| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,775.42% |
| CAGR﹪ | 10.76% | 9.14% |
| Sharpe | 0.77 | 1.39 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 1.26 |
| Sortino | 1.18 | 2.57 |
| Smart Sortino | 1.07 | 2.32 |
| Sortino/√2 | 0.84 | 1.82 |
| Smart Sortino/√2 | 0.76 | 1.64 |
| Omega | 1.76 | 2.81 |
| Max Drawdown | -50.78% | -7.39% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 2223 | 760 |
| Volatility (ann.) | 14.76% | 6.46% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 1.24 |
| Skew | -0.55 | -0.29 |
| Kurtosis | 0.98 | 1.48 |
| Ulcer Performance Index | 211.25 | 820.35 |
| Risk-Adjusted Return | 754.56% | 528.15% |
| Risk-Return Ratio | 0.22 | 0.4 |
| Avg. Return | 0.95% | 0.75% |
| Avg. Win | 3.57% | 1.75% |
| Avg. Loss | -3.74% | -1.57% |
| Win/Loss Ratio | 0.96 | 1.11 |
| Profit Ratio | 0.5 | 0.56 |
| Expected Daily | 0.85% | 0.73% |
| Expected Monthly | 0.85% | 0.73% |
| Expected Yearly | 10.59% | 9.0% |
| Kelly Criterion | 28.58% | 41.45% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.32% |
| Expected Shortfall (cVaR) | -8.96% | -3.35% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.81 |
| Gain/Pain (1M) | 0.76 | 1.81 |
| Payoff Ratio | 0.96 | 1.11 |
| Profit Factor | 1.76 | 2.81 |
| Common Sense Ratio | 1.85 | 4.65 |
| CPC Index | 1.09 | 2.16 |
| Tail Ratio | 1.05 | 1.65 |
| Outlier Win Ratio | 2.95 | 3.25 |
| Outlier Loss Ratio | 2.93 | 2.58 |
| MTD | -1.05% | 0.41% |
| 3M | 13.91% | 2.12% |
| 6M | 8.94% | 3.56% |
| YTD | 8.94% | 3.56% |
| 1Y | 20.92% | 15.35% |
| 3Y (ann.) | 18.77% | 10.57% |
| 5Y (ann.) | 12.51% | 6.05% |
| 10Y (ann.) | 15.13% | 6.97% |
| All-time (ann.) | 10.76% | 9.14% |
| Best Day | 12.7% | 6.39% |
| Worst Day | -16.52% | -7.28% |
| Best Month | 12.7% | 6.39% |
| Worst Month | -16.52% | -7.28% |
| Best Year | 38.05% | 23.26% |
| Worst Year | -36.79% | -5.45% |
| Avg. Drawdown | -6.27% | -2.13% |
| Avg. Drawdown Days | 122 | 67 |
| Recovery Factor | 7.49 | 40.75 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 47.26 |
| Avg. Up Month | 3.57% | 1.75% |
| Avg. Down Month | -3.74% | -1.57% |
| Win Days | 65.09% | 69.15% |
| Win Month | 65.09% | 69.15% |
| Win Quarter | 73.33% | 80.0% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.23 |
| Alpha | - | 0.06 |
| Correlation | - | 51.96% |
| Treynor Ratio | - | 7806.59% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.41 | 1.54 | + |
| 1994 | 0.40 | -1.40 | -3.53 | - |
| 1995 | 38.05 | 16.93 | 0.44 | - |
| 1996 | 22.50 | 10.74 | 0.48 | - |
| 1997 | 33.48 | 12.65 | 0.38 | - |
| 1998 | 28.69 | 14.77 | 0.51 | - |
| 1999 | 20.39 | 8.77 | 0.43 | - |
| 2000 | -9.74 | 7.47 | -0.77 | + |
| 2001 | -11.76 | 3.72 | -0.32 | + |
| 2002 | -21.58 | 9.23 | -0.43 | + |
| 2003 | 28.18 | 23.26 | 0.83 | - |
| 2004 | 10.70 | 11.17 | 1.04 | + |
| 2005 | 4.83 | 10.14 | 2.10 | + |
| 2006 | 15.85 | 20.68 | 1.31 | + |
| 2007 | 5.15 | 14.09 | 2.74 | + |
| 2008 | -36.79 | 5.82 | -0.16 | + |
| 2009 | 26.35 | 11.34 | 0.43 | - |
| 2010 | 15.06 | 9.74 | 0.65 | - |
| 2011 | 1.89 | 8.29 | 4.37 | + |
| 2012 | 15.99 | 7.94 | 0.50 | - |
| 2013 | 32.31 | 7.73 | 0.24 | - |
| 2014 | 13.46 | 9.49 | 0.70 | - |
| 2015 | 1.23 | -1.93 | -1.56 | - |
| 2016 | 12.00 | 2.94 | 0.25 | - |
| 2017 | 21.71 | 11.22 | 0.52 | - |
| 2018 | -4.57 | -1.71 | 0.37 | + |
| 2019 | 31.22 | 13.67 | 0.44 | - |
| 2020 | 18.33 | 10.62 | 0.58 | - |
| 2021 | 28.73 | 12.34 | 0.43 | - |
| 2022 | -18.18 | -5.45 | 0.30 | + |
| 2023 | 26.18 | 3.43 | 0.13 | - |
| 2024 | 24.89 | 10.22 | 0.41 | - |
| 2025 | 17.72 | 17.35 | 0.98 | - |
| 2026 | 8.94 | 3.56 | 0.40 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -7.39 | 760 |
| 2008-07-31 | 2008-11-30 | -7.39 | 123 |
| 2026-03-31 | 2026-07-31 | -7.28 | 123 |
| 2004-04-30 | 2004-09-30 | -7.07 | 154 |
| 2015-02-28 | 2016-06-30 | -5.98 | 489 |
| 2013-05-31 | 2013-11-30 | -5.00 | 184 |
| 2009-01-31 | 2009-06-30 | -4.88 | 151 |
| 2018-09-30 | 2019-03-31 | -4.28 | 183 |
| 2016-08-31 | 2017-03-31 | -4.13 | 213 |
| 2020-02-29 | 2020-05-31 | -4.07 | 93 |