| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,286.70% |
| CAGR﹪ | 10.76% | 8.17% |
| Sharpe | 0.77 | 1.2 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.11 |
| Sortino | 1.18 | 2.04 |
| Smart Sortino | 1.09 | 1.89 |
| Sortino/√2 | 0.84 | 1.44 |
| Smart Sortino/√2 | 0.77 | 1.33 |
| Omega | 1.76 | 2.36 |
| Max Drawdown | -50.78% | -13.26% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-07-31 |
| Longest DD Days | 2223 | 913 |
| Volatility (ann.) | 14.76% | 6.76% |
| R^2 | 0.41 | 0.41 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.62 |
| Skew | -0.55 | -0.47 |
| Kurtosis | 0.98 | 0.62 |
| Ulcer Performance Index | 211.25 | 414.05 |
| Risk-Adjusted Return | 754.56% | 419.84% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.68% |
| Avg. Win | 3.48% | 1.82% |
| Avg. Loss | -4.05% | -1.81% |
| Win/Loss Ratio | 0.86 | 1.01 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.66% |
| Expected Monthly | 0.85% | 0.66% |
| Expected Yearly | 10.59% | 8.04% |
| Kelly Criterion | 24.47% | 37.02% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.53% |
| Expected Shortfall (cVaR) | -8.96% | -3.48% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.36 |
| Gain/Pain (1M) | 0.76 | 1.36 |
| Payoff Ratio | 0.86 | 1.01 |
| Profit Factor | 1.76 | 2.36 |
| Common Sense Ratio | 1.85 | 2.98 |
| CPC Index | 0.98 | 1.63 |
| Tail Ratio | 1.05 | 1.26 |
| Outlier Win Ratio | 2.95 | 2.72 |
| Outlier Loss Ratio | 2.93 | 2.61 |
| MTD | -1.05% | 0.63% |
| 3M | 13.91% | 3.74% |
| 6M | 8.94% | 6.7% |
| YTD | 8.94% | 6.7% |
| 1Y | 20.92% | 16.32% |
| 3Y (ann.) | 18.77% | 10.58% |
| 5Y (ann.) | 12.51% | 5.52% |
| 10Y (ann.) | 15.13% | 5.98% |
| All-time (ann.) | 10.76% | 8.17% |
| Best Day | 12.7% | 6.11% |
| Worst Day | -16.52% | -6.93% |
| Best Month | 12.7% | 6.11% |
| Worst Month | -16.52% | -6.93% |
| Best Year | 38.05% | 24.28% |
| Worst Year | -36.79% | -11.65% |
| Avg. Drawdown | -6.27% | -2.81% |
| Avg. Drawdown Days | 122 | 100 |
| Recovery Factor | 7.49 | 20.48 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 19.73 |
| Avg. Up Month | 3.48% | 1.82% |
| Avg. Down Month | -4.05% | -1.81% |
| Win Days | 65.09% | 68.41% |
| Win Month | 65.09% | 68.41% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.29 |
| Alpha | - | 0.05 |
| Correlation | - | 63.67% |
| Treynor Ratio | - | 4413.93% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.88 | 1.59 | + |
| 1994 | 0.40 | -0.08 | -0.21 | - |
| 1995 | 38.05 | 18.47 | 0.49 | - |
| 1996 | 22.50 | 15.09 | 0.67 | - |
| 1997 | 33.48 | 10.21 | 0.31 | - |
| 1998 | 28.69 | 8.88 | 0.31 | - |
| 1999 | 20.39 | 6.34 | 0.31 | - |
| 2000 | -9.74 | 6.71 | -0.69 | + |
| 2001 | -11.76 | 2.60 | -0.22 | + |
| 2002 | -21.58 | 5.03 | -0.23 | + |
| 2003 | 28.18 | 24.28 | 0.86 | - |
| 2004 | 10.70 | 17.14 | 1.60 | + |
| 2005 | 4.83 | 10.07 | 2.08 | + |
| 2006 | 15.85 | 20.14 | 1.27 | + |
| 2007 | 5.15 | 10.09 | 1.96 | + |
| 2008 | -36.79 | 3.13 | -0.08 | + |
| 2009 | 26.35 | 11.16 | 0.42 | - |
| 2010 | 15.06 | 13.85 | 0.92 | - |
| 2011 | 1.89 | 2.16 | 1.14 | + |
| 2012 | 15.99 | 5.17 | 0.32 | - |
| 2013 | 32.31 | 3.03 | 0.09 | - |
| 2014 | 13.46 | 8.47 | 0.63 | - |
| 2015 | 1.23 | -4.06 | -3.29 | - |
| 2016 | 12.00 | 5.00 | 0.42 | - |
| 2017 | 21.71 | 12.21 | 0.56 | - |
| 2018 | -4.57 | -3.63 | 0.79 | + |
| 2019 | 31.22 | 12.15 | 0.39 | - |
| 2020 | 18.33 | 4.74 | 0.26 | - |
| 2021 | 28.73 | 14.11 | 0.49 | - |
| 2022 | -18.18 | -11.65 | 0.64 | + |
| 2023 | 26.18 | 5.25 | 0.20 | - |
| 2024 | 24.89 | 9.40 | 0.38 | - |
| 2025 | 17.72 | 15.73 | 0.89 | - |
| 2026 | 8.94 | 6.70 | 0.75 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -13.26 | 913 |
| 2011-05-31 | 2013-02-28 | -8.43 | 640 |
| 2008-03-31 | 2009-07-31 | -7.27 | 488 |
| 2004-04-30 | 2004-08-31 | -6.93 | 124 |
| 2018-09-30 | 2019-07-31 | -6.68 | 305 |
| 2010-05-31 | 2010-09-30 | -6.44 | 123 |
| 2020-02-29 | 2020-07-31 | -6.34 | 154 |
| 2015-02-28 | 2016-05-31 | -5.34 | 459 |
| 1998-07-31 | 1998-10-31 | -4.95 | 93 |
| 2013-05-31 | 2014-01-31 | -4.70 | 246 |