| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,279.47% |
| CAGR﹪ | 10.76% | 9.92% |
| Sharpe | 0.77 | 0.98 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.9 |
| Sortino | 1.18 | 1.64 |
| Smart Sortino | 1.09 | 1.5 |
| Sortino/√2 | 0.84 | 1.16 |
| Smart Sortino/√2 | 0.77 | 1.06 |
| Omega | 1.76 | 2.17 |
| Max Drawdown | -50.78% | -17.09% |
| Max DD Date | 2009-02-28 | 1994-11-30 |
| Max DD Period Start | 2007-11-30 | 1994-02-28 |
| Max DD Period End | 2012-02-29 | 1995-12-31 |
| Longest DD Days | 2223 | 732 |
| Volatility (ann.) | 14.76% | 10.22% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.58 |
| Skew | -0.55 | -0.34 |
| Kurtosis | 0.98 | 2.98 |
| Ulcer Performance Index | 211.25 | 493.81 |
| Risk-Adjusted Return | 754.56% | 629.24% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.53% | 2.43% |
| Avg. Loss | -3.7% | -2.43% |
| Win/Loss Ratio | 0.96 | 1.0 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 0.79% |
| Expected Monthly | 0.85% | 0.79% |
| Expected Yearly | 10.59% | 9.77% |
| Kelly Criterion | 28.54% | 29.84% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.02% |
| Expected Shortfall (cVaR) | -8.96% | -6.26% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.17 |
| Gain/Pain (1M) | 0.76 | 1.17 |
| Payoff Ratio | 0.96 | 1.0 |
| Profit Factor | 1.76 | 2.17 |
| Common Sense Ratio | 1.85 | 3.25 |
| CPC Index | 1.09 | 1.41 |
| Tail Ratio | 1.05 | 1.5 |
| Outlier Win Ratio | 2.95 | 3.72 |
| Outlier Loss Ratio | 2.93 | 3.27 |
| MTD | -1.05% | 6.71% |
| 3M | 13.91% | 9.28% |
| 6M | 8.94% | 11.6% |
| YTD | 8.94% | 11.6% |
| 1Y | 20.92% | 27.66% |
| 3Y (ann.) | 18.77% | 16.38% |
| 5Y (ann.) | 12.51% | 8.52% |
| 10Y (ann.) | 15.13% | 9.34% |
| All-time (ann.) | 10.76% | 9.92% |
| Best Day | 12.7% | 12.05% |
| Worst Day | -16.52% | -13.78% |
| Best Month | 12.7% | 12.05% |
| Worst Month | -16.52% | -13.78% |
| Best Year | 38.05% | 25.95% |
| Worst Year | -36.79% | -10.63% |
| Avg. Drawdown | -6.27% | -3.77% |
| Avg. Drawdown Days | 122 | 98 |
| Recovery Factor | 7.49 | 19.64 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 18.11 |
| Avg. Up Month | 3.53% | 2.43% |
| Avg. Down Month | -3.7% | -2.43% |
| Win Days | 65.09% | 64.93% |
| Win Month | 65.09% | 64.93% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.25 |
| Alpha | - | 0.07 |
| Correlation | - | 36.43% |
| Treynor Ratio | - | 9038.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 18.77 | 2.16 | + |
| 1994 | 0.40 | -10.63 | -26.75 | - |
| 1995 | 38.05 | 17.26 | 0.45 | - |
| 1996 | 22.50 | 17.13 | 0.76 | - |
| 1997 | 33.48 | 8.70 | 0.26 | - |
| 1998 | 28.69 | 11.59 | 0.40 | - |
| 1999 | 20.39 | 5.36 | 0.26 | - |
| 2000 | -9.74 | 1.17 | -0.12 | + |
| 2001 | -11.76 | 9.05 | -0.77 | + |
| 2002 | -21.58 | 10.49 | -0.49 | + |
| 2003 | 28.18 | 18.63 | 0.66 | - |
| 2004 | 10.70 | 9.34 | 0.87 | - |
| 2005 | 4.83 | 0.38 | 0.08 | - |
| 2006 | 15.85 | 15.78 | 1.00 | - |
| 2007 | 5.15 | 25.95 | 5.04 | + |
| 2008 | -36.79 | 5.36 | -0.15 | + |
| 2009 | 26.35 | 8.26 | 0.31 | - |
| 2010 | 15.06 | 17.09 | 1.14 | + |
| 2011 | 1.89 | 18.05 | 9.53 | + |
| 2012 | 15.99 | 9.23 | 0.58 | - |
| 2013 | 32.31 | 14.14 | 0.44 | - |
| 2014 | 13.46 | 5.59 | 0.42 | - |
| 2015 | 1.23 | 0.36 | 0.29 | - |
| 2016 | 12.00 | 3.27 | 0.27 | - |
| 2017 | 21.71 | 14.93 | 0.69 | - |
| 2018 | -4.57 | 3.20 | -0.70 | + |
| 2019 | 31.22 | 8.02 | 0.26 | - |
| 2020 | 18.33 | 13.55 | 0.74 | - |
| 2021 | 28.73 | 17.97 | 0.63 | - |
| 2022 | -18.18 | -9.85 | 0.54 | + |
| 2023 | 26.18 | 6.43 | 0.25 | - |
| 2024 | 24.89 | 20.31 | 0.82 | - |
| 2025 | 17.72 | 15.99 | 0.90 | - |
| 2026 | 8.94 | 11.60 | 1.30 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1994-02-28 | 1995-12-31 | -17.09 | 672 |
| 1997-08-31 | 1998-05-31 | -13.95 | 274 |
| 2022-04-30 | 2024-04-30 | -13.89 | 732 |
| 2000-05-31 | 2001-07-31 | -13.83 | 427 |
| 2009-12-31 | 2010-07-31 | -10.13 | 213 |
| 2004-04-30 | 2004-10-31 | -10.11 | 185 |
| 2005-01-31 | 2005-11-30 | -10.08 | 304 |
| 2008-04-30 | 2008-11-30 | -9.82 | 215 |
| 2009-01-31 | 2009-07-31 | -7.97 | 182 |
| 2003-01-31 | 2003-04-30 | -6.14 | 90 |