| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,468.96% |
| CAGR﹪ | 10.76% | 8.57% |
| Sharpe | 0.77 | 1.31 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.21 |
| Sortino | 1.18 | 2.35 |
| Smart Sortino | 1.09 | 2.17 |
| Sortino/√2 | 0.84 | 1.66 |
| Smart Sortino/√2 | 0.77 | 1.53 |
| Omega | 1.76 | 2.67 |
| Max Drawdown | -50.78% | -10.61% |
| Max DD Date | 2009-02-28 | 2022-06-30 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 2223 | 883 |
| Volatility (ann.) | 14.76% | 6.44% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 0.81 |
| Skew | -0.55 | -0.26 |
| Kurtosis | 0.98 | 2.05 |
| Ulcer Performance Index | 211.25 | 533.42 |
| Risk-Adjusted Return | 754.56% | 461.68% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.95% | 0.71% |
| Avg. Win | 3.39% | 1.69% |
| Avg. Loss | -3.77% | -1.63% |
| Win/Loss Ratio | 0.9 | 1.04 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.69% |
| Expected Monthly | 0.85% | 0.69% |
| Expected Yearly | 10.59% | 8.43% |
| Kelly Criterion | 26.32% | 41.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.35% |
| Expected Shortfall (cVaR) | -8.96% | -3.62% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.67 |
| Gain/Pain (1M) | 0.76 | 1.67 |
| Payoff Ratio | 0.9 | 1.04 |
| Profit Factor | 1.76 | 2.67 |
| Common Sense Ratio | 1.85 | 3.93 |
| CPC Index | 1.03 | 1.95 |
| Tail Ratio | 1.05 | 1.47 |
| Outlier Win Ratio | 2.95 | 3.27 |
| Outlier Loss Ratio | 2.93 | 2.77 |
| MTD | -1.05% | -1.99% |
| 3M | 13.91% | -2.34% |
| 6M | 8.94% | 0.4% |
| YTD | 8.94% | 0.4% |
| 1Y | 20.92% | 12.75% |
| 3Y (ann.) | 18.77% | 10.76% |
| 5Y (ann.) | 12.51% | 5.48% |
| 10Y (ann.) | 15.13% | 7.9% |
| All-time (ann.) | 10.76% | 8.57% |
| Best Day | 12.7% | 8.08% |
| Worst Day | -16.52% | -7.69% |
| Best Month | 12.7% | 8.08% |
| Worst Month | -16.52% | -7.69% |
| Best Year | 38.05% | 20.18% |
| Worst Year | -36.79% | -8.7% |
| Avg. Drawdown | -6.27% | -2.31% |
| Avg. Drawdown Days | 122 | 75 |
| Recovery Factor | 7.49 | 26.68 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 24.42 |
| Avg. Up Month | 3.39% | 1.69% |
| Avg. Down Month | -3.77% | -1.63% |
| Win Days | 65.09% | 70.4% |
| Win Month | 65.09% | 70.4% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.22 |
| Alpha | - | 0.06 |
| Correlation | - | 50.68% |
| Treynor Ratio | - | 6647.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.55 | 1.56 | + |
| 1994 | 0.40 | -4.25 | -10.70 | - |
| 1995 | 38.05 | 15.87 | 0.42 | - |
| 1996 | 22.50 | 12.61 | 0.56 | - |
| 1997 | 33.48 | 8.51 | 0.25 | - |
| 1998 | 28.69 | 13.18 | 0.46 | - |
| 1999 | 20.39 | 6.39 | 0.31 | - |
| 2000 | -9.74 | 6.63 | -0.68 | + |
| 2001 | -11.76 | 6.79 | -0.58 | + |
| 2002 | -21.58 | 14.00 | -0.65 | + |
| 2003 | 28.18 | 20.16 | 0.72 | - |
| 2004 | 10.70 | 14.08 | 1.32 | + |
| 2005 | 4.83 | 5.38 | 1.11 | + |
| 2006 | 15.85 | 10.91 | 0.69 | - |
| 2007 | 5.15 | 9.77 | 1.90 | + |
| 2008 | -36.79 | 12.02 | -0.33 | + |
| 2009 | 26.35 | 1.93 | 0.07 | - |
| 2010 | 15.06 | 6.43 | 0.43 | - |
| 2011 | 1.89 | 8.37 | 4.42 | + |
| 2012 | 15.99 | 6.83 | 0.43 | - |
| 2013 | 32.31 | 3.76 | 0.12 | - |
| 2014 | 13.46 | 11.56 | 0.86 | - |
| 2015 | 1.23 | 2.01 | 1.63 | + |
| 2016 | 12.00 | 4.65 | 0.39 | - |
| 2017 | 21.71 | 15.84 | 0.73 | - |
| 2018 | -4.57 | -0.46 | 0.10 | + |
| 2019 | 31.22 | 13.05 | 0.42 | - |
| 2020 | 18.33 | 18.68 | 1.02 | + |
| 2021 | 28.73 | 5.50 | 0.19 | - |
| 2022 | -18.18 | -8.70 | 0.48 | + |
| 2023 | 26.18 | 7.14 | 0.27 | - |
| 2024 | 24.89 | 10.72 | 0.43 | - |
| 2025 | 17.72 | 20.18 | 1.14 | + |
| 2026 | 8.94 | 0.40 | 0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-02-29 | -10.61 | 883 |
| 2009-01-31 | 2009-10-31 | -9.22 | 274 |
| 2008-06-30 | 2008-11-30 | -7.27 | 154 |
| 2018-10-31 | 2019-03-31 | -6.77 | 152 |
| 1994-02-28 | 1995-03-31 | -6.48 | 397 |
| 2019-05-31 | 2019-10-31 | -5.53 | 154 |
| 2004-04-30 | 2004-08-31 | -5.25 | 124 |
| 2018-02-28 | 2018-07-31 | -4.77 | 154 |
| 2013-05-31 | 2014-01-31 | -4.59 | 246 |
| 2026-06-30 | 2026-07-31 | -4.43 | 32 |