| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 54.0% |
| Cumulative Return | 200.98% | 639.94% |
| CAGR﹪ | 7.55% | 14.13% |
| Sharpe | 0.7 | 1.08 |
| Prob. Sharpe Ratio | 98.66% | 99.97% |
| Smart Sharpe | 0.67 | 1.04 |
| Sortino | 0.97 | 1.59 |
| Smart Sortino | 0.93 | 1.53 |
| Sortino/√2 | 0.68 | 1.13 |
| Smart Sortino/√2 | 0.66 | 1.08 |
| Omega | 1.29 | 1.29 |
| Max Drawdown | -34.1% | -25.63% |
| Longest DD Days | 562 | 382 |
| Volatility (ann.) | 17.35% | 19.53% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.22 | 0.55 |
| Skew | -0.56 | 0.03 |
| Kurtosis | 13.07 | 10.06 |
| Expected Daily | 0.04% | 0.08% |
| Expected Monthly | 0.88% | 1.6% |
| Expected Yearly | 10.54% | 19.95% |
| Kelly Criterion | 5.08% | 11.62% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.75% | -1.94% |
| Expected Shortfall (cVaR) | -1.75% | -1.94% |
| Max Consecutive Wins | 8 | 12 |
| Max Consecutive Losses | 8 | 7 |
| Gain/Pain Ratio | 0.14 | 0.29 |
| Gain/Pain (1M) | 0.85 | 1.4 |
| Payoff Ratio | 0.91 | 0.93 |
| Profit Factor | 1.14 | 1.29 |
| Common Sense Ratio | 1.05 | 1.49 |
| CPC Index | 0.57 | 0.69 |
| Tail Ratio | 0.92 | 1.15 |
| Outlier Win Ratio | 4.42 | 6.44 |
| Outlier Loss Ratio | 4.66 | 2.76 |
| MTD | 2.69% | 0.0% |
| 3M | 9.9% | 12.21% |
| 6M | 16.27% | 23.33% |
| YTD | 19.03% | 46.66% |
| 1Y | 19.18% | 68.01% |
| 3Y (ann.) | 7.26% | 15.07% |
| 5Y (ann.) | 6.8% | 18.12% |
| 10Y (ann.) | 7.08% | 15.78% |
| All-time (ann.) | 7.55% | 14.13% |
| Best Day | 9.06% | 12.59% |
| Worst Day | -10.94% | -9.5% |
| Best Month | 12.7% | 23.75% |
| Worst Month | -13.0% | -19.37% |
| Best Year | 28.79% | 64.9% |
| Worst Year | -19.48% | -9.28% |
| Avg. Drawdown | -1.74% | -3.49% |
| Avg. Drawdown Days | 19 | 31 |
| Recovery Factor | 3.69 | 8.59 |
| Ulcer Index | 0.07 | 0.08 |
| Serenity Index | 1.33 | 2.22 |
| Avg. Up Month | 3.66% | 6.16% |
| Avg. Down Month | -5.04% | -6.76% |
| Win Days | 54.69% | 57.34% |
| Win Month | 68.25% | 66.34% |
| Win Quarter | 81.4% | 68.29% |
| Win Year | 72.73% | 81.82% |
| Beta | - | 0.47 |
| Alpha | - | 0.15 |
| Correlation | - | 41.82% |
| Treynor Ratio | - | 1359.3% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2013 | 22.12 | -9.28 | -0.42 | - |
| 2014 | 11.29 | 26.62 | 2.36 | + |
| 2015 | -0.81 | 7.68 | -9.46 | + |
| 2016 | 9.64 | 29.51 | 3.06 | + |
| 2017 | 19.38 | 25.53 | 1.32 | + |
| 2018 | -6.35 | 0.09 | -0.01 | + |
| 2019 | 28.79 | 45.89 | 1.59 | + |
| 2020 | 16.16 | 64.90 | 4.02 | + |
| 2021 | 27.04 | 10.80 | 0.40 | - |
| 2022 | -19.48 | -5.97 | 0.31 | + |
| 2023 | 19.03 | 46.66 | 2.45 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2020-02-20 | 2020-07-08 | -25.63 | 140 |
| 2015-02-26 | 2016-01-20 | -25.02 | 329 |
| 2021-08-31 | 2022-09-08 | -23.18 | 374 |
| 2018-10-02 | 2019-02-15 | -22.43 | 137 |
| 2022-09-13 | 2023-01-06 | -14.51 | 116 |
| 2023-02-03 | 2023-04-05 | -13.96 | 62 |
| 2021-01-27 | 2021-07-21 | -11.46 | 176 |
| 2013-02-05 | 2014-02-21 | -11.37 | 382 |
| 2017-12-19 | 2018-05-29 | -10.70 | 162 |
| 2014-07-24 | 2014-11-17 | -9.68 | 117 |