| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 5,361.37% |
| CAGR﹪ | 10.76% | 12.68% |
| Sharpe | 0.77 | 1.71 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.61 |
| Sortino | 1.18 | 3.73 |
| Smart Sortino | 1.12 | 3.53 |
| Sortino/√2 | 0.84 | 2.64 |
| Smart Sortino/√2 | 0.79 | 2.49 |
| Omega | 1.76 | 3.67 |
| Max Drawdown | -50.78% | -7.4% |
| Max DD Date | 2009-02-28 | 2026-07-31 |
| Max DD Period Start | 2007-11-30 | 2026-05-31 |
| Max DD Period End | 2012-02-29 | 2026-07-31 |
| Longest DD Days | 2223 | 428 |
| Volatility (ann.) | 14.76% | 7.19% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.21 | 1.71 |
| Skew | -0.55 | 0.18 |
| Kurtosis | 0.98 | 0.83 |
| Ulcer Performance Index | 211.25 | 3584.6 |
| Risk-Adjusted Return | 754.56% | 1127.59% |
| Risk-Return Ratio | 0.22 | 0.49 |
| Avg. Return | 0.95% | 1.02% |
| Avg. Win | 3.44% | 2.12% |
| Avg. Loss | -3.91% | -1.59% |
| Win/Loss Ratio | 0.88 | 1.33 |
| Profit Ratio | 0.5 | 0.55 |
| Expected Daily | 0.85% | 1.0% |
| Expected Monthly | 0.85% | 1.0% |
| Expected Yearly | 10.59% | 12.49% |
| Kelly Criterion | 25.3% | 51.19% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.39% |
| Expected Shortfall (cVaR) | -8.96% | -3.69% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 2.67 |
| Gain/Pain (1M) | 0.76 | 2.67 |
| Payoff Ratio | 0.88 | 1.33 |
| Profit Factor | 1.76 | 3.67 |
| Common Sense Ratio | 1.85 | 7.9 |
| CPC Index | 1.0 | 3.52 |
| Tail Ratio | 1.05 | 2.15 |
| Outlier Win Ratio | 2.95 | 3.41 |
| Outlier Loss Ratio | 2.93 | 2.99 |
| MTD | -1.05% | -2.15% |
| 3M | 13.91% | -5.51% |
| 6M | 8.94% | 6.91% |
| YTD | 8.94% | 6.91% |
| 1Y | 20.92% | 16.08% |
| 3Y (ann.) | 18.77% | 12.44% |
| 5Y (ann.) | 12.51% | 10.54% |
| 10Y (ann.) | 15.13% | 12.4% |
| All-time (ann.) | 10.76% | 12.68% |
| Best Day | 12.7% | 8.16% |
| Worst Day | -16.52% | -5.15% |
| Best Month | 12.7% | 8.16% |
| Worst Month | -16.52% | -5.15% |
| Best Year | 38.05% | 28.42% |
| Worst Year | -36.79% | -1.13% |
| Avg. Drawdown | -6.27% | -1.92% |
| Avg. Drawdown Days | 122 | 47 |
| Recovery Factor | 7.49 | 55.48 |
| Ulcer Index | 0.14 | 0.01 |
| Serenity Index | 3.21 | 142.95 |
| Avg. Up Month | 3.44% | 2.12% |
| Avg. Down Month | -3.91% | -1.59% |
| Win Days | 65.09% | 72.14% |
| Win Month | 65.09% | 72.14% |
| Win Quarter | 73.33% | 81.48% |
| Win Year | 82.35% | 97.06% |
| Beta | - | 0.28 |
| Alpha | - | 0.09 |
| Correlation | - | 57.13% |
| Treynor Ratio | - | 19275.73% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 17.00 | 1.95 | + |
| 1994 | 0.40 | 2.39 | 6.02 | + |
| 1995 | 38.05 | 25.36 | 0.67 | - |
| 1996 | 22.50 | 10.98 | 0.49 | - |
| 1997 | 33.48 | 14.84 | 0.44 | - |
| 1998 | 28.69 | 18.27 | 0.64 | - |
| 1999 | 20.39 | 14.89 | 0.73 | - |
| 2000 | -9.74 | 13.21 | -1.36 | + |
| 2001 | -11.76 | 1.66 | -0.14 | + |
| 2002 | -21.58 | 7.91 | -0.37 | + |
| 2003 | 28.18 | 28.42 | 1.01 | + |
| 2004 | 10.70 | 18.26 | 1.71 | + |
| 2005 | 4.83 | 14.04 | 2.91 | + |
| 2006 | 15.85 | 25.66 | 1.62 | + |
| 2007 | 5.15 | 20.42 | 3.97 | + |
| 2008 | -36.79 | 3.76 | -0.10 | + |
| 2009 | 26.35 | 19.20 | 0.73 | - |
| 2010 | 15.06 | 12.40 | 0.82 | - |
| 2011 | 1.89 | 4.99 | 2.63 | + |
| 2012 | 15.99 | 8.08 | 0.51 | - |
| 2013 | 32.31 | 13.56 | 0.42 | - |
| 2014 | 13.46 | 7.14 | 0.53 | - |
| 2015 | 1.23 | -1.13 | -0.92 | - |
| 2016 | 12.00 | 6.02 | 0.50 | - |
| 2017 | 21.71 | 16.57 | 0.76 | - |
| 2018 | -4.57 | 3.43 | -0.75 | + |
| 2019 | 31.22 | 17.69 | 0.57 | - |
| 2020 | 18.33 | 23.82 | 1.30 | + |
| 2021 | 28.73 | 11.11 | 0.39 | - |
| 2022 | -18.18 | 5.56 | -0.31 | + |
| 2023 | 26.18 | 12.36 | 0.47 | - |
| 2024 | 24.89 | 11.47 | 0.46 | - |
| 2025 | 17.72 | 16.22 | 0.92 | - |
| 2026 | 8.94 | 6.91 | 0.77 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-05-31 | 2026-07-31 | -7.40 | 62 |
| 2008-06-30 | 2008-11-30 | -7.25 | 154 |
| 2020-09-30 | 2020-11-30 | -5.38 | 62 |
| 2018-10-31 | 2019-03-31 | -5.26 | 152 |
| 2011-05-31 | 2011-12-31 | -4.99 | 215 |
| 2010-05-31 | 2010-08-31 | -4.96 | 93 |
| 2012-04-30 | 2012-08-31 | -4.88 | 124 |
| 2009-01-31 | 2009-04-30 | -4.60 | 90 |
| 2019-05-31 | 2019-05-31 | -4.11 | 1 |
| 2022-06-30 | 2023-04-30 | -3.96 | 305 |