| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 251.14% | 704.47% |
| CAGR﹪ | 9.06% | 15.49% |
| Sharpe | 0.78 | 0.74 |
| Prob. Sharpe Ratio | 99.26% | 98.95% |
| Smart Sharpe | 0.75 | 0.71 |
| Sortino | 1.1 | 1.07 |
| Smart Sortino | 1.06 | 1.03 |
| Sortino/√2 | 0.78 | 0.75 |
| Smart Sortino/√2 | 0.75 | 0.73 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -33.72% | -76.74% |
| Max DD Date | 2020-03-23 | 2022-11-03 |
| Max DD Period Start | 2020-02-20 | 2021-09-08 |
| Max DD Period End | 2020-08-07 | 2024-01-18 |
| Longest DD Days | 708 | 863 |
| Volatility (ann.) | 18.3% | 38.4% |
| R^2 | 0.39 | 0.39 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.27 | 0.2 |
| Skew | -0.31 | -0.26 |
| Kurtosis | 13.84 | 20.38 |
| Expected Daily | 0.05% | 0.08% |
| Expected Monthly | 1.04% | 1.74% |
| Expected Yearly | 12.1% | 20.87% |
| Kelly Criterion | 5.62% | 3.1% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.84% | -3.87% |
| Expected Shortfall (cVaR) | -1.84% | -3.87% |
| Max Consecutive Wins | 11 | 20 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.16 | 0.15 |
| Gain/Pain (1M) | 0.97 | 0.91 |
| Payoff Ratio | 0.91 | 0.95 |
| Profit Factor | 1.16 | 1.15 |
| Common Sense Ratio | 1.08 | 1.09 |
| CPC Index | 0.58 | 0.58 |
| Tail Ratio | 0.93 | 0.95 |
| Outlier Win Ratio | 6.26 | 2.88 |
| Outlier Loss Ratio | 6.12 | 3.05 |
| MTD | 0.93% | -2.79% |
| 3M | 19.23% | 31.44% |
| 6M | 8.07% | 16.7% |
| YTD | 7.04% | 22.75% |
| 1Y | 12.48% | 34.65% |
| 3Y (ann.) | 10.91% | 39.19% |
| 5Y (ann.) | 10.19% | 15.22% |
| 10Y (ann.) | 9.06% | 15.49% |
| All-time (ann.) | 9.06% | 15.49% |
| Best Day | 10.5% | 23.28% |
| Worst Day | -10.94% | -26.39% |
| Best Month | 12.7% | 27.16% |
| Worst Month | -12.49% | -32.63% |
| Best Year | 31.22% | 194.13% |
| Worst Year | -18.18% | -64.22% |
| Avg. Drawdown | -1.69% | -5.51% |
| Avg. Drawdown Days | 18 | 34 |
| Recovery Factor | 4.22 | 3.69 |
| Ulcer Index | 0.07 | 0.23 |
| Serenity Index | 1.61 | 0.66 |
| Avg. Up Month | 3.68% | 8.95% |
| Avg. Down Month | -4.6% | -8.86% |
| Win Days | 55.13% | 52.91% |
| Win Month | 68.6% | 61.98% |
| Win Quarter | 78.05% | 65.85% |
| Win Year | 72.73% | 81.82% |
| Beta | - | 1.3 |
| Alpha | - | 0.1 |
| Correlation | - | 62.11% |
| Treynor Ratio | - | 540.48% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2015 | -2.15 | 16.70 | -7.77 | + |
| 2016 | 12.00 | 9.93 | 0.83 | - |
| 2017 | 21.71 | 53.38 | 2.46 | + |
| 2018 | -4.57 | -25.71 | 5.63 | - |
| 2019 | 31.22 | 56.57 | 1.81 | + |
| 2020 | 18.33 | 33.09 | 1.80 | + |
| 2021 | 28.73 | 23.13 | 0.81 | - |
| 2022 | -18.18 | -64.22 | 3.53 | - |
| 2023 | 26.18 | 194.13 | 7.42 | + |
| 2024 | 24.89 | 66.05 | 2.65 | + |
| 2025 | 7.04 | 22.75 | 3.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-08 | 2024-01-18 | -76.74 | 863 |
| 2018-07-26 | 2020-01-08 | -42.96 | 532 |
| 2020-01-30 | 2020-05-19 | -34.59 | 111 |
| 2025-02-18 | 2025-06-27 | -34.15 | 130 |
| 2018-02-02 | 2018-05-31 | -21.17 | 119 |
| 2020-08-27 | 2021-04-01 | -19.17 | 218 |
| 2024-04-08 | 2024-07-03 | -18.43 | 87 |
| 2015-07-22 | 2015-10-16 | -16.57 | 87 |
| 2024-07-08 | 2024-09-18 | -16.02 | 73 |
| 2016-10-25 | 2017-02-07 | -13.68 | 106 |