| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 622.41% |
| CAGR﹪ | 10.76% | 6.08% |
| Sharpe | 0.77 | 1.44 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.4 |
| Sortino | 1.18 | 2.6 |
| Smart Sortino | 1.15 | 2.53 |
| Sortino/√2 | 0.84 | 1.84 |
| Smart Sortino/√2 | 0.81 | 1.79 |
| Omega | 1.76 | 2.9 |
| Max Drawdown | -50.78% | -8.31% |
| 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 | 2009-05-31 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 14.76% | 4.18% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.21 | 0.73 |
| Skew | -0.55 | -0.32 |
| Kurtosis | 0.98 | 2.18 |
| Ulcer Performance Index | 211.25 | 324.17 |
| Risk-Adjusted Return | 754.56% | 245.41% |
| Risk-Return Ratio | 0.22 | 0.41 |
| Avg. Return | 0.95% | 0.5% |
| Avg. Win | 3.57% | 1.13% |
| Avg. Loss | -4.25% | -1.15% |
| Win/Loss Ratio | 0.84 | 0.98 |
| Profit Ratio | 0.5 | 0.45 |
| Expected Daily | 0.85% | 0.49% |
| Expected Monthly | 0.85% | 0.49% |
| Expected Yearly | 10.59% | 5.99% |
| Kelly Criterion | 23.59% | 42.85% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.49% |
| Expected Shortfall (cVaR) | -8.96% | -2.4% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.9 |
| Gain/Pain (1M) | 0.76 | 1.9 |
| Payoff Ratio | 0.84 | 0.98 |
| Profit Factor | 1.76 | 2.9 |
| Common Sense Ratio | 1.85 | 4.49 |
| CPC Index | 0.96 | 2.04 |
| Tail Ratio | 1.05 | 1.55 |
| Outlier Win Ratio | 2.95 | 3.25 |
| Outlier Loss Ratio | 2.93 | 2.78 |
| MTD | -1.05% | 0.47% |
| 3M | 13.91% | 1.58% |
| 6M | 8.94% | 4.4% |
| YTD | 8.94% | 4.4% |
| 1Y | 20.92% | 9.56% |
| 3Y (ann.) | 18.77% | 6.58% |
| 5Y (ann.) | 12.51% | 3.2% |
| 10Y (ann.) | 15.13% | 4.02% |
| All-time (ann.) | 10.76% | 6.08% |
| Best Day | 12.7% | 5.3% |
| Worst Day | -16.52% | -4.78% |
| Best Month | 12.7% | 5.3% |
| Worst Month | -16.52% | -4.78% |
| Best Year | 38.05% | 15.1% |
| Worst Year | -36.79% | -6.77% |
| Avg. Drawdown | -6.27% | -1.55% |
| Avg. Drawdown Days | 122 | 83 |
| Recovery Factor | 7.49 | 24.22 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 23.06 |
| Avg. Up Month | 3.57% | 1.13% |
| Avg. Down Month | -4.25% | -1.15% |
| Win Days | 65.09% | 71.64% |
| Win Month | 65.09% | 71.64% |
| Win Quarter | 73.33% | 80.74% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.13 |
| Alpha | - | 0.05 |
| Correlation | - | 46.51% |
| Treynor Ratio | - | 4720.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.50 | 1.32 | + |
| 1994 | 0.40 | -3.22 | -8.09 | - |
| 1995 | 38.05 | 14.66 | 0.39 | - |
| 1996 | 22.50 | 8.14 | 0.36 | - |
| 1997 | 33.48 | 3.65 | 0.11 | - |
| 1998 | 28.69 | 7.14 | 0.25 | - |
| 1999 | 20.39 | 4.84 | 0.24 | - |
| 2000 | -9.74 | 6.57 | -0.67 | + |
| 2001 | -11.76 | 2.82 | -0.24 | + |
| 2002 | -21.58 | 13.08 | -0.61 | + |
| 2003 | 28.18 | 15.10 | 0.54 | - |
| 2004 | 10.70 | 8.22 | 0.77 | - |
| 2005 | 4.83 | 3.89 | 0.81 | - |
| 2006 | 15.85 | 10.19 | 0.64 | - |
| 2007 | 5.15 | 10.27 | 2.00 | + |
| 2008 | -36.79 | 3.49 | -0.09 | + |
| 2009 | 26.35 | 9.21 | 0.35 | - |
| 2010 | 15.06 | 9.82 | 0.65 | - |
| 2011 | 1.89 | 6.89 | 3.64 | + |
| 2012 | 15.99 | 5.52 | 0.35 | - |
| 2013 | 32.31 | 4.02 | 0.12 | - |
| 2014 | 13.46 | 5.32 | 0.40 | - |
| 2015 | 1.23 | -1.46 | -1.18 | - |
| 2016 | 12.00 | 4.53 | 0.38 | - |
| 2017 | 21.71 | 6.95 | 0.32 | - |
| 2018 | -4.57 | -0.55 | 0.12 | + |
| 2019 | 31.22 | 7.55 | 0.24 | - |
| 2020 | 18.33 | 7.40 | 0.40 | - |
| 2021 | 28.73 | 5.66 | 0.20 | - |
| 2022 | -18.18 | -6.77 | 0.37 | + |
| 2023 | 26.18 | 4.21 | 0.16 | - |
| 2024 | 24.89 | 5.27 | 0.21 | - |
| 2025 | 17.72 | 8.67 | 0.49 | - |
| 2026 | 8.94 | 4.40 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-03-31 | 2009-05-31 | -8.31 | 427 |
| 2022-01-31 | 2024-06-30 | -7.78 | 882 |
| 1994-02-28 | 1995-03-31 | -5.67 | 397 |
| 2004-04-30 | 2004-08-31 | -4.78 | 124 |
| 2015-02-28 | 2016-05-31 | -3.74 | 459 |
| 2013-05-31 | 2013-11-30 | -3.53 | 184 |
| 2016-08-31 | 2017-03-31 | -2.70 | 213 |
| 2018-09-30 | 2019-05-31 | -2.64 | 244 |
| 2009-12-31 | 2010-03-31 | -2.46 | 91 |
| 2011-09-30 | 2011-12-31 | -2.41 | 93 |