| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,811.06% |
| CAGR﹪ | 10.76% | 9.21% |
| Sharpe | 0.77 | 1.28 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.19 |
| Sortino | 1.18 | 2.29 |
| Smart Sortino | 1.1 | 2.12 |
| Sortino/√2 | 0.84 | 1.62 |
| Smart Sortino/√2 | 0.78 | 1.5 |
| Omega | 1.76 | 2.68 |
| Max Drawdown | -50.78% | -11.91% |
| 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 | 2009-10-31 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.76% | 7.12% |
| R^2 | 0.31 | 0.31 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 0.77 |
| Skew | -0.55 | -0.15 |
| Kurtosis | 0.98 | 4.22 |
| Ulcer Performance Index | 211.25 | 663.64 |
| Risk-Adjusted Return | 754.56% | 535.6% |
| Risk-Return Ratio | 0.22 | 0.37 |
| Avg. Return | 0.95% | 0.76% |
| Avg. Win | 3.4% | 1.84% |
| Avg. Loss | -3.93% | -1.77% |
| Win/Loss Ratio | 0.86 | 1.04 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.74% |
| Expected Monthly | 0.85% | 0.74% |
| Expected Yearly | 10.59% | 9.06% |
| Kelly Criterion | 24.7% | 40.89% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.62% |
| Expected Shortfall (cVaR) | -8.96% | -3.92% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.68 |
| Gain/Pain (1M) | 0.76 | 1.68 |
| Payoff Ratio | 0.86 | 1.04 |
| Profit Factor | 1.76 | 2.68 |
| Common Sense Ratio | 1.85 | 3.74 |
| CPC Index | 0.99 | 1.94 |
| Tail Ratio | 1.05 | 1.39 |
| Outlier Win Ratio | 2.95 | 3.3 |
| Outlier Loss Ratio | 2.93 | 2.96 |
| MTD | -1.05% | -0.92% |
| 3M | 13.91% | -1.03% |
| 6M | 8.94% | 1.06% |
| YTD | 8.94% | 1.06% |
| 1Y | 20.92% | 13.1% |
| 3Y (ann.) | 18.77% | 9.42% |
| 5Y (ann.) | 12.51% | 5.61% |
| 10Y (ann.) | 15.13% | 9.07% |
| All-time (ann.) | 10.76% | 9.21% |
| Best Day | 12.7% | 10.96% |
| Worst Day | -16.52% | -10.53% |
| Best Month | 12.7% | 10.96% |
| Worst Month | -16.52% | -10.53% |
| Best Year | 38.05% | 25.36% |
| Worst Year | -36.79% | -6.83% |
| Avg. Drawdown | -6.27% | -2.45% |
| Avg. Drawdown Days | 122 | 80 |
| Recovery Factor | 7.49 | 25.57 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 30.08 |
| Avg. Up Month | 3.4% | 1.84% |
| Avg. Down Month | -3.93% | -1.77% |
| Win Days | 65.09% | 69.9% |
| Win Month | 65.09% | 69.9% |
| Win Quarter | 73.33% | 74.81% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.27 |
| Alpha | - | 0.06 |
| Correlation | - | 55.31% |
| Treynor Ratio | - | 6792.58% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.33 | 1.53 | + |
| 1994 | 0.40 | -2.69 | -6.77 | - |
| 1995 | 38.05 | 17.37 | 0.46 | - |
| 1996 | 22.50 | 12.68 | 0.56 | - |
| 1997 | 33.48 | 10.12 | 0.30 | - |
| 1998 | 28.69 | 13.01 | 0.45 | - |
| 1999 | 20.39 | 7.28 | 0.36 | - |
| 2000 | -9.74 | 5.19 | -0.53 | + |
| 2001 | -11.76 | 7.01 | -0.60 | + |
| 2002 | -21.58 | 12.42 | -0.58 | + |
| 2003 | 28.18 | 21.70 | 0.77 | - |
| 2004 | 10.70 | 16.81 | 1.57 | + |
| 2005 | 4.83 | 7.99 | 1.65 | + |
| 2006 | 15.85 | 12.72 | 0.80 | - |
| 2007 | 5.15 | 11.71 | 2.28 | + |
| 2008 | -36.79 | 12.86 | -0.35 | + |
| 2009 | 26.35 | 0.01 | 0.00 | - |
| 2010 | 15.06 | 5.69 | 0.38 | - |
| 2011 | 1.89 | 8.44 | 4.45 | + |
| 2012 | 15.99 | 6.43 | 0.40 | - |
| 2013 | 32.31 | 6.34 | 0.20 | - |
| 2014 | 13.46 | 10.39 | 0.77 | - |
| 2015 | 1.23 | 1.80 | 1.46 | + |
| 2016 | 12.00 | 2.13 | 0.18 | - |
| 2017 | 21.71 | 15.21 | 0.70 | - |
| 2018 | -4.57 | 0.76 | -0.17 | + |
| 2019 | 31.22 | 11.31 | 0.36 | - |
| 2020 | 18.33 | 25.36 | 1.38 | + |
| 2021 | 28.73 | 13.40 | 0.47 | - |
| 2022 | -18.18 | -6.83 | 0.38 | + |
| 2023 | 26.18 | 8.18 | 0.31 | - |
| 2024 | 24.89 | 6.09 | 0.24 | - |
| 2025 | 17.72 | 20.28 | 1.14 | + |
| 2026 | 8.94 | 1.06 | 0.12 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-10-31 | -11.91 | 274 |
| 2007-11-30 | 2008-11-30 | -9.63 | 367 |
| 2021-11-30 | 2023-11-30 | -7.96 | 731 |
| 2004-04-30 | 2004-09-30 | -6.08 | 154 |
| 1994-02-28 | 1995-02-28 | -5.47 | 366 |
| 2015-03-31 | 2016-06-30 | -4.69 | 458 |
| 2020-02-29 | 2020-03-31 | -4.54 | 32 |
| 2019-05-31 | 2019-09-30 | -4.43 | 123 |
| 2018-10-31 | 2019-02-28 | -4.34 | 121 |
| 2020-09-30 | 2020-10-31 | -4.32 | 32 |