| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 5,438.12% |
| CAGR﹪ | 10.76% | 12.73% |
| Sharpe | 0.77 | 1.33 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.28 |
| Sortino | 1.18 | 2.44 |
| Smart Sortino | 1.14 | 2.34 |
| Sortino/√2 | 0.84 | 1.72 |
| Smart Sortino/√2 | 0.8 | 1.65 |
| Omega | 1.76 | 2.73 |
| Max Drawdown | -50.78% | -14.08% |
| 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 | 2009-10-31 |
| Longest DD Days | 2223 | 702 |
| Volatility (ann.) | 14.76% | 9.39% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.21 | 0.9 |
| Skew | -0.55 | -0.11 |
| Kurtosis | 0.98 | 1.43 |
| Ulcer Performance Index | 211.25 | 1717.91 |
| Risk-Adjusted Return | 754.56% | 1138.38% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.95% | 1.05% |
| Avg. Win | 3.41% | 2.38% |
| Avg. Loss | -4.1% | -2.42% |
| Win/Loss Ratio | 0.83 | 0.98 |
| Profit Ratio | 0.5 | 0.39 |
| Expected Daily | 0.85% | 1.0% |
| Expected Monthly | 0.85% | 1.0% |
| Expected Yearly | 10.59% | 12.53% |
| Kelly Criterion | 23.09% | 44.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.42% |
| Expected Shortfall (cVaR) | -8.96% | -5.04% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.73 |
| Gain/Pain (1M) | 0.76 | 1.73 |
| Payoff Ratio | 0.83 | 0.98 |
| Profit Factor | 1.76 | 2.73 |
| Common Sense Ratio | 1.85 | 3.61 |
| CPC Index | 0.95 | 1.95 |
| Tail Ratio | 1.05 | 1.32 |
| Outlier Win Ratio | 2.95 | 3.04 |
| Outlier Loss Ratio | 2.93 | 2.73 |
| MTD | -1.05% | -2.76% |
| 3M | 13.91% | 11.95% |
| 6M | 8.94% | 7.06% |
| YTD | 8.94% | 7.06% |
| 1Y | 20.92% | 18.83% |
| 3Y (ann.) | 18.77% | 6.06% |
| 5Y (ann.) | 12.51% | 5.62% |
| 10Y (ann.) | 15.13% | 10.72% |
| All-time (ann.) | 10.76% | 12.73% |
| Best Day | 12.7% | 11.6% |
| Worst Day | -16.52% | -9.41% |
| Best Month | 12.7% | 11.6% |
| Worst Month | -16.52% | -9.41% |
| Best Year | 38.05% | 37.16% |
| Worst Year | -36.79% | -5.41% |
| Avg. Drawdown | -6.27% | -3.61% |
| Avg. Drawdown Days | 122 | 79 |
| Recovery Factor | 7.49 | 29.69 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 40.33 |
| Avg. Up Month | 3.41% | 2.38% |
| Avg. Down Month | -4.1% | -2.42% |
| Win Days | 65.09% | 72.64% |
| Win Month | 65.09% | 72.64% |
| Win Quarter | 73.33% | 74.81% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.37 |
| Alpha | - | 0.08 |
| Correlation | - | 57.87% |
| Treynor Ratio | - | 14770.64% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 18.88 | 2.17 | + |
| 1994 | 0.40 | 6.04 | 15.19 | + |
| 1995 | 38.05 | 16.50 | 0.43 | - |
| 1996 | 22.50 | 18.49 | 0.82 | - |
| 1997 | 33.48 | 15.28 | 0.46 | - |
| 1998 | 28.69 | 10.53 | 0.37 | - |
| 1999 | 20.39 | 27.82 | 1.36 | + |
| 2000 | -9.74 | 10.55 | -1.08 | + |
| 2001 | -11.76 | 14.62 | -1.24 | + |
| 2002 | -21.58 | 13.29 | -0.62 | + |
| 2003 | 28.18 | 37.16 | 1.32 | + |
| 2004 | 10.70 | 30.45 | 2.85 | + |
| 2005 | 4.83 | 13.22 | 2.74 | + |
| 2006 | 15.85 | 22.29 | 1.41 | + |
| 2007 | 5.15 | 16.37 | 3.18 | + |
| 2008 | -36.79 | -5.41 | 0.15 | + |
| 2009 | 26.35 | 10.71 | 0.41 | - |
| 2010 | 15.06 | 3.99 | 0.26 | - |
| 2011 | 1.89 | 1.14 | 0.60 | - |
| 2012 | 15.99 | 7.24 | 0.45 | - |
| 2013 | 32.31 | 15.55 | 0.48 | - |
| 2014 | 13.46 | 12.98 | 0.96 | - |
| 2015 | 1.23 | 3.87 | 3.13 | + |
| 2016 | 12.00 | 9.09 | 0.76 | - |
| 2017 | 21.71 | 17.53 | 0.81 | - |
| 2018 | -4.57 | -1.66 | 0.36 | + |
| 2019 | 31.22 | 17.27 | 0.55 | - |
| 2020 | 18.33 | 28.13 | 1.53 | + |
| 2021 | 28.73 | 15.72 | 0.55 | - |
| 2022 | -18.18 | 4.57 | -0.25 | + |
| 2023 | 26.18 | 6.71 | 0.26 | - |
| 2024 | 24.89 | -2.71 | -0.11 | - |
| 2025 | 17.72 | 15.68 | 0.89 | - |
| 2026 | 8.94 | 7.06 | 0.79 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-10-31 | -14.08 | 702 |
| 2024-04-30 | 2025-05-31 | -10.37 | 397 |
| 2004-04-30 | 2004-08-31 | -9.41 | 124 |
| 2018-10-31 | 2019-03-31 | -9.27 | 152 |
| 2011-05-31 | 2012-06-30 | -9.05 | 397 |
| 2020-02-29 | 2020-04-30 | -6.71 | 62 |
| 2000-04-30 | 2000-08-31 | -6.66 | 124 |
| 2019-05-31 | 2019-10-31 | -6.44 | 154 |
| 2020-09-30 | 2020-10-31 | -6.19 | 32 |
| 2026-02-28 | 2026-03-31 | -5.76 | 32 |