| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 584.96% | 9,820.94% |
| CAGR﹪ | 10.71% | 27.51% |
| Sharpe | 0.61 | 2.45 |
| Prob. Sharpe Ratio | 99.61% | 100.0% |
| Smart Sharpe | 0.6 | 2.4 |
| Sortino | 0.87 | 3.78 |
| Smart Sortino | 0.85 | 3.7 |
| Sortino/√2 | 0.61 | 2.67 |
| Smart Sortino/√2 | 0.6 | 2.62 |
| Omega | 1.55 | 1.55 |
| Max Drawdown | -55.19% | -8.55% |
| Max DD Date | 2009-03-09 | 2018-02-08 |
| Max DD Period Start | 2007-10-10 | 2018-01-29 |
| Max DD Period End | 2012-08-15 | 2018-05-09 |
| Longest DD Days | 1772 | 291 |
| Volatility (ann.) | 19.78% | 10.13% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.19 | 3.22 |
| Skew | -0.0 | -0.26 |
| Kurtosis | 14.51 | 4.66 |
| Expected Daily | 0.04% | 0.1% |
| Expected Monthly | 0.85% | 2.04% |
| Expected Yearly | 10.66% | 27.37% |
| Kelly Criterion | 6.42% | 19.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.0% | -0.95% |
| Expected Shortfall (cVaR) | -2.31% | -2.31% |
| Max Consecutive Wins | 14 | 14 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.13 | 0.55 |
| Gain/Pain (1M) | 0.8 | 6.68 |
| Payoff Ratio | 0.91 | 1.09 |
| Profit Factor | 1.13 | 1.55 |
| Common Sense Ratio | 1.03 | 1.83 |
| CPC Index | 0.57 | 0.98 |
| Tail Ratio | 0.92 | 1.18 |
| Outlier Win Ratio | 3.32 | 5.32 |
| Outlier Loss Ratio | 3.23 | 6.31 |
| MTD | -0.08% | -1.35% |
| 3M | 4.15% | 7.78% |
| 6M | 15.03% | 20.04% |
| YTD | 17.53% | 37.21% |
| 1Y | 14.39% | 33.39% |
| 3Y (ann.) | 21.93% | 39.27% |
| 5Y (ann.) | 14.34% | 30.58% |
| 10Y (ann.) | 14.86% | 32.01% |
| All-time (ann.) | 10.71% | 27.51% |
| Best Day | 14.52% | 4.17% |
| Worst Day | -10.94% | -5.25% |
| Best Month | 12.7% | 14.83% |
| Worst Month | -16.52% | -5.97% |
| Best Year | 32.31% | 60.71% |
| Worst Year | -36.8% | 0.85% |
| Avg. Drawdown | -1.77% | -1.02% |
| Avg. Drawdown Days | 22 | 10 |
| Recovery Factor | 4.16 | 54.92 |
| Ulcer Index | 0.13 | 0.02 |
| Serenity Index | 0.97 | 7.04 |
| Avg. Up Month | 3.47% | 3.56% |
| Avg. Down Month | -3.94% | -1.38% |
| Win Days | 55.32% | 58.32% |
| Win Month | 66.23% | 74.56% |
| Win Quarter | 75.0% | 93.42% |
| Win Year | 84.21% | 100.0% |
| Beta | - | 0.27 |
| Alpha | - | 0.22 |
| Correlation | - | 52.26% |
| Treynor Ratio | - | 36691.84% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2007 | 5.15 | 23.54 | 4.57 | + |
| 2008 | -36.80 | 8.42 | -0.23 | + |
| 2009 | 26.35 | 20.53 | 0.78 | - |
| 2010 | 15.06 | 33.74 | 2.24 | + |
| 2011 | 1.89 | 17.39 | 9.18 | + |
| 2012 | 15.99 | 31.20 | 1.95 | + |
| 2013 | 32.31 | 35.17 | 1.09 | + |
| 2014 | 13.46 | 26.37 | 1.96 | + |
| 2015 | 1.23 | 11.08 | 8.98 | + |
| 2016 | 12.00 | 22.88 | 1.91 | + |
| 2017 | 21.71 | 36.57 | 1.68 | + |
| 2018 | -4.57 | 19.96 | -4.37 | + |
| 2019 | 31.22 | 28.78 | 0.92 | - |
| 2020 | 18.33 | 60.71 | 3.31 | + |
| 2021 | 28.73 | 42.63 | 1.48 | + |
| 2022 | -18.18 | 0.85 | -0.05 | + |
| 2023 | 26.18 | 33.95 | 1.30 | + |
| 2024 | 24.89 | 42.75 | 1.72 | + |
| 2025 | 17.53 | 37.21 | 2.12 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-01-29 | 2018-05-09 | -8.55 | 101 |
| 2023-08-01 | 2023-11-14 | -8.14 | 106 |
| 2022-04-05 | 2023-01-20 | -7.89 | 291 |
| 2020-09-03 | 2020-10-09 | -7.61 | 37 |
| 2020-02-20 | 2020-03-05 | -6.42 | 15 |
| 2019-07-25 | 2019-10-31 | -5.75 | 99 |
| 2008-12-31 | 2009-07-20 | -5.65 | 202 |
| 2021-12-28 | 2022-03-25 | -5.62 | 88 |
| 2010-01-20 | 2010-03-05 | -5.40 | 45 |
| 2020-06-11 | 2020-07-02 | -5.25 | 22 |