| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,463.73% | 1,879.11% |
| CAGR﹪ | 9.77% | 10.65% |
| Sharpe | 0.69 | 1.31 |
| Prob. Sharpe Ratio | 99.98% | 100.0% |
| Smart Sharpe | 0.65 | 1.24 |
| Sortino | 1.05 | 2.39 |
| Smart Sortino | 0.99 | 2.26 |
| Sortino/√2 | 0.74 | 1.69 |
| Smart Sortino/√2 | 0.7 | 1.6 |
| Omega | 1.66 | 2.78 |
| Max Drawdown | -50.78% | -11.13% |
| Max DD Date | 2009-02-28 | 2018-12-31 |
| Max DD Period Start | 2007-11-30 | 2018-10-31 |
| Max DD Period End | 2012-02-29 | 2019-03-31 |
| Longest DD Days | 2223 | 609 |
| Volatility (ann.) | 15.34% | 8.01% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.19 | 0.96 |
| Skew | -0.52 | -0.09 |
| Kurtosis | 0.79 | 1.87 |
| Ulcer Performance Index | 98.02 | 768.32 |
| Risk-Adjusted Return | 608.08% | 737.36% |
| Risk-Return Ratio | 0.2 | 0.38 |
| Avg. Return | 0.88% | 0.88% |
| Avg. Win | 3.47% | 2.03% |
| Avg. Loss | -3.82% | -2.16% |
| Win/Loss Ratio | 0.91 | 0.94 |
| Profit Ratio | 0.53 | 0.39 |
| Expected Daily | 0.78% | 0.85% |
| Expected Monthly | 0.78% | 0.85% |
| Expected Yearly | 9.6% | 10.46% |
| Kelly Criterion | 23.83% | 44.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.41% | -2.93% |
| Expected Shortfall (cVaR) | -9.21% | -4.78% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.66 | 1.78 |
| Gain/Pain (1M) | 0.66 | 1.78 |
| Payoff Ratio | 0.91 | 0.94 |
| Profit Factor | 1.66 | 2.78 |
| Common Sense Ratio | 1.75 | 4.48 |
| CPC Index | 0.96 | 1.9 |
| Tail Ratio | 1.06 | 1.61 |
| Outlier Win Ratio | 2.94 | 3.53 |
| Outlier Loss Ratio | 2.87 | 3.32 |
| MTD | -1.05% | -1.14% |
| 3M | 13.91% | 0.27% |
| 6M | 8.94% | 4.41% |
| YTD | 8.94% | 4.41% |
| 1Y | 20.92% | 17.8% |
| 3Y (ann.) | 18.77% | 11.41% |
| 5Y (ann.) | 12.51% | 8.24% |
| 10Y (ann.) | 15.13% | 12.13% |
| All-time (ann.) | 9.77% | 10.65% |
| Best Day | 12.7% | 10.01% |
| Worst Day | -16.52% | -7.24% |
| Best Month | 12.7% | 10.01% |
| Worst Month | -16.52% | -7.24% |
| Best Year | 32.31% | 27.82% |
| Worst Year | -36.79% | -2.47% |
| Avg. Drawdown | -7.18% | -2.89% |
| Avg. Drawdown Days | 146 | 65 |
| Recovery Factor | 6.12 | 27.77 |
| Ulcer Index | 0.15 | 0.02 |
| Serenity Index | 2.47 | 41.24 |
| Avg. Up Month | 3.47% | 2.03% |
| Avg. Down Month | -3.82% | -2.16% |
| Win Days | 63.74% | 72.88% |
| Win Month | 63.74% | 72.88% |
| Win Quarter | 70.59% | 78.15% |
| Win Year | 80.0% | 96.67% |
| Beta | - | 0.28 |
| Alpha | - | 0.07 |
| Correlation | - | 54.19% |
| Treynor Ratio | - | 6640.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | nan | nan | - |
| 1994 | 0.40 | nan | nan | - |
| 1995 | 38.05 | nan | nan | - |
| 1996 | 22.50 | nan | nan | - |
| 1997 | 33.48 | 14.45 | 0.43 | - |
| 1998 | 28.69 | 10.64 | 0.37 | - |
| 1999 | 20.39 | 27.82 | 1.36 | + |
| 2000 | -9.74 | 12.34 | -1.27 | + |
| 2001 | -11.76 | 13.53 | -1.15 | + |
| 2002 | -21.58 | 14.14 | -0.66 | + |
| 2003 | 28.18 | 15.14 | 0.54 | - |
| 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 | 12.41 | 0.92 | - |
| 2015 | 1.23 | 3.86 | 3.13 | + |
| 2016 | 12.00 | 12.44 | 1.04 | + |
| 2017 | 21.71 | 21.23 | 0.98 | - |
| 2018 | -4.57 | -2.47 | 0.54 | + |
| 2019 | 31.22 | 15.84 | 0.51 | - |
| 2020 | 18.33 | 27.78 | 1.52 | + |
| 2021 | 28.73 | 14.03 | 0.49 | - |
| 2022 | -18.18 | 6.61 | -0.36 | + |
| 2023 | 26.18 | 6.41 | 0.25 | - |
| 2024 | 24.89 | 5.84 | 0.23 | - |
| 2025 | 17.72 | 20.72 | 1.17 | + |
| 2026 | 8.94 | 4.41 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-10-31 | 2019-03-31 | -11.13 | 152 |
| 2008-06-30 | 2010-02-28 | -10.72 | 609 |
| 2000-03-31 | 2000-08-31 | -8.03 | 154 |
| 2020-02-29 | 2020-04-30 | -6.77 | 62 |
| 2020-09-30 | 2020-10-31 | -6.23 | 32 |
| 2018-02-28 | 2018-06-30 | -5.95 | 123 |
| 2026-06-30 | 2026-07-31 | -4.89 | 32 |
| 1999-02-28 | 1999-03-31 | -4.85 | 32 |
| 2019-05-31 | 2019-09-30 | -4.83 | 123 |
| 1997-02-28 | 1997-05-31 | -4.57 | 93 |