| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 985.08% |
| CAGR﹪ | 10.76% | 7.38% |
| Sharpe | 0.77 | 1.35 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 1.31 |
| Sortino | 1.18 | 2.37 |
| Smart Sortino | 1.15 | 2.31 |
| Sortino/√2 | 0.84 | 1.68 |
| Smart Sortino/√2 | 0.81 | 1.63 |
| Omega | 1.76 | 2.71 |
| Max Drawdown | -50.78% | -11.61% |
| Max DD Date | 2009-02-28 | 2022-06-30 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2024-01-31 |
| Longest DD Days | 2223 | 854 |
| Volatility (ann.) | 14.76% | 5.4% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.21 | 0.64 |
| Skew | -0.55 | -0.43 |
| Kurtosis | 0.98 | 1.45 |
| Ulcer Performance Index | 211.25 | 343.65 |
| Risk-Adjusted Return | 754.56% | 345.75% |
| Risk-Return Ratio | 0.22 | 0.39 |
| Avg. Return | 0.95% | 0.61% |
| Avg. Win | 3.43% | 1.47% |
| Avg. Loss | -3.56% | -1.58% |
| Win/Loss Ratio | 0.96 | 0.93 |
| Profit Ratio | 0.5 | 0.45 |
| Expected Daily | 0.85% | 0.59% |
| Expected Monthly | 0.85% | 0.59% |
| Expected Yearly | 10.59% | 7.26% |
| Kelly Criterion | 28.84% | 40.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -1.96% |
| Expected Shortfall (cVaR) | -8.96% | -2.9% |
| Max Consecutive Wins | 15 | 20 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.71 |
| Gain/Pain (1M) | 0.76 | 1.71 |
| Payoff Ratio | 0.96 | 0.93 |
| Profit Factor | 1.76 | 2.71 |
| Common Sense Ratio | 1.85 | 3.7 |
| CPC Index | 1.1 | 1.8 |
| Tail Ratio | 1.05 | 1.37 |
| Outlier Win Ratio | 2.95 | 3.13 |
| Outlier Loss Ratio | 2.93 | 2.62 |
| MTD | -1.05% | -0.01% |
| 3M | 13.91% | -0.56% |
| 6M | 8.94% | 0.91% |
| YTD | 8.94% | 0.91% |
| 1Y | 20.92% | 12.1% |
| 3Y (ann.) | 18.77% | 11.28% |
| 5Y (ann.) | 12.51% | 5.16% |
| 10Y (ann.) | 15.13% | 6.86% |
| All-time (ann.) | 10.76% | 7.38% |
| Best Day | 12.7% | 5.97% |
| Worst Day | -16.52% | -6.0% |
| Best Month | 12.7% | 5.97% |
| Worst Month | -16.52% | -6.0% |
| Best Year | 38.05% | 17.72% |
| Worst Year | -36.79% | -8.18% |
| Avg. Drawdown | -6.27% | -2.12% |
| Avg. Drawdown Days | 122 | 92 |
| Recovery Factor | 7.49 | 21.01 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 16.21 |
| Avg. Up Month | 3.43% | 1.47% |
| Avg. Down Month | -3.56% | -1.58% |
| Win Days | 65.09% | 71.14% |
| Win Month | 65.09% | 71.14% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.17 |
| Alpha | - | 0.05 |
| Correlation | - | 45.79% |
| Treynor Ratio | - | 5882.16% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.71 | 1.57 | + |
| 1994 | 0.40 | -4.47 | -11.25 | - |
| 1995 | 38.05 | 15.29 | 0.40 | - |
| 1996 | 22.50 | 17.32 | 0.77 | - |
| 1997 | 33.48 | 2.41 | 0.07 | - |
| 1998 | 28.69 | 10.24 | 0.36 | - |
| 1999 | 20.39 | 5.52 | 0.27 | - |
| 2000 | -9.74 | 8.31 | -0.85 | + |
| 2001 | -11.76 | 6.11 | -0.52 | + |
| 2002 | -21.58 | 11.80 | -0.55 | + |
| 2003 | 28.18 | 14.58 | 0.52 | - |
| 2004 | 10.70 | 9.99 | 0.93 | - |
| 2005 | 4.83 | 3.01 | 0.62 | - |
| 2006 | 15.85 | 8.69 | 0.55 | - |
| 2007 | 5.15 | 7.49 | 1.46 | + |
| 2008 | -36.79 | 0.12 | -0.00 | + |
| 2009 | 26.35 | 4.75 | 0.18 | - |
| 2010 | 15.06 | 9.72 | 0.65 | - |
| 2011 | 1.89 | 9.37 | 4.94 | + |
| 2012 | 15.99 | 4.46 | 0.28 | - |
| 2013 | 32.31 | 5.71 | 0.18 | - |
| 2014 | 13.46 | 10.04 | 0.75 | - |
| 2015 | 1.23 | 1.99 | 1.61 | + |
| 2016 | 12.00 | 4.48 | 0.37 | - |
| 2017 | 21.71 | 10.42 | 0.48 | - |
| 2018 | -4.57 | 3.17 | -0.69 | + |
| 2019 | 31.22 | 11.23 | 0.36 | - |
| 2020 | 18.33 | 16.52 | 0.90 | - |
| 2021 | 28.73 | 3.15 | 0.11 | - |
| 2022 | -18.18 | -8.18 | 0.45 | + |
| 2023 | 26.18 | 6.16 | 0.24 | - |
| 2024 | 24.89 | 10.68 | 0.43 | - |
| 2025 | 17.72 | 17.72 | 1.00 | + |
| 2026 | 8.94 | 0.91 | 0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-01-31 | -11.61 | 854 |
| 2008-06-30 | 2010-02-28 | -10.72 | 609 |
| 1994-02-28 | 1995-03-31 | -6.74 | 397 |
| 2004-04-30 | 2004-08-31 | -4.38 | 124 |
| 2026-03-31 | 2026-07-31 | -3.77 | 123 |
| 2013-05-31 | 2013-09-30 | -3.66 | 123 |
| 2001-11-30 | 2002-04-30 | -3.21 | 152 |
| 2018-02-28 | 2018-07-31 | -3.13 | 154 |
| 2014-09-30 | 2014-10-31 | -3.01 | 32 |
| 1997-08-31 | 1998-02-28 | -2.99 | 182 |