| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,412.81% |
| CAGR﹪ | 10.76% | 8.45% |
| Sharpe | 0.77 | 1.86 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.74 |
| Sortino | 1.18 | 4.52 |
| Smart Sortino | 1.11 | 4.24 |
| Sortino/√2 | 0.84 | 3.2 |
| Smart Sortino/√2 | 0.78 | 2.99 |
| Omega | 1.76 | 4.21 |
| Max Drawdown | -50.78% | -3.98% |
| 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 | 2009-04-30 |
| Longest DD Days | 2223 | 338 |
| Volatility (ann.) | 14.76% | 4.42% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 2.12 |
| Skew | -0.55 | 0.48 |
| Kurtosis | 0.98 | 1.6 |
| Ulcer Performance Index | 211.25 | 1645.86 |
| Risk-Adjusted Return | 754.56% | 448.99% |
| Risk-Return Ratio | 0.22 | 0.54 |
| Avg. Return | 0.95% | 0.69% |
| Avg. Win | 3.46% | 1.35% |
| Avg. Loss | -3.83% | -0.9% |
| Win/Loss Ratio | 0.9 | 1.5 |
| Profit Ratio | 0.5 | 0.57 |
| Expected Daily | 0.85% | 0.68% |
| Expected Monthly | 0.85% | 0.68% |
| Expected Yearly | 10.59% | 8.32% |
| Kelly Criterion | 26.51% | 55.18% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.41% |
| Expected Shortfall (cVaR) | -8.96% | -1.95% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 3.21 |
| Gain/Pain (1M) | 0.76 | 3.21 |
| Payoff Ratio | 0.9 | 1.5 |
| Profit Factor | 1.76 | 4.21 |
| Common Sense Ratio | 1.85 | 8.74 |
| CPC Index | 1.04 | 4.61 |
| Tail Ratio | 1.05 | 2.07 |
| Outlier Win Ratio | 2.95 | 3.94 |
| Outlier Loss Ratio | 2.93 | 2.65 |
| MTD | -1.05% | -0.79% |
| 3M | 13.91% | 0.88% |
| 6M | 8.94% | 3.4% |
| YTD | 8.94% | 3.4% |
| 1Y | 20.92% | 9.77% |
| 3Y (ann.) | 18.77% | 8.01% |
| 5Y (ann.) | 12.51% | 6.01% |
| 10Y (ann.) | 15.13% | 7.14% |
| All-time (ann.) | 10.76% | 8.45% |
| Best Day | 12.7% | 5.83% |
| Worst Day | -16.52% | -3.23% |
| Best Month | 12.7% | 5.83% |
| Worst Month | -16.52% | -3.23% |
| Best Year | 38.05% | 17.92% |
| Worst Year | -36.79% | 0.15% |
| Avg. Drawdown | -6.27% | -1.13% |
| Avg. Drawdown Days | 122 | 44 |
| Recovery Factor | 7.49 | 69.35 |
| Ulcer Index | 0.14 | 0.01 |
| Serenity Index | 3.21 | 167.06 |
| Avg. Up Month | 3.46% | 1.35% |
| Avg. Down Month | -3.83% | -0.9% |
| Win Days | 65.09% | 73.13% |
| Win Month | 65.09% | 73.13% |
| Win Quarter | 73.33% | 82.22% |
| Win Year | 82.35% | 100.0% |
| Beta | - | 0.16 |
| Alpha | - | 0.06 |
| Correlation | - | 53.5% |
| Treynor Ratio | - | 8824.47% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.49 | 1.43 | + |
| 1994 | 0.40 | 0.21 | 0.53 | - |
| 1995 | 38.05 | 17.92 | 0.47 | - |
| 1996 | 22.50 | 9.49 | 0.42 | - |
| 1997 | 33.48 | 14.44 | 0.43 | - |
| 1998 | 28.69 | 13.29 | 0.46 | - |
| 1999 | 20.39 | 8.92 | 0.44 | - |
| 2000 | -9.74 | 6.20 | -0.64 | + |
| 2001 | -11.76 | 4.25 | -0.36 | + |
| 2002 | -21.58 | 7.90 | -0.37 | + |
| 2003 | 28.18 | 17.15 | 0.61 | - |
| 2004 | 10.70 | 10.42 | 0.97 | - |
| 2005 | 4.83 | 7.42 | 1.54 | + |
| 2006 | 15.85 | 13.14 | 0.83 | - |
| 2007 | 5.15 | 9.28 | 1.80 | + |
| 2008 | -36.79 | 10.41 | -0.28 | + |
| 2009 | 26.35 | 9.11 | 0.35 | - |
| 2010 | 15.06 | 8.91 | 0.59 | - |
| 2011 | 1.89 | 7.58 | 4.00 | + |
| 2012 | 15.99 | 5.61 | 0.35 | - |
| 2013 | 32.31 | 5.47 | 0.17 | - |
| 2014 | 13.46 | 7.11 | 0.53 | - |
| 2015 | 1.23 | 0.15 | 0.12 | - |
| 2016 | 12.00 | 5.34 | 0.45 | - |
| 2017 | 21.71 | 10.19 | 0.47 | - |
| 2018 | -4.57 | 4.13 | -0.90 | + |
| 2019 | 31.22 | 8.06 | 0.26 | - |
| 2020 | 18.33 | 13.70 | 0.75 | - |
| 2021 | 28.73 | 7.67 | 0.27 | - |
| 2022 | -18.18 | 1.77 | -0.10 | + |
| 2023 | 26.18 | 7.22 | 0.28 | - |
| 2024 | 24.89 | 6.41 | 0.26 | - |
| 2025 | 17.72 | 10.79 | 0.61 | - |
| 2026 | 8.94 | 3.40 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-04-30 | -3.98 | 90 |
| 1994-02-28 | 1995-01-31 | -3.78 | 338 |
| 2020-09-30 | 2020-10-31 | -3.46 | 32 |
| 2004-04-30 | 2004-08-31 | -3.23 | 124 |
| 1999-02-28 | 1999-03-31 | -2.70 | 32 |
| 2008-09-30 | 2008-10-31 | -2.68 | 32 |
| 2013-05-31 | 2013-10-31 | -2.45 | 154 |
| 2016-08-31 | 2017-01-31 | -2.45 | 154 |
| 2015-06-30 | 2016-02-29 | -2.41 | 245 |
| 2026-06-30 | 2026-07-31 | -2.22 | 32 |