| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 723.84% | 220.96% |
| CAGR﹪ | 14.41% | 7.73% |
| Sharpe | 1.03 | 0.71 |
| Prob. Sharpe Ratio | 99.99% | 99.66% |
| Smart Sharpe | 0.89 | 0.61 |
| Sortino | 1.71 | 1.12 |
| Smart Sortino | 1.47 | 0.97 |
| Sortino/√2 | 1.21 | 0.8 |
| Smart Sortino/√2 | 1.04 | 0.69 |
| Omega | 2.13 | 1.73 |
| Max Drawdown | -23.93% | -22.54% |
| Max DD Date | 2022-09-30 | 2022-09-30 |
| Max DD Period Start | 2022-01-31 | 2022-01-31 |
| Max DD Period End | 2023-11-30 | 2024-06-30 |
| Longest DD Days | 669 | 882 |
| Volatility (ann.) | 14.15% | 11.42% |
| R^2 | 0.59 | 0.59 |
| Information Ratio | -0.2 | -0.2 |
| Calmar | 0.6 | 0.34 |
| Skew | -0.33 | -0.34 |
| Kurtosis | 0.73 | 1.38 |
| Ulcer Performance Index | 130.61 | 39.62 |
| Risk-Adjusted Return | 1588.95% | 377.38% |
| Risk-Return Ratio | 0.3 | 0.21 |
| Avg. Return | 1.21% | 0.68% |
| Avg. Win | 3.72% | 2.74% |
| Avg. Loss | -3.85% | -3.17% |
| Win/Loss Ratio | 0.97 | 0.87 |
| Profit Ratio | 0.44 | 0.7 |
| Expected Daily | 1.13% | 0.62% |
| Expected Monthly | 1.13% | 0.62% |
| Expected Yearly | 13.21% | 7.1% |
| Kelly Criterion | 36.19% | 16.31% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -5.51% | -4.75% |
| Expected Shortfall (cVaR) | -7.63% | -6.89% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 1.13 | 0.73 |
| Gain/Pain (1M) | 1.13 | 0.73 |
| Payoff Ratio | 0.97 | 0.87 |
| Profit Factor | 2.13 | 1.73 |
| Common Sense Ratio | 2.45 | 2.18 |
| CPC Index | 1.41 | 0.91 |
| Tail Ratio | 1.15 | 1.27 |
| Outlier Win Ratio | 3.26 | 3.09 |
| Outlier Loss Ratio | 2.58 | 3.4 |
| MTD | -1.05% | -0.64% |
| 3M | 13.91% | 1.36% |
| 6M | 8.94% | 5.32% |
| YTD | 8.94% | 5.32% |
| 1Y | 20.92% | 17.31% |
| 3Y (ann.) | 18.77% | 13.0% |
| 5Y (ann.) | 12.51% | 6.3% |
| 10Y (ann.) | 15.13% | 7.8% |
| All-time (ann.) | 14.41% | 7.73% |
| Best Day | 12.7% | 9.59% |
| Worst Day | -12.49% | -12.42% |
| Best Month | 12.7% | 9.59% |
| Worst Month | -12.49% | -12.42% |
| Best Year | 32.31% | 22.92% |
| Worst Year | -18.18% | -16.06% |
| Avg. Drawdown | -5.48% | -4.18% |
| Avg. Drawdown Days | 69 | 105 |
| Recovery Factor | 9.51 | 5.64 |
| Ulcer Index | 0.06 | 0.06 |
| Serenity Index | 10.84 | 5.09 |
| Avg. Up Month | 3.72% | 2.74% |
| Avg. Down Month | -3.85% | -3.17% |
| Win Days | 68.62% | 61.17% |
| Win Month | 68.62% | 61.17% |
| Win Quarter | 78.12% | 70.31% |
| Win Year | 88.24% | 82.35% |
| Beta | - | 0.62 |
| Alpha | - | -0.01 |
| Correlation | - | 76.98% |
| Treynor Ratio | - | 355.5% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2010 | 6.69 | 4.47 | 0.67 | - |
| 2011 | 1.89 | 2.83 | 1.49 | + |
| 2012 | 15.99 | 16.34 | 1.02 | + |
| 2013 | 32.31 | 1.30 | 0.04 | - |
| 2014 | 13.46 | 8.84 | 0.66 | - |
| 2015 | 1.23 | -2.61 | -2.11 | - |
| 2016 | 12.00 | 9.47 | 0.79 | - |
| 2017 | 21.71 | 15.92 | 0.73 | - |
| 2018 | -4.57 | -7.99 | 1.75 | - |
| 2019 | 31.22 | 20.40 | 0.65 | - |
| 2020 | 18.33 | 14.00 | 0.76 | - |
| 2021 | 28.73 | 13.27 | 0.46 | - |
| 2022 | -18.18 | -16.06 | 0.88 | + |
| 2023 | 26.18 | 13.44 | 0.51 | - |
| 2024 | 24.89 | 6.88 | 0.28 | - |
| 2025 | 17.72 | 22.92 | 1.29 | + |
| 2026 | 8.94 | 5.32 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -22.54 | 882 |
| 2020-01-31 | 2020-06-30 | -16.26 | 152 |
| 2018-02-28 | 2019-05-31 | -9.23 | 458 |
| 2011-05-31 | 2011-12-31 | -9.07 | 215 |
| 2013-05-31 | 2014-01-31 | -8.27 | 246 |
| 2015-05-31 | 2016-02-29 | -7.31 | 275 |
| 2026-03-31 | 2026-07-31 | -7.01 | 123 |
| 2016-08-31 | 2017-03-31 | -6.52 | 213 |
| 2014-09-30 | 2014-12-31 | -5.22 | 93 |
| 2024-10-31 | 2025-04-30 | -4.84 | 182 |