| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,265.09% |
| CAGR﹪ | 10.76% | 11.07% |
| Sharpe | 0.77 | 1.33 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.26 |
| Sortino | 1.18 | 2.38 |
| Smart Sortino | 1.12 | 2.26 |
| Sortino/√2 | 0.84 | 1.68 |
| Smart Sortino/√2 | 0.79 | 1.59 |
| Omega | 1.76 | 2.7 |
| Max Drawdown | -50.78% | -15.94% |
| 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 | 2009-06-30 |
| Longest DD Days | 2223 | 611 |
| Volatility (ann.) | 14.76% | 8.21% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.69 |
| Skew | -0.55 | -0.24 |
| Kurtosis | 0.98 | 1.74 |
| Ulcer Performance Index | 211.25 | 1122.71 |
| Risk-Adjusted Return | 754.56% | 806.19% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.95% | 0.91% |
| Avg. Win | 3.41% | 2.15% |
| Avg. Loss | -3.74% | -2.06% |
| Win/Loss Ratio | 0.91 | 1.04 |
| Profit Ratio | 0.5 | 0.46 |
| Expected Daily | 0.85% | 0.88% |
| Expected Monthly | 0.85% | 0.88% |
| Expected Yearly | 10.59% | 10.89% |
| Kelly Criterion | 26.83% | 42.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.99% |
| Expected Shortfall (cVaR) | -8.96% | -4.59% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.7 |
| Gain/Pain (1M) | 0.76 | 1.7 |
| Payoff Ratio | 0.91 | 1.04 |
| Profit Factor | 1.76 | 2.7 |
| Common Sense Ratio | 1.85 | 4.25 |
| CPC Index | 1.04 | 2.0 |
| Tail Ratio | 1.05 | 1.57 |
| Outlier Win Ratio | 2.95 | 3.48 |
| Outlier Loss Ratio | 2.93 | 3.04 |
| MTD | -1.05% | -0.33% |
| 3M | 13.91% | 1.88% |
| 6M | 8.94% | 6.42% |
| YTD | 8.94% | 6.42% |
| 1Y | 20.92% | 17.87% |
| 3Y (ann.) | 18.77% | 8.84% |
| 5Y (ann.) | 12.51% | 8.09% |
| 10Y (ann.) | 15.13% | 11.22% |
| All-time (ann.) | 10.76% | 11.07% |
| 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% | 33.84% |
| Worst Year | -36.79% | -4.83% |
| Avg. Drawdown | -6.27% | -2.84% |
| Avg. Drawdown Days | 122 | 71 |
| Recovery Factor | 7.49 | 22.85 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 36.43 |
| Avg. Up Month | 3.41% | 2.15% |
| Avg. Down Month | -3.74% | -2.06% |
| Win Days | 65.09% | 70.9% |
| Win Month | 65.09% | 70.9% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.33 |
| Alpha | - | 0.07 |
| Correlation | - | 59.88% |
| Treynor Ratio | - | 9808.93% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.35 | 1.42 | + |
| 1994 | 0.40 | -0.65 | -1.64 | - |
| 1995 | 38.05 | 24.30 | 0.64 | - |
| 1996 | 22.50 | 12.79 | 0.57 | - |
| 1997 | 33.48 | 12.29 | 0.37 | - |
| 1998 | 28.69 | 13.09 | 0.46 | - |
| 1999 | 20.39 | 6.93 | 0.34 | - |
| 2000 | -9.74 | 4.97 | -0.51 | + |
| 2001 | -11.76 | 6.45 | -0.55 | + |
| 2002 | -21.58 | 5.61 | -0.26 | + |
| 2003 | 28.18 | 33.84 | 1.20 | + |
| 2004 | 10.70 | 19.13 | 1.79 | + |
| 2005 | 4.83 | 8.03 | 1.66 | + |
| 2006 | 15.85 | 17.10 | 1.08 | + |
| 2007 | 5.15 | 8.83 | 1.72 | + |
| 2008 | -36.79 | -4.64 | 0.13 | + |
| 2009 | 26.35 | 22.76 | 0.86 | - |
| 2010 | 15.06 | 10.22 | 0.68 | - |
| 2011 | 1.89 | 15.09 | 7.97 | + |
| 2012 | 15.99 | 12.64 | 0.79 | - |
| 2013 | 32.31 | 16.70 | 0.52 | - |
| 2014 | 13.46 | 8.01 | 0.60 | - |
| 2015 | 1.23 | -4.83 | -3.92 | - |
| 2016 | 12.00 | 6.94 | 0.58 | - |
| 2017 | 21.71 | 16.49 | 0.76 | - |
| 2018 | -4.57 | 2.58 | -0.56 | + |
| 2019 | 31.22 | 12.70 | 0.41 | - |
| 2020 | 18.33 | 23.99 | 1.31 | + |
| 2021 | 28.73 | 18.32 | 0.64 | - |
| 2022 | -18.18 | -1.60 | 0.09 | + |
| 2023 | 26.18 | 14.73 | 0.56 | - |
| 2024 | 24.89 | 5.19 | 0.21 | - |
| 2025 | 17.72 | 14.10 | 0.80 | - |
| 2026 | 8.94 | 6.42 | 0.72 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-06-30 | -15.94 | 579 |
| 2004-04-30 | 2004-09-30 | -8.97 | 154 |
| 2022-06-30 | 2023-04-30 | -8.73 | 305 |
| 2015-03-31 | 2016-11-30 | -8.38 | 611 |
| 2010-05-31 | 2010-11-30 | -7.03 | 184 |
| 2020-09-30 | 2020-10-31 | -5.77 | 32 |
| 2000-04-30 | 2000-07-31 | -5.58 | 93 |
| 1994-02-28 | 1995-01-31 | -5.22 | 338 |
| 2012-05-31 | 2012-07-31 | -4.89 | 62 |
| 2018-09-30 | 2019-03-31 | -4.88 | 183 |