| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,543.90% |
| CAGR﹪ | 10.76% | 8.72% |
| Sharpe | 0.77 | 1.22 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 1.09 |
| Sortino | 1.18 | 2.14 |
| Smart Sortino | 1.06 | 1.92 |
| Sortino/√2 | 0.84 | 1.51 |
| Smart Sortino/√2 | 0.75 | 1.36 |
| Omega | 1.76 | 2.57 |
| Max Drawdown | -50.78% | -12.53% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2010-03-31 |
| Longest DD Days | 2223 | 854 |
| Volatility (ann.) | 14.76% | 7.11% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.7 |
| Skew | -0.55 | -0.2 |
| Kurtosis | 0.98 | 4.96 |
| Ulcer Performance Index | 211.25 | 543.43 |
| Risk-Adjusted Return | 754.56% | 478.35% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 0.72% |
| Avg. Win | 3.38% | 1.79% |
| Avg. Loss | -3.58% | -1.78% |
| Win/Loss Ratio | 0.94 | 1.01 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.7% |
| Expected Monthly | 0.85% | 0.7% |
| Expected Yearly | 10.59% | 8.58% |
| Kelly Criterion | 28.09% | 40.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.66% |
| Expected Shortfall (cVaR) | -8.96% | -4.26% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.57 |
| Gain/Pain (1M) | 0.76 | 1.57 |
| Payoff Ratio | 0.94 | 1.01 |
| Profit Factor | 1.76 | 2.57 |
| Common Sense Ratio | 1.85 | 3.9 |
| CPC Index | 1.08 | 1.82 |
| Tail Ratio | 1.05 | 1.52 |
| Outlier Win Ratio | 2.95 | 3.07 |
| Outlier Loss Ratio | 2.93 | 3.07 |
| MTD | -1.05% | -2.21% |
| 3M | 13.91% | -1.38% |
| 6M | 8.94% | -0.89% |
| YTD | 8.94% | -0.89% |
| 1Y | 20.92% | 10.86% |
| 3Y (ann.) | 18.77% | 9.35% |
| 5Y (ann.) | 12.51% | 5.25% |
| 10Y (ann.) | 15.13% | 8.27% |
| All-time (ann.) | 10.76% | 8.72% |
| Best Day | 12.7% | 11.5% |
| Worst Day | -16.52% | -11.04% |
| Best Month | 12.7% | 11.5% |
| Worst Month | -16.52% | -11.04% |
| Best Year | 38.05% | 19.51% |
| Worst Year | -36.79% | -5.97% |
| Avg. Drawdown | -6.27% | -2.51% |
| Avg. Drawdown Days | 122 | 81 |
| Recovery Factor | 7.49 | 23.1 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 26.44 |
| Avg. Up Month | 3.38% | 1.79% |
| Avg. Down Month | -3.58% | -1.78% |
| Win Days | 65.09% | 70.15% |
| Win Month | 65.09% | 70.15% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.23 |
| Alpha | - | 0.06 |
| Correlation | - | 47.93% |
| Treynor Ratio | - | 6689.67% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.16 | 1.51 | + |
| 1994 | 0.40 | -3.58 | -9.01 | - |
| 1995 | 38.05 | 15.87 | 0.42 | - |
| 1996 | 22.50 | 13.51 | 0.60 | - |
| 1997 | 33.48 | 17.17 | 0.51 | - |
| 1998 | 28.69 | 14.14 | 0.49 | - |
| 1999 | 20.39 | 5.76 | 0.28 | - |
| 2000 | -9.74 | 7.18 | -0.74 | + |
| 2001 | -11.76 | 6.60 | -0.56 | + |
| 2002 | -21.58 | 12.86 | -0.60 | + |
| 2003 | 28.18 | 19.51 | 0.69 | - |
| 2004 | 10.70 | 13.89 | 1.30 | + |
| 2005 | 4.83 | 4.39 | 0.91 | - |
| 2006 | 15.85 | 8.19 | 0.52 | - |
| 2007 | 5.15 | 8.93 | 1.74 | + |
| 2008 | -36.79 | 14.83 | -0.40 | + |
| 2009 | 26.35 | -3.26 | -0.12 | - |
| 2010 | 15.06 | 6.19 | 0.41 | - |
| 2011 | 1.89 | 9.21 | 4.86 | + |
| 2012 | 15.99 | 7.33 | 0.46 | - |
| 2013 | 32.31 | 5.39 | 0.17 | - |
| 2014 | 13.46 | 10.14 | 0.75 | - |
| 2015 | 1.23 | 2.54 | 2.06 | + |
| 2016 | 12.00 | 5.05 | 0.42 | - |
| 2017 | 21.71 | 16.96 | 0.78 | - |
| 2018 | -4.57 | 2.95 | -0.65 | + |
| 2019 | 31.22 | 10.91 | 0.35 | - |
| 2020 | 18.33 | 18.63 | 1.02 | + |
| 2021 | 28.73 | 6.17 | 0.21 | - |
| 2022 | -18.18 | -5.97 | 0.33 | + |
| 2023 | 26.18 | 5.02 | 0.19 | - |
| 2024 | 24.89 | 10.95 | 0.44 | - |
| 2025 | 17.72 | 18.78 | 1.06 | + |
| 2026 | 8.94 | -0.89 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-03-31 | -12.53 | 425 |
| 2021-09-30 | 2024-01-31 | -9.17 | 854 |
| 2008-06-30 | 2008-10-31 | -7.89 | 124 |
| 2019-05-31 | 2019-11-30 | -6.89 | 184 |
| 1994-02-28 | 1995-02-28 | -5.86 | 366 |
| 2004-04-30 | 2004-09-30 | -5.30 | 154 |
| 2015-03-31 | 2016-03-31 | -4.97 | 367 |
| 1999-02-28 | 1999-09-30 | -4.67 | 215 |
| 2018-10-31 | 2019-02-28 | -4.44 | 121 |
| 2026-03-31 | 2026-07-31 | -4.33 | 123 |