| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,720.79% |
| CAGR﹪ | 10.76% | 11.49% |
| Sharpe | 0.77 | 1.05 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 0.95 |
| Sortino | 1.18 | 1.83 |
| Smart Sortino | 1.07 | 1.66 |
| Sortino/√2 | 0.84 | 1.3 |
| Smart Sortino/√2 | 0.76 | 1.17 |
| Omega | 1.76 | 2.21 |
| Max Drawdown | -50.78% | -15.24% |
| Max DD Date | 2009-02-28 | 1998-08-31 |
| Max DD Period Start | 2007-11-30 | 1998-07-31 |
| Max DD Period End | 2012-02-29 | 1998-12-31 |
| Longest DD Days | 2223 | 1096 |
| Volatility (ann.) | 14.76% | 10.96% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.21 | 0.75 |
| Skew | -0.55 | -0.21 |
| Kurtosis | 0.98 | 1.48 |
| Ulcer Performance Index | 211.25 | 876.94 |
| Risk-Adjusted Return | 754.56% | 881.29% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.97% |
| Avg. Win | 3.37% | 2.74% |
| Avg. Loss | -3.47% | -2.66% |
| Win/Loss Ratio | 0.97 | 1.03 |
| Profit Ratio | 0.5 | 0.62 |
| Expected Daily | 0.85% | 0.91% |
| Expected Monthly | 0.85% | 0.91% |
| Expected Yearly | 10.59% | 11.31% |
| Kelly Criterion | 29.18% | 31.81% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.24% |
| Expected Shortfall (cVaR) | -8.96% | -5.95% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.21 |
| Gain/Pain (1M) | 0.76 | 1.21 |
| Payoff Ratio | 0.97 | 1.03 |
| Profit Factor | 1.76 | 2.21 |
| Common Sense Ratio | 1.85 | 3.21 |
| CPC Index | 1.11 | 1.49 |
| Tail Ratio | 1.05 | 1.45 |
| Outlier Win Ratio | 2.95 | 3.17 |
| Outlier Loss Ratio | 2.93 | 2.91 |
| MTD | -1.05% | -0.26% |
| 3M | 13.91% | 1.46% |
| 6M | 8.94% | 4.02% |
| YTD | 8.94% | 4.02% |
| 1Y | 20.92% | 15.98% |
| 3Y (ann.) | 18.77% | 5.85% |
| 5Y (ann.) | 12.51% | 4.09% |
| 10Y (ann.) | 15.13% | 8.74% |
| All-time (ann.) | 10.76% | 11.49% |
| Best Day | 12.7% | 11.58% |
| Worst Day | -16.52% | -14.07% |
| Best Month | 12.7% | 11.58% |
| Worst Month | -16.52% | -14.07% |
| Best Year | 38.05% | 32.6% |
| Worst Year | -36.79% | -14.65% |
| Avg. Drawdown | -6.27% | -4.55% |
| Avg. Drawdown Days | 122 | 109 |
| Recovery Factor | 7.49 | 25.32 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 26.9 |
| Avg. Up Month | 3.37% | 2.74% |
| Avg. Down Month | -3.47% | -2.66% |
| Win Days | 65.09% | 65.42% |
| Win Month | 65.09% | 65.42% |
| Win Quarter | 73.33% | 68.15% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.4 |
| Alpha | - | 0.07 |
| Correlation | - | 53.37% |
| Treynor Ratio | - | 9392.86% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 24.16 | 2.77 | + |
| 1994 | 0.40 | -5.02 | -12.63 | - |
| 1995 | 38.05 | 29.44 | 0.77 | - |
| 1996 | 22.50 | 13.89 | 0.62 | - |
| 1997 | 33.48 | 32.60 | 0.97 | - |
| 1998 | 28.69 | 14.53 | 0.51 | - |
| 1999 | 20.39 | 18.08 | 0.89 | - |
| 2000 | -9.74 | -1.69 | 0.17 | + |
| 2001 | -11.76 | -3.23 | 0.27 | + |
| 2002 | -21.58 | 1.72 | -0.08 | + |
| 2003 | 28.18 | 30.74 | 1.09 | + |
| 2004 | 10.70 | 18.41 | 1.72 | + |
| 2005 | 4.83 | 3.78 | 0.78 | - |
| 2006 | 15.85 | 20.21 | 1.28 | + |
| 2007 | 5.15 | 9.58 | 1.86 | + |
| 2008 | -36.79 | 17.83 | -0.48 | + |
| 2009 | 26.35 | 18.55 | 0.70 | - |
| 2010 | 15.06 | 7.00 | 0.46 | - |
| 2011 | 1.89 | 15.15 | 7.99 | + |
| 2012 | 15.99 | 13.65 | 0.85 | - |
| 2013 | 32.31 | 19.52 | 0.60 | - |
| 2014 | 13.46 | 10.99 | 0.82 | - |
| 2015 | 1.23 | -0.84 | -0.68 | - |
| 2016 | 12.00 | 2.29 | 0.19 | - |
| 2017 | 21.71 | 18.11 | 0.83 | - |
| 2018 | -4.57 | 2.76 | -0.60 | + |
| 2019 | 31.22 | 12.72 | 0.41 | - |
| 2020 | 18.33 | 25.33 | 1.38 | + |
| 2021 | 28.73 | 10.67 | 0.37 | - |
| 2022 | -18.18 | -14.65 | 0.81 | + |
| 2023 | 26.18 | 15.36 | 0.59 | - |
| 2024 | 24.89 | 7.33 | 0.29 | - |
| 2025 | 17.72 | 8.99 | 0.51 | - |
| 2026 | 8.94 | 4.02 | 0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-07-31 | 1998-12-31 | -15.24 | 154 |
| 2022-01-31 | 2023-06-30 | -14.92 | 516 |
| 2009-01-31 | 2009-06-30 | -12.25 | 151 |
| 2000-04-30 | 2003-04-30 | -11.72 | 1096 |
| 2023-08-31 | 2024-01-31 | -9.07 | 154 |
| 2008-04-30 | 2008-11-30 | -8.72 | 215 |
| 2010-05-31 | 2011-01-31 | -8.57 | 246 |
| 2024-10-31 | 2025-08-31 | -7.72 | 305 |
| 2015-06-30 | 2017-01-31 | -7.45 | 582 |
| 2019-05-31 | 2019-10-31 | -6.92 | 154 |