| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,416.30% |
| CAGR﹪ | 10.76% | 10.11% |
| Sharpe | 0.77 | 1.37 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.29 |
| Sortino | 1.18 | 2.62 |
| Smart Sortino | 1.12 | 2.48 |
| Sortino/√2 | 0.84 | 1.86 |
| Smart Sortino/√2 | 0.79 | 1.75 |
| Omega | 1.76 | 2.85 |
| Max Drawdown | -50.78% | -8.29% |
| 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 | 549 |
| Volatility (ann.) | 14.76% | 7.25% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 1.22 |
| Skew | -0.55 | -0.02 |
| Kurtosis | 0.98 | 1.7 |
| Ulcer Performance Index | 211.25 | 1131.45 |
| Risk-Adjusted Return | 754.56% | 655.25% |
| Risk-Return Ratio | 0.22 | 0.4 |
| Avg. Return | 0.95% | 0.83% |
| Avg. Win | 3.47% | 1.92% |
| Avg. Loss | -3.58% | -1.71% |
| Win/Loss Ratio | 0.97 | 1.12 |
| Profit Ratio | 0.5 | 0.55 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 9.95% |
| Kelly Criterion | 29.07% | 42.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.62% |
| Expected Shortfall (cVaR) | -8.96% | -3.95% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 1.85 |
| Gain/Pain (1M) | 0.76 | 1.85 |
| Payoff Ratio | 0.97 | 1.12 |
| Profit Factor | 1.76 | 2.85 |
| Common Sense Ratio | 1.85 | 5.06 |
| CPC Index | 1.11 | 2.23 |
| Tail Ratio | 1.05 | 1.77 |
| Outlier Win Ratio | 2.95 | 3.47 |
| Outlier Loss Ratio | 2.93 | 3.03 |
| MTD | -1.05% | -1.8% |
| 3M | 13.91% | -4.55% |
| 6M | 8.94% | 5.91% |
| YTD | 8.94% | 5.91% |
| 1Y | 20.92% | 18.15% |
| 3Y (ann.) | 18.77% | 14.03% |
| 5Y (ann.) | 12.51% | 11.27% |
| 10Y (ann.) | 15.13% | 10.3% |
| All-time (ann.) | 10.76% | 10.11% |
| Best Day | 12.7% | 8.2% |
| Worst Day | -16.52% | -8.29% |
| Best Month | 12.7% | 8.2% |
| Worst Month | -16.52% | -8.29% |
| Best Year | 38.05% | 28.74% |
| Worst Year | -36.79% | -3.52% |
| Avg. Drawdown | -6.27% | -2.33% |
| Avg. Drawdown Days | 122 | 74 |
| Recovery Factor | 7.49 | 40.12 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 57.11 |
| Avg. Up Month | 3.47% | 1.92% |
| Avg. Down Month | -3.58% | -1.71% |
| Win Days | 65.09% | 69.4% |
| Win Month | 65.09% | 69.4% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.22 |
| Alpha | - | 0.07 |
| Correlation | - | 44.35% |
| Treynor Ratio | - | 11092.57% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 21.56 | 2.48 | + |
| 1994 | 0.40 | -0.59 | -1.49 | - |
| 1995 | 38.05 | 28.74 | 0.76 | - |
| 1996 | 22.50 | 8.68 | 0.39 | - |
| 1997 | 33.48 | 12.00 | 0.36 | - |
| 1998 | 28.69 | 11.66 | 0.41 | - |
| 1999 | 20.39 | 3.33 | 0.16 | - |
| 2000 | -9.74 | 6.75 | -0.69 | + |
| 2001 | -11.76 | 5.00 | -0.43 | + |
| 2002 | -21.58 | 8.29 | -0.38 | + |
| 2003 | 28.18 | 24.52 | 0.87 | - |
| 2004 | 10.70 | 12.38 | 1.16 | + |
| 2005 | 4.83 | 12.33 | 2.55 | + |
| 2006 | 15.85 | 15.15 | 0.96 | - |
| 2007 | 5.15 | 14.19 | 2.76 | + |
| 2008 | -36.79 | 8.56 | -0.23 | + |
| 2009 | 26.35 | 11.21 | 0.43 | - |
| 2010 | 15.06 | 1.83 | 0.12 | - |
| 2011 | 1.89 | 9.58 | 5.05 | + |
| 2012 | 15.99 | 6.36 | 0.40 | - |
| 2013 | 32.31 | 9.63 | 0.30 | - |
| 2014 | 13.46 | 6.04 | 0.45 | - |
| 2015 | 1.23 | -3.52 | -2.85 | - |
| 2016 | 12.00 | 5.84 | 0.49 | - |
| 2017 | 21.71 | 15.48 | 0.71 | - |
| 2018 | -4.57 | -0.08 | 0.02 | + |
| 2019 | 31.22 | 5.48 | 0.18 | - |
| 2020 | 18.33 | 17.91 | 0.98 | - |
| 2021 | 28.73 | 11.01 | 0.38 | - |
| 2022 | -18.18 | 7.31 | -0.40 | + |
| 2023 | 26.18 | 10.16 | 0.39 | - |
| 2024 | 24.89 | 12.55 | 0.50 | - |
| 2025 | 17.72 | 20.26 | 1.14 | + |
| 2026 | 8.94 | 5.91 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2004-09-30 | -8.29 | 154 |
| 2009-01-31 | 2009-07-31 | -8.17 | 182 |
| 2026-03-31 | 2026-07-31 | -6.88 | 123 |
| 2018-09-30 | 2020-03-31 | -6.15 | 549 |
| 2015-02-28 | 2016-06-30 | -6.07 | 489 |
| 2010-05-31 | 2010-09-30 | -5.70 | 123 |
| 2020-09-30 | 2020-11-30 | -5.48 | 62 |
| 1994-02-28 | 1995-01-31 | -5.43 | 338 |
| 2013-05-31 | 2013-10-31 | -4.72 | 154 |
| 2008-07-31 | 2008-11-30 | -4.41 | 123 |