| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,491.38% |
| CAGR﹪ | 10.76% | 8.61% |
| Sharpe | 0.77 | 1.33 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.24 |
| Sortino | 1.18 | 2.39 |
| Smart Sortino | 1.1 | 2.22 |
| Sortino/√2 | 0.84 | 1.69 |
| Smart Sortino/√2 | 0.78 | 1.57 |
| Omega | 1.76 | 2.76 |
| Max Drawdown | -50.78% | -10.85% |
| 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 | 2010-02-28 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.76% | 6.37% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.79 |
| Skew | -0.55 | -0.21 |
| Kurtosis | 0.98 | 3.74 |
| Ulcer Performance Index | 211.25 | 560.4 |
| Risk-Adjusted Return | 754.56% | 466.7% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.95% | 0.71% |
| Avg. Win | 3.41% | 1.67% |
| Avg. Loss | -3.87% | -1.64% |
| Win/Loss Ratio | 0.88 | 1.02 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.69% |
| Expected Monthly | 0.85% | 0.69% |
| Expected Yearly | 10.59% | 8.48% |
| Kelly Criterion | 25.42% | 42.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.32% |
| Expected Shortfall (cVaR) | -8.96% | -3.51% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.76 |
| Gain/Pain (1M) | 0.76 | 1.76 |
| Payoff Ratio | 0.88 | 1.02 |
| Profit Factor | 1.76 | 2.76 |
| Common Sense Ratio | 1.85 | 3.76 |
| CPC Index | 1.01 | 1.99 |
| Tail Ratio | 1.05 | 1.36 |
| Outlier Win Ratio | 2.95 | 3.16 |
| Outlier Loss Ratio | 2.93 | 3.1 |
| MTD | -1.05% | -0.84% |
| 3M | 13.91% | -1.99% |
| 6M | 8.94% | -0.32% |
| YTD | 8.94% | -0.32% |
| 1Y | 20.92% | 11.34% |
| 3Y (ann.) | 18.77% | 10.48% |
| 5Y (ann.) | 12.51% | 5.54% |
| 10Y (ann.) | 15.13% | 8.0% |
| All-time (ann.) | 10.76% | 8.61% |
| Best Day | 12.7% | 9.62% |
| Worst Day | -16.52% | -9.2% |
| Best Month | 12.7% | 9.62% |
| Worst Month | -16.52% | -9.2% |
| Best Year | 38.05% | 20.54% |
| Worst Year | -36.79% | -8.1% |
| Avg. Drawdown | -6.27% | -2.33% |
| Avg. Drawdown Days | 122 | 79 |
| Recovery Factor | 7.49 | 26.22 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 24.74 |
| Avg. Up Month | 3.41% | 1.67% |
| Avg. Down Month | -3.87% | -1.64% |
| Win Days | 65.09% | 70.9% |
| Win Month | 65.09% | 70.9% |
| Win Quarter | 73.33% | 77.78% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.22 |
| Alpha | - | 0.06 |
| Correlation | - | 50.56% |
| Treynor Ratio | - | 6833.02% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.46 | 1.55 | + |
| 1994 | 0.40 | -3.34 | -8.42 | - |
| 1995 | 38.05 | 17.35 | 0.46 | - |
| 1996 | 22.50 | 12.78 | 0.57 | - |
| 1997 | 33.48 | 8.74 | 0.26 | - |
| 1998 | 28.69 | 13.40 | 0.47 | - |
| 1999 | 20.39 | 7.10 | 0.35 | - |
| 2000 | -9.74 | 6.27 | -0.64 | + |
| 2001 | -11.76 | 6.59 | -0.56 | + |
| 2002 | -21.58 | 13.15 | -0.61 | + |
| 2003 | 28.18 | 17.93 | 0.64 | - |
| 2004 | 10.70 | 13.71 | 1.28 | + |
| 2005 | 4.83 | 6.66 | 1.38 | + |
| 2006 | 15.85 | 11.20 | 0.71 | - |
| 2007 | 5.15 | 9.59 | 1.86 | + |
| 2008 | -36.79 | 14.19 | -0.39 | + |
| 2009 | 26.35 | -1.18 | -0.04 | - |
| 2010 | 15.06 | 7.91 | 0.53 | - |
| 2011 | 1.89 | 9.27 | 4.89 | + |
| 2012 | 15.99 | 6.11 | 0.38 | - |
| 2013 | 32.31 | 5.65 | 0.17 | - |
| 2014 | 13.46 | 10.39 | 0.77 | - |
| 2015 | 1.23 | 1.91 | 1.55 | + |
| 2016 | 12.00 | 2.44 | 0.20 | - |
| 2017 | 21.71 | 12.92 | 0.60 | - |
| 2018 | -4.57 | 1.68 | -0.37 | + |
| 2019 | 31.22 | 10.45 | 0.33 | - |
| 2020 | 18.33 | 20.54 | 1.12 | + |
| 2021 | 28.73 | 8.78 | 0.31 | - |
| 2022 | -18.18 | -8.10 | 0.45 | + |
| 2023 | 26.18 | 7.66 | 0.29 | - |
| 2024 | 24.89 | 9.80 | 0.39 | - |
| 2025 | 17.72 | 20.09 | 1.13 | + |
| 2026 | 8.94 | -0.32 | -0.04 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-02-28 | -10.85 | 394 |
| 2022-01-31 | 2024-01-31 | -9.41 | 731 |
| 2008-06-30 | 2008-10-31 | -6.92 | 124 |
| 1994-02-28 | 1995-03-31 | -5.93 | 397 |
| 2004-04-30 | 2004-08-31 | -5.09 | 124 |
| 2026-03-31 | 2026-07-31 | -4.73 | 123 |
| 2015-03-31 | 2016-05-31 | -4.39 | 428 |
| 1999-02-28 | 1999-07-31 | -4.28 | 154 |
| 2013-05-31 | 2013-11-30 | -4.01 | 184 |
| 2019-05-31 | 2019-07-31 | -3.99 | 62 |