| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,904.38% |
| CAGR﹪ | 10.76% | 10.69% |
| Sharpe | 0.77 | 1.25 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.2 |
| Sortino | 1.18 | 2.14 |
| Smart Sortino | 1.13 | 2.04 |
| Sortino/√2 | 0.84 | 1.52 |
| Smart Sortino/√2 | 0.8 | 1.45 |
| Omega | 1.76 | 2.54 |
| Max Drawdown | -50.78% | -19.56% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2009-08-31 |
| Longest DD Days | 2223 | 642 |
| Volatility (ann.) | 14.76% | 8.42% |
| R^2 | 0.43 | 0.43 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.55 |
| Skew | -0.55 | -0.45 |
| Kurtosis | 0.98 | 1.75 |
| Ulcer Performance Index | 211.25 | 790.18 |
| Risk-Adjusted Return | 754.56% | 744.02% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 0.88% |
| Avg. Win | 3.44% | 2.23% |
| Avg. Loss | -3.97% | -2.26% |
| Win/Loss Ratio | 0.87 | 0.99 |
| Profit Ratio | 0.5 | 0.46 |
| Expected Daily | 0.85% | 0.85% |
| Expected Monthly | 0.85% | 0.85% |
| Expected Yearly | 10.59% | 10.53% |
| Kelly Criterion | 24.75% | 39.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.12% |
| Expected Shortfall (cVaR) | -8.96% | -4.64% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.54 |
| Gain/Pain (1M) | 0.76 | 1.54 |
| Payoff Ratio | 0.87 | 0.99 |
| Profit Factor | 1.76 | 2.54 |
| Common Sense Ratio | 1.85 | 3.45 |
| CPC Index | 0.99 | 1.76 |
| Tail Ratio | 1.05 | 1.36 |
| Outlier Win Ratio | 2.95 | 3.31 |
| Outlier Loss Ratio | 2.93 | 3.19 |
| MTD | -1.05% | 0.28% |
| 3M | 13.91% | 0.78% |
| 6M | 8.94% | 6.11% |
| YTD | 8.94% | 6.11% |
| 1Y | 20.92% | 20.68% |
| 3Y (ann.) | 18.77% | 9.8% |
| 5Y (ann.) | 12.51% | 7.07% |
| 10Y (ann.) | 15.13% | 10.41% |
| All-time (ann.) | 10.76% | 10.69% |
| Best Day | 12.7% | 9.79% |
| Worst Day | -16.52% | -8.97% |
| Best Month | 12.7% | 9.79% |
| Worst Month | -16.52% | -8.97% |
| Best Year | 38.05% | 27.23% |
| Worst Year | -36.79% | -7.71% |
| Avg. Drawdown | -6.27% | -3.0% |
| Avg. Drawdown Days | 122 | 76 |
| Recovery Factor | 7.49 | 18.07 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 21.32 |
| Avg. Up Month | 3.44% | 2.23% |
| Avg. Down Month | -3.97% | -2.26% |
| Win Days | 65.09% | 70.15% |
| Win Month | 65.09% | 70.15% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.37 |
| Alpha | - | 0.06 |
| Correlation | - | 65.33% |
| Treynor Ratio | - | 7798.52% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.07 | 0.93 | - |
| 1994 | 0.40 | 0.84 | 2.13 | + |
| 1995 | 38.05 | 22.98 | 0.60 | - |
| 1996 | 22.50 | 11.06 | 0.49 | - |
| 1997 | 33.48 | 24.25 | 0.72 | - |
| 1998 | 28.69 | 14.70 | 0.51 | - |
| 1999 | 20.39 | 6.59 | 0.32 | - |
| 2000 | -9.74 | 3.08 | -0.32 | + |
| 2001 | -11.76 | 3.35 | -0.28 | + |
| 2002 | -21.58 | 5.23 | -0.24 | + |
| 2003 | 28.18 | 27.23 | 0.97 | - |
| 2004 | 10.70 | 18.89 | 1.77 | + |
| 2005 | 4.83 | 8.03 | 1.66 | + |
| 2006 | 15.85 | 23.92 | 1.51 | + |
| 2007 | 5.15 | 10.21 | 1.98 | + |
| 2008 | -36.79 | -7.71 | 0.21 | + |
| 2009 | 26.35 | 16.60 | 0.63 | - |
| 2010 | 15.06 | 10.65 | 0.71 | - |
| 2011 | 1.89 | 17.38 | 9.17 | + |
| 2012 | 15.99 | 12.43 | 0.78 | - |
| 2013 | 32.31 | 16.70 | 0.52 | - |
| 2014 | 13.46 | 8.01 | 0.60 | - |
| 2015 | 1.23 | -4.90 | -3.97 | - |
| 2016 | 12.00 | 6.82 | 0.57 | - |
| 2017 | 21.71 | 16.16 | 0.74 | - |
| 2018 | -4.57 | 2.58 | -0.56 | + |
| 2019 | 31.22 | 9.76 | 0.31 | - |
| 2020 | 18.33 | 23.45 | 1.28 | + |
| 2021 | 28.73 | 19.87 | 0.69 | - |
| 2022 | -18.18 | -6.13 | 0.34 | + |
| 2023 | 26.18 | 9.57 | 0.37 | - |
| 2024 | 24.89 | 4.53 | 0.18 | - |
| 2025 | 17.72 | 19.54 | 1.10 | + |
| 2026 | 8.94 | 6.11 | 0.68 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-08-31 | -19.56 | 641 |
| 2015-03-31 | 2016-12-31 | -9.18 | 642 |
| 2004-04-30 | 2004-09-30 | -8.97 | 154 |
| 2022-04-30 | 2023-05-31 | -8.92 | 397 |
| 1998-07-31 | 1998-10-31 | -8.63 | 93 |
| 2010-05-31 | 2010-12-31 | -8.11 | 215 |
| 2020-09-30 | 2020-10-31 | -5.77 | 32 |
| 2023-08-31 | 2024-01-31 | -5.11 | 154 |
| 2012-05-31 | 2012-07-31 | -4.89 | 62 |
| 2018-09-30 | 2019-03-31 | -4.88 | 183 |