| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,933.88% | 1,728.70% |
| CAGR﹪ | 10.35% | 9.97% |
| Sharpe | 0.73 | 1.4 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.69 | 1.34 |
| Sortino | 1.11 | 2.74 |
| Smart Sortino | 1.06 | 2.61 |
| Sortino/√2 | 0.79 | 1.94 |
| Smart Sortino/√2 | 0.75 | 1.85 |
| Omega | 1.7 | 2.86 |
| Max Drawdown | -50.78% | -8.1% |
| Max DD Date | 2009-02-28 | 2004-04-30 |
| Max DD Period Start | 2007-11-30 | 2004-04-30 |
| Max DD Period End | 2012-02-29 | 2004-09-30 |
| Longest DD Days | 2223 | 763 |
| Volatility (ann.) | 15.22% | 6.97% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.2 | 1.23 |
| Skew | -0.53 | -0.05 |
| Kurtosis | 0.82 | 1.05 |
| Ulcer Performance Index | 131.84 | 770.09 |
| Risk-Adjusted Return | 691.33% | 635.61% |
| Risk-Return Ratio | 0.21 | 0.41 |
| Avg. Return | 0.92% | 0.82% |
| Avg. Win | 3.54% | 1.95% |
| Avg. Loss | -3.83% | -1.63% |
| Win/Loss Ratio | 0.92 | 1.2 |
| Profit Ratio | 0.51 | 0.67 |
| Expected Daily | 0.82% | 0.8% |
| Expected Monthly | 0.82% | 0.8% |
| Expected Yearly | 10.21% | 9.83% |
| Kelly Criterion | 26.07% | 39.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.31% | -2.49% |
| Expected Shortfall (cVaR) | -9.08% | -3.36% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.7 | 1.86 |
| Gain/Pain (1M) | 0.7 | 1.86 |
| Payoff Ratio | 0.92 | 1.2 |
| Profit Factor | 1.7 | 2.86 |
| Common Sense Ratio | 1.81 | 4.87 |
| CPC Index | 1.02 | 2.3 |
| Tail Ratio | 1.06 | 1.71 |
| Outlier Win Ratio | 2.93 | 3.11 |
| Outlier Loss Ratio | 2.86 | 2.69 |
| MTD | -1.05% | -1.78% |
| 3M | 13.91% | -0.89% |
| 6M | 8.94% | 8.15% |
| YTD | 8.94% | 8.15% |
| 1Y | 20.92% | 18.56% |
| 3Y (ann.) | 18.77% | 13.22% |
| 5Y (ann.) | 12.51% | 8.98% |
| 10Y (ann.) | 15.13% | 8.56% |
| All-time (ann.) | 10.35% | 9.97% |
| Best Day | 12.7% | 7.1% |
| Worst Day | -16.52% | -8.1% |
| Best Month | 12.7% | 7.1% |
| Worst Month | -16.52% | -8.1% |
| Best Year | 33.48% | 26.88% |
| Worst Year | -36.79% | -2.38% |
| Avg. Drawdown | -7.01% | -2.26% |
| Avg. Drawdown Days | 140 | 70 |
| Recovery Factor | 6.66 | 36.92 |
| Ulcer Index | 0.15 | 0.02 |
| Serenity Index | 2.76 | 44.68 |
| Avg. Up Month | 3.54% | 1.95% |
| Avg. Down Month | -3.83% | -1.63% |
| Win Days | 64.48% | 67.3% |
| Win Month | 64.48% | 67.3% |
| Win Quarter | 72.36% | 79.67% |
| Win Year | 80.65% | 90.32% |
| Beta | - | 0.21 |
| Alpha | - | 0.07 |
| Correlation | - | 45.47% |
| Treynor Ratio | - | 8307.1% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1996 | 22.50 | 15.24 | 0.68 | - |
| 1997 | 33.48 | 17.53 | 0.52 | - |
| 1998 | 28.69 | 10.42 | 0.36 | - |
| 1999 | 20.39 | 4.90 | 0.24 | - |
| 2000 | -9.74 | 5.84 | -0.60 | + |
| 2001 | -11.76 | 8.91 | -0.76 | + |
| 2002 | -21.58 | 8.04 | -0.37 | + |
| 2003 | 28.18 | 26.88 | 0.95 | - |
| 2004 | 10.70 | 14.25 | 1.33 | + |
| 2005 | 4.83 | 11.35 | 2.35 | + |
| 2006 | 15.85 | 21.73 | 1.37 | + |
| 2007 | 5.15 | 11.50 | 2.23 | + |
| 2008 | -36.79 | 11.00 | -0.30 | + |
| 2009 | 26.35 | 7.76 | 0.29 | - |
| 2010 | 15.06 | 11.75 | 0.78 | - |
| 2011 | 1.89 | 7.74 | 4.09 | + |
| 2012 | 15.99 | 7.05 | 0.44 | - |
| 2013 | 32.31 | 7.55 | 0.23 | - |
| 2014 | 13.46 | 8.77 | 0.65 | - |
| 2015 | 1.23 | -2.38 | -1.92 | - |
| 2016 | 12.00 | 4.80 | 0.40 | - |
| 2017 | 21.71 | 10.16 | 0.47 | - |
| 2018 | -4.57 | -1.65 | 0.36 | + |
| 2019 | 31.22 | 10.54 | 0.34 | - |
| 2020 | 18.33 | 11.80 | 0.64 | - |
| 2021 | 28.73 | 14.34 | 0.50 | - |
| 2022 | -18.18 | -2.02 | 0.11 | + |
| 2023 | 26.18 | 10.25 | 0.39 | - |
| 2024 | 24.89 | 9.67 | 0.39 | - |
| 2025 | 17.72 | 18.02 | 1.02 | + |
| 2026 | 8.94 | 8.15 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2004-09-30 | -8.10 | 154 |
| 2015-02-28 | 2017-03-31 | -7.78 | 763 |
| 2009-01-31 | 2009-08-31 | -7.04 | 213 |
| 2022-04-30 | 2023-06-30 | -6.26 | 427 |
| 2020-09-30 | 2020-11-30 | -5.65 | 62 |
| 2013-05-31 | 2013-11-30 | -5.64 | 184 |
| 2020-01-31 | 2020-06-30 | -4.42 | 152 |
| 2018-09-30 | 2019-06-30 | -3.90 | 274 |
| 2021-07-31 | 2021-11-30 | -3.90 | 123 |
| 2000-04-30 | 2000-07-31 | -3.86 | 93 |