| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 5,601.02% |
| CAGR﹪ | 10.76% | 12.83% |
| Sharpe | 0.77 | 1.18 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.12 |
| Sortino | 1.18 | 2.08 |
| Smart Sortino | 1.12 | 1.97 |
| Sortino/√2 | 0.84 | 1.47 |
| Smart Sortino/√2 | 0.79 | 1.39 |
| Omega | 1.76 | 2.42 |
| Max Drawdown | -50.78% | -15.22% |
| Max DD Date | 2009-02-28 | 1998-08-31 |
| Max DD Period Start | 2007-11-30 | 1998-05-31 |
| Max DD Period End | 2012-02-29 | 1998-11-30 |
| Longest DD Days | 2223 | 854 |
| Volatility (ann.) | 14.76% | 10.73% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.21 | 0.84 |
| Skew | -0.55 | -0.3 |
| Kurtosis | 0.98 | 1.16 |
| Ulcer Performance Index | 211.25 | 1401.39 |
| Risk-Adjusted Return | 754.56% | 1161.09% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 1.07% |
| Avg. Win | 3.53% | 2.77% |
| Avg. Loss | -3.77% | -2.77% |
| Win/Loss Ratio | 0.94 | 1.0 |
| Profit Ratio | 0.5 | 0.54 |
| Expected Daily | 0.85% | 1.01% |
| Expected Monthly | 0.85% | 1.01% |
| Expected Yearly | 10.59% | 12.63% |
| Kelly Criterion | 27.81% | 35.78% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.04% |
| Expected Shortfall (cVaR) | -8.96% | -6.13% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.42 |
| Gain/Pain (1M) | 0.76 | 1.42 |
| Payoff Ratio | 0.94 | 1.0 |
| Profit Factor | 1.76 | 2.42 |
| Common Sense Ratio | 1.85 | 3.62 |
| CPC Index | 1.07 | 1.64 |
| Tail Ratio | 1.05 | 1.49 |
| Outlier Win Ratio | 2.95 | 3.01 |
| Outlier Loss Ratio | 2.93 | 3.04 |
| MTD | -1.05% | -2.22% |
| 3M | 13.91% | -3.55% |
| 6M | 8.94% | 4.94% |
| YTD | 8.94% | 4.94% |
| 1Y | 20.92% | 14.99% |
| 3Y (ann.) | 18.77% | 15.63% |
| 5Y (ann.) | 12.51% | 10.72% |
| 10Y (ann.) | 15.13% | 12.81% |
| All-time (ann.) | 10.76% | 12.83% |
| Best Day | 12.7% | 11.33% |
| Worst Day | -16.52% | -12.13% |
| Best Month | 12.7% | 11.33% |
| Worst Month | -16.52% | -12.13% |
| Best Year | 38.05% | 26.18% |
| Worst Year | -36.79% | -11.48% |
| Avg. Drawdown | -6.27% | -4.23% |
| Avg. Drawdown Days | 122 | 98 |
| Recovery Factor | 7.49 | 27.96 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 32.13 |
| Avg. Up Month | 3.53% | 2.77% |
| Avg. Down Month | -3.77% | -2.77% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.42 |
| Alpha | - | 0.08 |
| Correlation | - | 58.21% |
| Treynor Ratio | - | 13239.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 23.91 | 2.75 | + |
| 1994 | 0.40 | -1.79 | -4.51 | - |
| 1995 | 38.05 | 23.80 | 0.63 | - |
| 1996 | 22.50 | 11.14 | 0.50 | - |
| 1997 | 33.48 | 12.47 | 0.37 | - |
| 1998 | 28.69 | 14.49 | 0.50 | - |
| 1999 | 20.39 | 13.51 | 0.66 | - |
| 2000 | -9.74 | -1.52 | 0.16 | + |
| 2001 | -11.76 | 0.40 | -0.03 | + |
| 2002 | -21.58 | 9.35 | -0.43 | + |
| 2003 | 28.18 | 26.18 | 0.93 | - |
| 2004 | 10.70 | 22.39 | 2.09 | + |
| 2005 | 4.83 | 14.31 | 2.96 | + |
| 2006 | 15.85 | 22.83 | 1.44 | + |
| 2007 | 5.15 | 12.19 | 2.37 | + |
| 2008 | -36.79 | 14.37 | -0.39 | + |
| 2009 | 26.35 | 20.81 | 0.79 | - |
| 2010 | 15.06 | 11.72 | 0.78 | - |
| 2011 | 1.89 | 10.73 | 5.66 | + |
| 2012 | 15.99 | 11.63 | 0.73 | - |
| 2013 | 32.31 | 21.45 | 0.66 | - |
| 2014 | 13.46 | 13.79 | 1.02 | + |
| 2015 | 1.23 | -0.49 | -0.40 | - |
| 2016 | 12.00 | 3.61 | 0.30 | - |
| 2017 | 21.71 | 22.70 | 1.05 | + |
| 2018 | -4.57 | -1.04 | 0.23 | + |
| 2019 | 31.22 | 17.25 | 0.55 | - |
| 2020 | 18.33 | 20.61 | 1.12 | + |
| 2021 | 28.73 | 22.91 | 0.80 | - |
| 2022 | -18.18 | -11.48 | 0.63 | + |
| 2023 | 26.18 | 13.04 | 0.50 | - |
| 2024 | 24.89 | 17.75 | 0.71 | - |
| 2025 | 17.72 | 24.83 | 1.40 | + |
| 2026 | 8.94 | 4.94 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-05-31 | 1998-11-30 | -15.22 | 184 |
| 2022-04-30 | 2024-01-31 | -14.21 | 642 |
| 2000-04-30 | 2002-08-31 | -10.99 | 854 |
| 2009-01-31 | 2009-06-30 | -10.74 | 151 |
| 2008-03-31 | 2008-10-31 | -9.60 | 215 |
| 2010-05-31 | 2010-11-30 | -8.33 | 184 |
| 2026-03-31 | 2026-07-31 | -8.30 | 123 |
| 2020-01-31 | 2020-06-30 | -8.16 | 152 |
| 2018-10-31 | 2019-03-31 | -7.62 | 152 |
| 2015-06-30 | 2016-12-31 | -7.53 | 551 |