| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,538.60% |
| CAGR﹪ | 10.76% | 10.26% |
| Sharpe | 0.77 | 1.49 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.42 |
| Sortino | 1.18 | 2.91 |
| Smart Sortino | 1.13 | 2.77 |
| Sortino/√2 | 0.84 | 2.06 |
| Smart Sortino/√2 | 0.8 | 1.96 |
| Omega | 1.76 | 3.08 |
| Max Drawdown | -50.78% | -8.28% |
| 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 | 489 |
| Volatility (ann.) | 14.76% | 6.72% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 1.24 |
| Skew | -0.55 | -0.12 |
| Kurtosis | 0.98 | 1.56 |
| Ulcer Performance Index | 211.25 | 1312.24 |
| Risk-Adjusted Return | 754.56% | 678.06% |
| Risk-Return Ratio | 0.22 | 0.43 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.46% | 1.86% |
| Avg. Loss | -3.71% | -1.6% |
| Win/Loss Ratio | 0.93 | 1.16 |
| Profit Ratio | 0.5 | 0.58 |
| Expected Daily | 0.85% | 0.82% |
| Expected Monthly | 0.85% | 0.82% |
| Expected Yearly | 10.59% | 10.1% |
| Kelly Criterion | 27.65% | 43.5% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.35% |
| Expected Shortfall (cVaR) | -8.96% | -3.46% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 2.08 |
| Gain/Pain (1M) | 0.76 | 2.08 |
| Payoff Ratio | 0.93 | 1.16 |
| Profit Factor | 1.76 | 3.08 |
| Common Sense Ratio | 1.85 | 5.33 |
| CPC Index | 1.07 | 2.49 |
| Tail Ratio | 1.05 | 1.73 |
| Outlier Win Ratio | 2.95 | 3.52 |
| Outlier Loss Ratio | 2.93 | 2.9 |
| MTD | -1.05% | -1.8% |
| 3M | 13.91% | -4.55% |
| 6M | 8.94% | 4.52% |
| YTD | 8.94% | 4.52% |
| 1Y | 20.92% | 13.07% |
| 3Y (ann.) | 18.77% | 11.04% |
| 5Y (ann.) | 12.51% | 9.1% |
| 10Y (ann.) | 15.13% | 10.21% |
| All-time (ann.) | 10.76% | 10.26% |
| Best Day | 12.7% | 7.25% |
| Worst Day | -16.52% | -8.28% |
| Best Month | 12.7% | 7.25% |
| Worst Month | -16.52% | -8.28% |
| Best Year | 38.05% | 25.51% |
| Worst Year | -36.79% | -2.04% |
| Avg. Drawdown | -6.27% | -2.12% |
| Avg. Drawdown Days | 122 | 68 |
| Recovery Factor | 7.49 | 40.6 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 63.69 |
| Avg. Up Month | 3.46% | 1.86% |
| Avg. Down Month | -3.71% | -1.6% |
| Win Days | 65.09% | 69.65% |
| Win Month | 65.09% | 69.65% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.21 |
| Alpha | - | 0.08 |
| Correlation | - | 45.75% |
| Treynor Ratio | - | 12196.45% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 24.79 | 2.85 | + |
| 1994 | 0.40 | -1.56 | -3.94 | - |
| 1995 | 38.05 | 15.62 | 0.41 | - |
| 1996 | 22.50 | 10.50 | 0.47 | - |
| 1997 | 33.48 | 13.55 | 0.40 | - |
| 1998 | 28.69 | 10.27 | 0.36 | - |
| 1999 | 20.39 | 3.80 | 0.19 | - |
| 2000 | -9.74 | 6.71 | -0.69 | + |
| 2001 | -11.76 | 6.56 | -0.56 | + |
| 2002 | -21.58 | 9.78 | -0.45 | + |
| 2003 | 28.18 | 25.51 | 0.91 | - |
| 2004 | 10.70 | 12.76 | 1.19 | + |
| 2005 | 4.83 | 7.38 | 1.53 | + |
| 2006 | 15.85 | 19.61 | 1.24 | + |
| 2007 | 5.15 | 10.95 | 2.13 | + |
| 2008 | -36.79 | 10.55 | -0.29 | + |
| 2009 | 26.35 | 8.25 | 0.31 | - |
| 2010 | 15.06 | 12.02 | 0.80 | - |
| 2011 | 1.89 | 8.13 | 4.29 | + |
| 2012 | 15.99 | 7.14 | 0.45 | - |
| 2013 | 32.31 | 10.46 | 0.32 | - |
| 2014 | 13.46 | 8.92 | 0.66 | - |
| 2015 | 1.23 | -2.04 | -1.66 | - |
| 2016 | 12.00 | 6.97 | 0.58 | - |
| 2017 | 21.71 | 14.72 | 0.68 | - |
| 2018 | -4.57 | -0.27 | 0.06 | + |
| 2019 | 31.22 | 14.09 | 0.45 | - |
| 2020 | 18.33 | 14.71 | 0.80 | - |
| 2021 | 28.73 | 15.08 | 0.52 | - |
| 2022 | -18.18 | 4.76 | -0.26 | + |
| 2023 | 26.18 | 9.48 | 0.36 | - |
| 2024 | 24.89 | 10.66 | 0.43 | - |
| 2025 | 17.72 | 14.79 | 0.83 | - |
| 2026 | 8.94 | 4.52 | 0.51 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2004-09-30 | -8.28 | 154 |
| 2009-01-31 | 2009-08-31 | -7.20 | 213 |
| 2026-03-31 | 2026-07-31 | -6.88 | 123 |
| 2018-09-30 | 2019-07-31 | -5.84 | 305 |
| 2015-02-28 | 2016-06-30 | -5.32 | 489 |
| 2020-09-30 | 2020-11-30 | -5.14 | 62 |
| 2022-04-30 | 2023-05-31 | -4.65 | 397 |
| 2010-05-31 | 2010-09-30 | -4.52 | 123 |
| 2013-05-31 | 2013-10-31 | -4.03 | 154 |
| 2024-12-31 | 2025-05-31 | -3.85 | 152 |