| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,651.14% | 2,344.66% |
| CAGR﹪ | 10.97% | 10.56% |
| Sharpe | 0.77 | 1.13 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.05 |
| Sortino | 1.19 | 1.95 |
| Smart Sortino | 1.1 | 1.8 |
| Sortino/√2 | 0.84 | 1.38 |
| Smart Sortino/√2 | 0.78 | 1.28 |
| Omega | 1.76 | 2.32 |
| Max Drawdown | -50.78% | -16.8% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-07-31 |
| Longest DD Days | 2223 | 913 |
| Volatility (ann.) | 15.03% | 9.31% |
| R^2 | 0.28 | 0.28 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.22 | 0.63 |
| Skew | -0.56 | -0.33 |
| Kurtosis | 0.9 | 0.96 |
| Ulcer Performance Index | 184.37 | 522.42 |
| Risk-Adjusted Return | 790.48% | 723.74% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.97% | 0.88% |
| Avg. Win | 3.61% | 2.46% |
| Avg. Loss | -4.16% | -2.4% |
| Win/Loss Ratio | 0.87 | 1.03 |
| Profit Ratio | 0.49 | 0.6 |
| Expected Daily | 0.87% | 0.84% |
| Expected Monthly | 0.87% | 0.84% |
| Expected Yearly | 10.57% | 10.17% |
| Kelly Criterion | 25.44% | 33.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.17% | -3.54% |
| Expected Shortfall (cVaR) | -9.08% | -5.13% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.32 |
| Gain/Pain (1M) | 0.76 | 1.32 |
| Payoff Ratio | 0.87 | 1.03 |
| Profit Factor | 1.76 | 2.32 |
| Common Sense Ratio | 1.88 | 3.13 |
| CPC Index | 1.0 | 1.57 |
| Tail Ratio | 1.07 | 1.35 |
| Outlier Win Ratio | 2.94 | 2.69 |
| Outlier Loss Ratio | 2.86 | 3.15 |
| MTD | -1.03% | -3.19% |
| 3M | 9.44% | -4.19% |
| 6M | 10.18% | 5.74% |
| YTD | 10.09% | 5.7% |
| 1Y | 28.48% | 22.85% |
| 3Y (ann.) | 20.48% | 17.29% |
| 5Y (ann.) | 13.29% | 8.88% |
| 10Y (ann.) | 15.29% | 8.15% |
| All-time (ann.) | 10.97% | 10.56% |
| Best Day | 12.7% | 9.93% |
| Worst Day | -16.52% | -9.44% |
| Best Month | 12.7% | 9.93% |
| Worst Month | -16.52% | -9.44% |
| Best Year | 38.05% | 26.9% |
| Worst Year | -36.79% | -13.29% |
| Avg. Drawdown | -6.67% | -3.7% |
| Avg. Drawdown Days | 131 | 97 |
| Recovery Factor | 7.27 | 19.92 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.09 | 16.05 |
| Avg. Up Month | 3.61% | 2.46% |
| Avg. Down Month | -4.16% | -2.4% |
| Win Days | 65.35% | 66.23% |
| Win Month | 65.35% | 66.23% |
| Win Quarter | 72.66% | 76.56% |
| Win Year | 78.79% | 87.88% |
| Beta | - | 0.33 |
| Alpha | - | 0.07 |
| Correlation | - | 52.56% |
| Treynor Ratio | - | 7200.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1994 | -3.05 | -3.67 | 1.21 | - |
| 1995 | 38.05 | 22.39 | 0.59 | - |
| 1996 | 22.50 | 16.40 | 0.73 | - |
| 1997 | 33.48 | 23.55 | 0.70 | - |
| 1998 | 28.69 | 9.87 | 0.34 | - |
| 1999 | 20.39 | 1.96 | 0.10 | - |
| 2000 | -9.74 | 6.17 | -0.63 | + |
| 2001 | -11.76 | 4.38 | -0.37 | + |
| 2002 | -21.58 | 14.49 | -0.67 | + |
| 2003 | 28.18 | 26.32 | 0.93 | - |
| 2004 | 10.70 | 10.89 | 1.02 | + |
| 2005 | 4.83 | 11.87 | 2.46 | + |
| 2006 | 15.85 | 25.31 | 1.60 | + |
| 2007 | 5.15 | 8.57 | 1.67 | + |
| 2008 | -36.79 | 10.67 | -0.29 | + |
| 2009 | 26.35 | 6.67 | 0.25 | - |
| 2010 | 15.06 | 25.13 | 1.67 | + |
| 2011 | 1.89 | 3.48 | 1.83 | + |
| 2012 | 15.99 | 9.57 | 0.60 | - |
| 2013 | 32.31 | 9.63 | 0.30 | - |
| 2014 | 13.46 | 18.65 | 1.39 | + |
| 2015 | 1.23 | -0.23 | -0.19 | - |
| 2016 | 12.00 | 2.79 | 0.23 | - |
| 2017 | 21.71 | 8.96 | 0.41 | - |
| 2018 | -4.57 | -7.68 | 1.68 | - |
| 2019 | 31.22 | 21.91 | 0.70 | - |
| 2020 | 18.33 | 3.67 | 0.20 | - |
| 2021 | 28.73 | 19.45 | 0.68 | - |
| 2022 | -18.18 | -13.29 | 0.73 | + |
| 2023 | 26.18 | 1.40 | 0.05 | - |
| 2024 | 24.89 | 18.90 | 0.76 | - |
| 2025 | 17.72 | 26.90 | 1.52 | + |
| 2026 | 10.09 | 5.70 | 0.56 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -16.80 | 913 |
| 2009-01-31 | 2009-10-31 | -12.25 | 274 |
| 2008-03-31 | 2008-11-30 | -11.56 | 245 |
| 2011-09-30 | 2012-02-29 | -9.44 | 153 |
| 2015-02-28 | 2016-06-30 | -9.02 | 489 |
| 2004-04-30 | 2004-10-31 | -8.80 | 185 |
| 2020-02-29 | 2020-07-31 | -8.43 | 154 |
| 2018-02-28 | 2019-05-31 | -7.78 | 458 |
| 2007-06-30 | 2007-09-30 | -7.54 | 93 |
| 2026-03-31 | 2026-06-30 | -7.36 | 92 |