| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,420.62% |
| CAGR﹪ | 10.76% | 8.46% |
| Sharpe | 0.77 | 1.35 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.27 |
| Sortino | 1.18 | 2.46 |
| Smart Sortino | 1.11 | 2.3 |
| Sortino/√2 | 0.84 | 1.74 |
| Smart Sortino/√2 | 0.78 | 1.63 |
| Omega | 1.76 | 2.79 |
| Max Drawdown | -50.78% | -10.01% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2008-11-30 |
| Longest DD Days | 2223 | 611 |
| Volatility (ann.) | 14.76% | 6.16% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 0.85 |
| Skew | -0.55 | -0.27 |
| Kurtosis | 0.98 | 1.75 |
| Ulcer Performance Index | 211.25 | 662.66 |
| Risk-Adjusted Return | 754.56% | 450.77% |
| Risk-Return Ratio | 0.22 | 0.39 |
| Avg. Return | 0.95% | 0.7% |
| Avg. Win | 3.51% | 1.73% |
| Avg. Loss | -3.95% | -1.47% |
| Win/Loss Ratio | 0.89 | 1.18 |
| Profit Ratio | 0.5 | 0.62 |
| Expected Daily | 0.85% | 0.68% |
| Expected Monthly | 0.85% | 0.68% |
| Expected Yearly | 10.59% | 8.33% |
| Kelly Criterion | 25.83% | 40.68% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.23% |
| Expected Shortfall (cVaR) | -8.96% | -3.44% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.79 |
| Gain/Pain (1M) | 0.76 | 1.79 |
| Payoff Ratio | 0.89 | 1.18 |
| Profit Factor | 1.76 | 2.79 |
| Common Sense Ratio | 1.85 | 4.13 |
| CPC Index | 1.02 | 2.23 |
| Tail Ratio | 1.05 | 1.48 |
| Outlier Win Ratio | 2.95 | 3.1 |
| Outlier Loss Ratio | 2.93 | 3.12 |
| MTD | -1.05% | -0.12% |
| 3M | 13.91% | 0.95% |
| 6M | 8.94% | 3.83% |
| YTD | 8.94% | 3.83% |
| 1Y | 20.92% | 12.33% |
| 3Y (ann.) | 18.77% | 9.28% |
| 5Y (ann.) | 12.51% | 6.56% |
| 10Y (ann.) | 15.13% | 6.97% |
| All-time (ann.) | 10.76% | 8.46% |
| Best Day | 12.7% | 6.64% |
| Worst Day | -16.52% | -6.73% |
| Best Month | 12.7% | 6.64% |
| Worst Month | -16.52% | -6.73% |
| Best Year | 38.05% | 23.08% |
| Worst Year | -36.79% | -4.03% |
| Avg. Drawdown | -6.27% | -2.03% |
| Avg. Drawdown Days | 122 | 75 |
| Recovery Factor | 7.49 | 27.91 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 41.72 |
| Avg. Up Month | 3.51% | 1.73% |
| Avg. Down Month | -3.95% | -1.47% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.24 |
| Alpha | - | 0.06 |
| Correlation | - | 57.57% |
| Treynor Ratio | - | 5908.46% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.53 | 1.32 | + |
| 1994 | 0.40 | -4.03 | -10.14 | - |
| 1995 | 38.05 | 23.08 | 0.61 | - |
| 1996 | 22.50 | 14.30 | 0.64 | - |
| 1997 | 33.48 | 15.29 | 0.46 | - |
| 1998 | 28.69 | 8.75 | 0.31 | - |
| 1999 | 20.39 | 6.07 | 0.30 | - |
| 2000 | -9.74 | 3.42 | -0.35 | + |
| 2001 | -11.76 | 6.07 | -0.52 | + |
| 2002 | -21.58 | 9.37 | -0.43 | + |
| 2003 | 28.18 | 16.21 | 0.58 | - |
| 2004 | 10.70 | 13.40 | 1.25 | + |
| 2005 | 4.83 | 4.78 | 0.99 | - |
| 2006 | 15.85 | 15.16 | 0.96 | - |
| 2007 | 5.15 | 7.39 | 1.44 | + |
| 2008 | -36.79 | 3.29 | -0.09 | + |
| 2009 | 26.35 | 12.48 | 0.47 | - |
| 2010 | 15.06 | 12.12 | 0.81 | - |
| 2011 | 1.89 | 11.87 | 6.26 | + |
| 2012 | 15.99 | 6.49 | 0.41 | - |
| 2013 | 32.31 | 3.28 | 0.10 | - |
| 2014 | 13.46 | 14.02 | 1.04 | + |
| 2015 | 1.23 | -1.12 | -0.91 | - |
| 2016 | 12.00 | 5.83 | 0.49 | - |
| 2017 | 21.71 | 15.15 | 0.70 | - |
| 2018 | -4.57 | -2.64 | 0.58 | + |
| 2019 | 31.22 | 9.64 | 0.31 | - |
| 2020 | 18.33 | 10.99 | 0.60 | - |
| 2021 | 28.73 | 3.63 | 0.13 | - |
| 2022 | -18.18 | -0.92 | 0.05 | + |
| 2023 | 26.18 | 7.30 | 0.28 | - |
| 2024 | 24.89 | 11.22 | 0.45 | - |
| 2025 | 17.72 | 11.68 | 0.66 | - |
| 2026 | 8.94 | 3.83 | 0.43 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2008-11-30 | -10.01 | 367 |
| 2010-05-31 | 2010-09-30 | -7.81 | 123 |
| 2018-02-28 | 2019-10-31 | -7.24 | 611 |
| 2004-04-30 | 2004-09-30 | -6.73 | 154 |
| 1994-02-28 | 1995-03-31 | -6.61 | 397 |
| 2013-05-31 | 2014-01-31 | -5.04 | 246 |
| 2000-07-31 | 2001-06-30 | -4.76 | 335 |
| 2009-01-31 | 2009-06-30 | -4.11 | 151 |
| 2024-12-31 | 2025-05-31 | -3.70 | 152 |
| 2022-04-30 | 2022-12-31 | -3.70 | 246 |