthly | 0.88% | 0.71% |
| Expected Yearly | 10.67% | 8.47% |
| Kelly Criterion | 28.73% | 19.99% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -3.95% |
| Expected Shortfall (cVaR) | -8.99% | -5.92% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.77 | 1.0 |
| Gain/Pain (1M) | 0.77 | 1.0 |
| Payoff Ratio | 0.87 | 0.94 |
| Profit Factor | 1.77 | 2.0 |
| Common Sense Ratio | 1.89 | 2.64 |
| CPC Index | 1.03 | 1.15 |
| Tail Ratio | 1.07 | 1.32 |
| Outlier Win Ratio | 3.19 | 3.31 |
| Outlier Loss Ratio | 2.65 | 3.52 |
| MTD | -1.05% | -0.49% |
| 3M | 13.91% | 4.42% |
| 6M | 8.94% | 5.82% |
| YTD | 8.94% | 5.82% |
| 1Y | 20.92% | 17.04% |
| 3Y (ann.) | 18.77% | 12.41% |
| 5Y (ann.) | 12.51% | 5.66% |
| 10Y (ann.) | 15.13% | 7.34% |
| All-time (ann.) | 11.13% | 8.84% |
| Best Day | 12.7% | 11.47% |
| Worst Day | -16.52% | -9.68% |
| Best Month | 12.7% | 11.47% |
| Worst Month | -16.52% | -9.68% |
| Best Year | 32.31% | 20.91% |
| Worst Year | -36.79% | -18.37% |
| Avg. Drawdown | -6.45% | -3.6% |
| Avg. Drawdown Days | 110 | 87 |
| Recovery Factor | 4.67 | 7.86 |
| Ulcer Index | 0.12 | 0.05 |
| Serenity Index | 2.58 | 6.52 |
| Avg. Up Month | 3.79% | 2.56% |
| Avg. Down Month | -4.34% | -2.71% |
| Win Days | 66.8% | 61.16% |
| Win Month | 66.8% | 61.16% |
| Win Quarter | 74.39% | 70.73% |
| Win Year | 85.71% | 80.95% |
| Beta | - | 0.37 |
| Alpha | - | 0.05 |
| Correlation | - | 56.43% |
| Treynor Ratio | - | 1230.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 12.67 | 11.55 | 0.91 | - |
| 2007 | 5.15 | 13.31 | 2.59 | + |
| 2008 | -36.79 | 5.85 | -0.16 | + |
| 2009 | 26.35 | 5.88 | 0.22 | - |
| 2010 | 15.06 | 20.91 | 1.39 | + |
| 2011 | 1.89 | 16.15 | 8.52 | + |
| 2012 | 15.99 | 10.52 | 0.66 | - |
| 2013 | 32.31 | -1.80 | -0.06 | - |
| 2014 | 13.46 | 12.88 | 0.96 | - |
| 2015 | 1.23 | -3.02 | -2.45 | - |
| 2016 | 12.00 | 7.90 | 0.66 | - |
| 2017 | 21.71 | 15.94 | 0.73 | - |
| 2018 | -4.57 | -3.56 | 0.78 | + |
| 2019 | 31.22 | 19.42 | 0.62 | - |
| 2020 | 18.33 | 18.37 | 1.00 | + |
| 2021 | 28.73 | 6.77 | 0.24 | - |
| 2022 | -18.18 | -18.37 | 1.01 | - |
| 2023 | 26.18 | 12.40 | 0.47 | - |
| 2024 | 24.89 | 9.33 | 0.38 | - |
| 2025 | 17.72 | 20.78 | 1.17 | + |
| 2026 | 8.94 | 5.82 | 0.65 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -23.05 | 882 |
| 2008-05-31 | 2008-11-30 | -12.85 | 184 |
| 2009-01-31 | 2009-07-31 | -11.45 | 182 |
| 2016-08-31 | 2017-06-30 | -9.00 | 304 |
| 2015-02-28 | 2016-03-31 | -8.25 | 398 |
| 2018-02-28 | 2019-04-30 | -8.03 | 427 |
| 2013-05-31 | 2014-01-31 | -7.37 | 246 |
| 2026-03-31 | 2026-04-30 | -5.72 | 31 |
| 2024-10-31 | 2025-03-31 | -5.40 | 152 |
| 2020-02-29 | 2020-03-31 | -5.33 | 32 |