| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 725.58% | 419.73% |
| CAGR﹪ | 10.94% | 8.44% |
| Sharpe | 0.76 | 0.77 |
| Prob. Sharpe Ratio | 99.94% | 99.95% |
| Smart Sharpe | 0.72 | 0.73 |
| Sortino | 1.17 | 1.18 |
| Smart Sortino | 1.1 | 1.11 |
| Sortino/√2 | 0.82 | 0.84 |
| Smart Sortino/√2 | 0.78 | 0.79 |
| Omega | 1.76 | 1.78 |
| Max Drawdown | -50.78% | -23.76% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2009-07-31 |
| Longest DD Days | 1553 | 1462 |
| Volatility (ann.) | 15.19% | 11.33% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.22 | 0.36 |
| Skew | -0.55 | -0.5 |
| Kurtosis | 1.1 | 1.1 |
| Ulcer Performance Index | 59.75 | 52.18 |
| Risk-Adjusted Return | 784.74% | 448.59% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.97% | 0.74% |
| Avg. Win | 3.58% | 2.59% |
| Avg. Loss | -4.23% | -3.31% |
| Win/Loss Ratio | 0.85 | 0.78 |
| Profit Ratio | 0.43 | 0.46 |
| Expected Daily | 0.87% | 0.68% |
| Expected Monthly | 0.87% | 0.68% |
| Expected Yearly | 10.57% | 8.16% |
| Kelly Criterion | 27.27% | 23.44% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.25% | -4.65% |
| Expected Shortfall (cVaR) | -8.99% | -6.6% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 8 |
| Gain/Pain Ratio | 0.76 | 0.78 |
| Gain/Pain (1M) | 0.76 | 0.78 |
| Payoff Ratio | 0.85 | 0.78 |
| Profit Factor | 1.76 | 1.78 |
| Common Sense Ratio | 1.87 | 1.67 |
| CPC Index | 0.99 | 0.92 |
| Tail Ratio | 1.06 | 0.94 |
| Outlier Win Ratio | 3.2 | 3.52 |
| Outlier Loss Ratio | 2.65 | 2.68 |
| MTD | -1.05% | -2.18% |
| 3M | 13.91% | 7.8% |
| 6M | 8.94% | 10.68% |
| YTD | 8.94% | 10.68% |
| 1Y | 20.92% | 21.68% |
| 3Y (ann.) | 18.77% | 8.51% |
| 5Y (ann.) | 12.51% | 2.66% |
| 10Y (ann.) | 15.13% | 7.31% |
| All-time (ann.) | 10.94% | 8.44% |
| Best Day | 12.7% | 9.73% |
| Worst Day | -16.52% | -11.43% |
| Best Month | 12.7% | 9.73% |
| Worst Month | -16.52% | -11.43% |
| Best Year | 32.31% | 34.21% |
| Worst Year | -36.79% | -19.37% |
| Avg. Drawdown | -6.34% | -6.06% |
| Avg. Drawdown Days | 109 | 190 |
| Recovery Factor | 4.64 | 7.51 |
| Ulcer Index | 0.12 | 0.08 |
| Serenity Index | 2.6 | 3.88 |
| Avg. Up Month | 3.58% | 2.59% |
| Avg. Down Month | -4.23% | -3.31% |
| Win Days | 66.67% | 66.39% |
| Win Month | 66.67% | 66.39% |
| Win Quarter | 73.17% | 67.07% |
| Win Year | 85.71% | 76.19% |
| Beta | - | 0.54 |
| Alpha | - | 0.02 |
| Correlation | - | 72.87% |
| Treynor Ratio | - | 772.15% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2006 | 10.66 | 9.86 | 0.93 | - |
| 2007 | 5.15 | 8.58 | 1.67 | + |
| 2008 | -36.79 | -9.75 | 0.27 | + |
| 2009 | 26.35 | 34.21 | 1.30 | + |
| 2010 | 15.06 | 18.57 | 1.23 | + |
| 2011 | 1.89 | 16.90 | 8.92 | + |
| 2012 | 15.99 | 12.10 | 0.76 | - |
| 2013 | 32.31 | 15.83 | 0.49 | - |
| 2014 | 13.46 | 7.82 | 0.58 | - |
| 2015 | 1.23 | -7.14 | -5.78 | - |
| 2016 | 12.00 | -0.42 | -0.04 | - |
| 2017 | 21.71 | 19.05 | 0.88 | - |
| 2018 | -4.57 | -3.93 | 0.86 | + |
| 2019 | 31.22 | 11.14 | 0.36 | - |
| 2020 | 18.33 | 19.51 | 1.06 | + |
| 2021 | 28.73 | 16.56 | 0.58 | - |
| 2022 | -18.18 | -19.37 | 1.07 | - |
| 2023 | 26.18 | 7.80 | 0.30 | - |
| 2024 | 24.89 | 1.45 | 0.06 | - |
| 2025 | 17.72 | 16.01 | 0.90 | - |
| 2026 | 8.94 | 10.68 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-07-31 | -23.76 | 610 |
| 2021-09-30 | 2025-09-30 | -23.51 | 1462 |
| 2015-02-28 | 2017-07-31 | -15.67 | 885 |
| 2010-05-31 | 2010-09-30 | -8.91 | 123 |
| 2018-09-30 | 2019-11-30 | -8.80 | 427 |
| 2026-03-31 | 2026-04-30 | -7.04 | 31 |
| 2020-01-31 | 2020-06-30 | -6.97 | 152 |
| 2012-04-30 | 2012-11-30 | -6.46 | 215 |
| 2018-02-28 | 2018-07-31 | -5.57 | 154 |
| 2010-01-31 | 2010-02-28 | -5.15 | 29 |