| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 609.99% | 262.58% |
| CAGR﹪ | 10.92% | 7.05% |
| Sharpe | 0.74 | 1.04 |
| Prob. Sharpe Ratio | 99.89% | 100.0% |
| Smart Sharpe | 0.7 | 0.97 |
| Sortino | 1.14 | 1.85 |
| Smart Sortino | 1.06 | 1.73 |
| Sortino/√2 | 0.8 | 1.31 |
| Smart Sortino/√2 | 0.75 | 1.22 |
| Omega | 1.73 | 2.23 |
| Max Drawdown | -50.78% | -8.82% |
| Max DD Date | 2009-02-28 | 2025-04-30 |
| Max DD Period Start | 2007-11-30 | 2024-12-31 |
| Max DD Period End | 2012-02-29 | 2026-01-31 |
| Longest DD Days | 1553 | 459 |
| Volatility (ann.) | 15.62% | 6.76% |
| R^2 | 0.3 | 0.3 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.8 |
| Skew | -0.55 | 0.02 |
| Kurtosis | 0.93 | 1.14 |
| Ulcer Performance Index | 48.48 | 98.67 |
| Risk-Adjusted Return | 781.06% | 317.84% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.97% | 0.6% |
| Avg. Win | 3.58% | 1.63% |
| Avg. Loss | -3.74% | -1.87% |
| Win/Loss Ratio | 0.96 | 0.87 |
| Profit Ratio | 0.46 | 0.44 |
| Expected Daily | 0.87% | 0.57% |
| Expected Monthly | 0.87% | 0.57% |
| Expected Yearly | 10.3% | 6.65% |
| Kelly Criterion | 30.35% | 33.86% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.45% | -2.62% |
| Expected Shortfall (cVaR) | -9.17% | -3.82% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.73 | 1.23 |
| Gain/Pain (1M) | 0.73 | 1.23 |
| Payoff Ratio | 0.96 | 0.87 |
| Profit Factor | 1.73 | 2.23 |
| Common Sense Ratio | 1.78 | 3.19 |
| CPC Index | 1.09 | 1.35 |
| Tail Ratio | 1.03 | 1.43 |
| Outlier Win Ratio | 3.1 | 3.34 |
| Outlier Loss Ratio | 2.66 | 2.73 |
| MTD | -1.05% | 0.49% |
| 3M | 13.91% | 8.3% |
| 6M | 8.94% | 10.52% |
| YTD | 8.94% | 10.52% |
| 1Y | 20.92% | 15.3% |
| 3Y (ann.) | 18.77% | 7.29% |
| 5Y (ann.) | 12.51% | 6.1% |
| 10Y (ann.) | 15.13% | 6.1% |
| All-time (ann.) | 10.92% | 7.05% |
| Best Day | 12.7% | 8.01% |
| Worst Day | -16.52% | -5.67% |
| Best Month | 12.7% | 8.01% |
| Worst Month | -16.52% | -5.67% |
| Best Year | 32.31% | 22.44% |
| Worst Year | -36.79% | -3.04% |
| Avg. Drawdown | -6.67% | -2.88% |
| Avg. Drawdown Days | 114 | 101 |
| Recovery Factor | 4.33 | 15.14 |
| Ulcer Index | 0.13 | 0.03 |
| Serenity Index | 2.31 | 15.55 |
| Avg. Up Month | 3.58% | 1.63% |
| Avg. Down Month | -3.74% | -1.87% |
| Win Days | 65.93% | 69.16% |
| Win Month | 65.93% | 69.16% |
| Win Quarter | 72.73% | 76.62% |
| Win Year | 85.0% | 85.0% |
| Beta | - | 0.24 |
| Alpha | - | 0.04 |
| Correlation | - | 55.01% |
| Treynor Ratio | - | 1102.45% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 0.06 | 6.81 | 107.82 | + |
| 2008 | -36.79 | 7.49 | -0.20 | + |
| 2009 | 26.35 | 14.76 | 0.56 | - |
| 2010 | 15.06 | 12.52 | 0.83 | - |
| 2011 | 1.89 | 5.94 | 3.13 | + |
| 2012 | 15.99 | 7.83 | 0.49 | - |
| 2013 | 32.31 | 6.83 | 0.21 | - |
| 2014 | 13.46 | 5.59 | 0.42 | - |
| 2015 | 1.23 | -1.58 | -1.28 | - |
| 2016 | 12.00 | 6.58 | 0.55 | - |
| 2017 | 21.71 | 7.85 | 0.36 | - |
| 2018 | -4.57 | -3.04 | 0.67 | + |
| 2019 | 31.22 | 11.61 | 0.37 | - |
| 2020 | 18.33 | -1.55 | -0.08 | - |
| 2021 | 28.73 | 22.44 | 0.78 | - |
| 2022 | -18.18 | 1.42 | -0.08 | + |
| 2023 | 26.18 | 1.37 | 0.05 | - |
| 2024 | 24.89 | 13.13 | 0.53 | - |
| 2025 | 17.72 | 0.04 | 0.00 | - |
| 2026 | 8.94 | 10.52 | 1.18 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-12-31 | 2026-01-31 | -8.82 | 397 |
| 2020-01-31 | 2021-01-31 | -6.96 | 367 |
| 2018-10-31 | 2019-07-31 | -6.33 | 274 |
| 2011-08-31 | 2012-03-31 | -6.07 | 214 |
| 2008-07-31 | 2009-06-30 | -5.83 | 335 |
| 2023-08-31 | 2024-02-29 | -5.66 | 183 |
| 2015-02-28 | 2016-05-31 | -4.75 | 459 |
| 2010-05-31 | 2010-07-31 | -4.55 | 62 |
| 2022-01-31 | 2022-02-28 | -4.03 | 29 |
| 2024-04-30 | 2024-04-30 | -3.77 | 1 |