| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,219.75% |
| CAGR﹪ | 10.76% | 9.84% |
| Sharpe | 0.77 | 1.76 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.71 |
| Sortino | 1.18 | 3.96 |
| Smart Sortino | 1.15 | 3.84 |
| Sortino/√2 | 0.84 | 2.8 |
| Smart Sortino/√2 | 0.81 | 2.71 |
| Omega | 1.76 | 3.92 |
| Max Drawdown | -50.78% | -7.9% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2008-03-31 |
| Max DD Period End | 2012-02-29 | 2008-11-30 |
| Longest DD Days | 2223 | 398 |
| Volatility (ann.) | 14.76% | 5.43% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 1.25 |
| Skew | -0.55 | 0.29 |
| Kurtosis | 0.98 | 1.5 |
| Ulcer Performance Index | 211.25 | 1794.18 |
| Risk-Adjusted Return | 754.56% | 617.71% |
| Risk-Return Ratio | 0.22 | 0.51 |
| Avg. Return | 0.95% | 0.8% |
| Avg. Win | 3.44% | 1.58% |
| Avg. Loss | -3.97% | -1.17% |
| Win/Loss Ratio | 0.87 | 1.35 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.79% |
| Expected Monthly | 0.85% | 0.79% |
| Expected Yearly | 10.59% | 9.69% |
| Kelly Criterion | 24.84% | 53.64% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.78% |
| Expected Shortfall (cVaR) | -8.96% | -2.59% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 2.92 |
| Gain/Pain (1M) | 0.76 | 2.92 |
| Payoff Ratio | 0.87 | 1.35 |
| Profit Factor | 1.76 | 3.92 |
| Common Sense Ratio | 1.85 | 8.88 |
| CPC Index | 0.99 | 3.88 |
| Tail Ratio | 1.05 | 2.27 |
| Outlier Win Ratio | 2.95 | 3.64 |
| Outlier Loss Ratio | 2.93 | 2.62 |
| MTD | -1.05% | -0.84% |
| 3M | 13.91% | -5.27% |
| 6M | 8.94% | 2.83% |
| YTD | 8.94% | 2.83% |
| 1Y | 20.92% | 11.06% |
| 3Y (ann.) | 18.77% | 10.47% |
| 5Y (ann.) | 12.51% | 7.61% |
| 10Y (ann.) | 15.13% | 8.28% |
| All-time (ann.) | 10.76% | 9.84% |
| Best Day | 12.7% | 6.73% |
| Worst Day | -16.52% | -4.65% |
| Best Month | 12.7% | 6.73% |
| Worst Month | -16.52% | -4.65% |
| Best Year | 38.05% | 23.41% |
| Worst Year | -36.79% | -1.16% |
| Avg. Drawdown | -6.27% | -1.48% |
| Avg. Drawdown Days | 122 | 48 |
| Recovery Factor | 7.49 | 40.56 |
| Ulcer Index | 0.14 | 0.01 |
| Serenity Index | 3.21 | 115.59 |
| Avg. Up Month | 3.44% | 1.58% |
| Avg. Down Month | -3.97% | -1.17% |
| Win Days | 65.09% | 73.38% |
| Win Month | 65.09% | 73.38% |
| Win Quarter | 73.33% | 82.22% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.18 |
| Alpha | - | 0.08 |
| Correlation | - | 47.84% |
| Treynor Ratio | - | 12607.36% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.28 | 1.41 | + |
| 1994 | 0.40 | 0.35 | 0.87 | - |
| 1995 | 38.05 | 23.41 | 0.62 | - |
| 1996 | 22.50 | 8.95 | 0.40 | - |
| 1997 | 33.48 | 12.43 | 0.37 | - |
| 1998 | 28.69 | 13.90 | 0.48 | - |
| 1999 | 20.39 | 9.18 | 0.45 | - |
| 2000 | -9.74 | 10.28 | -1.06 | + |
| 2001 | -11.76 | 3.60 | -0.31 | + |
| 2002 | -21.58 | 11.70 | -0.54 | + |
| 2003 | 28.18 | 22.86 | 0.81 | - |
| 2004 | 10.70 | 13.06 | 1.22 | + |
| 2005 | 4.83 | 10.64 | 2.20 | + |
| 2006 | 15.85 | 20.35 | 1.28 | + |
| 2007 | 5.15 | 15.14 | 2.94 | + |
| 2008 | -36.79 | 5.34 | -0.15 | + |
| 2009 | 26.35 | 13.19 | 0.50 | - |
| 2010 | 15.06 | 12.12 | 0.81 | - |
| 2011 | 1.89 | 8.51 | 4.49 | + |
| 2012 | 15.99 | 5.09 | 0.32 | - |
| 2013 | 32.31 | 5.39 | 0.17 | - |
| 2014 | 13.46 | 7.14 | 0.53 | - |
| 2015 | 1.23 | -1.16 | -0.94 | - |
| 2016 | 12.00 | 4.42 | 0.37 | - |
| 2017 | 21.71 | 10.97 | 0.51 | - |
| 2018 | -4.57 | 1.80 | -0.39 | + |
| 2019 | 31.22 | 13.31 | 0.43 | - |
| 2020 | 18.33 | 18.09 | 0.99 | - |
| 2021 | 28.73 | 5.36 | 0.19 | - |
| 2022 | -18.18 | -0.63 | 0.03 | + |
| 2023 | 26.18 | 8.87 | 0.34 | - |
| 2024 | 24.89 | 10.60 | 0.43 | - |
| 2025 | 17.72 | 15.78 | 0.89 | - |
| 2026 | 8.94 | 2.83 | 0.32 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-03-31 | 2008-11-30 | -7.90 | 245 |
| 2026-05-31 | 2026-07-31 | -6.03 | 62 |
| 2004-04-30 | 2004-08-31 | -4.41 | 124 |
| 2016-08-31 | 2017-03-31 | -4.29 | 213 |
| 2009-01-31 | 2009-04-30 | -4.02 | 90 |
| 2020-09-30 | 2020-11-30 | -3.51 | 62 |
| 1994-02-28 | 1994-10-31 | -3.51 | 246 |
| 2015-02-28 | 2016-03-31 | -3.13 | 398 |
| 2018-10-31 | 2019-02-28 | -3.08 | 121 |
| 2012-05-31 | 2012-07-31 | -2.97 | 62 |