| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,288.27% |
| CAGR﹪ | 10.76% | 8.17% |
| Sharpe | 0.77 | 1.86 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.75 |
| Sortino | 1.18 | 4.16 |
| Smart Sortino | 1.11 | 3.91 |
| Sortino/√2 | 0.84 | 2.94 |
| Smart Sortino/√2 | 0.79 | 2.76 |
| Omega | 1.76 | 3.94 |
| Max Drawdown | -50.78% | -4.44% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2009-06-30 |
| Longest DD Days | 2223 | 367 |
| Volatility (ann.) | 14.76% | 4.29% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 1.84 |
| Skew | -0.55 | 0.14 |
| Kurtosis | 0.98 | 0.9 |
| Ulcer Performance Index | 211.25 | 1332.42 |
| Risk-Adjusted Return | 754.56% | 420.21% |
| Risk-Return Ratio | 0.22 | 0.54 |
| Avg. Return | 0.95% | 0.67% |
| Avg. Win | 3.46% | 1.35% |
| Avg. Loss | -3.94% | -0.95% |
| Win/Loss Ratio | 0.88 | 1.42 |
| Profit Ratio | 0.5 | 0.59 |
| Expected Daily | 0.85% | 0.66% |
| Expected Monthly | 0.85% | 0.66% |
| Expected Yearly | 10.59% | 8.04% |
| Kelly Criterion | 25.26% | 52.53% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.37% |
| Expected Shortfall (cVaR) | -8.96% | -1.9% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 2.94 |
| Gain/Pain (1M) | 0.76 | 2.94 |
| Payoff Ratio | 0.88 | 1.42 |
| Profit Factor | 1.76 | 3.94 |
| Common Sense Ratio | 1.85 | 7.55 |
| CPC Index | 1.0 | 4.04 |
| Tail Ratio | 1.05 | 1.91 |
| Outlier Win Ratio | 2.95 | 3.47 |
| Outlier Loss Ratio | 2.93 | 2.67 |
| MTD | -1.05% | -0.49% |
| 3M | 13.91% | 1.9% |
| 6M | 8.94% | 4.58% |
| YTD | 8.94% | 4.58% |
| 1Y | 20.92% | 10.12% |
| 3Y (ann.) | 18.77% | 6.82% |
| 5Y (ann.) | 12.51% | 5.1% |
| 10Y (ann.) | 15.13% | 6.48% |
| All-time (ann.) | 10.76% | 8.17% |
| Best Day | 12.7% | 4.95% |
| Worst Day | -16.52% | -3.38% |
| Best Month | 12.7% | 4.95% |
| Worst Month | -16.52% | -3.38% |
| Best Year | 38.05% | 18.66% |
| Worst Year | -36.79% | -0.37% |
| Avg. Drawdown | -6.27% | -1.19% |
| Avg. Drawdown Days | 122 | 46 |
| Recovery Factor | 7.49 | 60.11 |
| Ulcer Index | 0.14 | 0.01 |
| Serenity Index | 3.21 | 130.91 |
| Avg. Up Month | 3.46% | 1.35% |
| Avg. Down Month | -3.94% | -0.95% |
| Win Days | 65.09% | 72.14% |
| Win Month | 65.09% | 72.14% |
| Win Quarter | 73.33% | 83.7% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.16 |
| Alpha | - | 0.06 |
| Correlation | - | 56.28% |
| Treynor Ratio | - | 7876.71% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.12 | 1.39 | + |
| 1994 | 0.40 | -0.37 | -0.92 | - |
| 1995 | 38.05 | 18.66 | 0.49 | - |
| 1996 | 22.50 | 10.78 | 0.48 | - |
| 1997 | 33.48 | 13.23 | 0.40 | - |
| 1998 | 28.69 | 11.87 | 0.41 | - |
| 1999 | 20.39 | 8.26 | 0.41 | - |
| 2000 | -9.74 | 7.57 | -0.78 | + |
| 2001 | -11.76 | 4.94 | -0.42 | + |
| 2002 | -21.58 | 6.71 | -0.31 | + |
| 2003 | 28.18 | 16.93 | 0.60 | - |
| 2004 | 10.70 | 10.80 | 1.01 | + |
| 2005 | 4.83 | 6.74 | 1.40 | + |
| 2006 | 15.85 | 12.40 | 0.78 | - |
| 2007 | 5.15 | 8.84 | 1.72 | + |
| 2008 | -36.79 | 9.71 | -0.26 | + |
| 2009 | 26.35 | 9.99 | 0.38 | - |
| 2010 | 15.06 | 9.30 | 0.62 | - |
| 2011 | 1.89 | 7.49 | 3.95 | + |
| 2012 | 15.99 | 5.82 | 0.36 | - |
| 2013 | 32.31 | 5.82 | 0.18 | - |
| 2014 | 13.46 | 7.26 | 0.54 | - |
| 2015 | 1.23 | -0.32 | -0.26 | - |
| 2016 | 12.00 | 5.58 | 0.47 | - |
| 2017 | 21.71 | 9.34 | 0.43 | - |
| 2018 | -4.57 | 2.59 | -0.57 | + |
| 2019 | 31.22 | 8.93 | 0.29 | - |
| 2020 | 18.33 | 11.33 | 0.62 | - |
| 2021 | 28.73 | 9.05 | 0.32 | - |
| 2022 | -18.18 | 0.58 | -0.03 | + |
| 2023 | 26.18 | 6.03 | 0.23 | - |
| 2024 | 24.89 | 6.02 | 0.24 | - |
| 2025 | 17.72 | 7.59 | 0.43 | - |
| 2026 | 8.94 | 4.58 | 0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-06-30 | -4.44 | 151 |
| 1994-02-28 | 1995-01-31 | -4.29 | 338 |
| 2004-04-30 | 2004-08-31 | -3.38 | 124 |
| 2020-09-30 | 2020-10-31 | -3.12 | 32 |
| 2015-02-28 | 2016-02-29 | -2.92 | 367 |
| 2013-05-31 | 2013-10-31 | -2.68 | 154 |
| 1999-02-28 | 1999-03-31 | -2.60 | 32 |
| 2016-08-31 | 2017-01-31 | -2.20 | 154 |
| 2008-09-30 | 2008-10-31 | -2.19 | 32 |
| 2010-05-31 | 2010-06-30 | -2.16 | 31 |