| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,413.42% |
| CAGR﹪ | 10.76% | 10.1% |
| Sharpe | 0.77 | 1.09 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 0.98 |
| Sortino | 1.18 | 1.85 |
| Smart Sortino | 1.06 | 1.66 |
| Sortino/√2 | 0.84 | 1.31 |
| Smart Sortino/√2 | 0.75 | 1.17 |
| Omega | 1.76 | 2.3 |
| Max Drawdown | -50.78% | -16.29% |
| Max DD Date | 2009-02-28 | 2022-07-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-06-30 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 14.76% | 9.22% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.62 |
| Skew | -0.55 | -0.42 |
| Kurtosis | 0.98 | 1.76 |
| Ulcer Performance Index | 211.25 | 539.91 |
| Risk-Adjusted Return | 754.56% | 654.71% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.63% | 2.39% |
| Avg. Loss | -4.02% | -2.37% |
| Win/Loss Ratio | 0.9 | 1.01 |
| Profit Ratio | 0.5 | 0.56 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 9.95% |
| Kelly Criterion | 26.4% | 34.12% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.54% |
| Expected Shortfall (cVaR) | -8.96% | -5.86% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.3 |
| Gain/Pain (1M) | 0.76 | 1.3 |
| Payoff Ratio | 0.9 | 1.01 |
| Profit Factor | 1.76 | 2.3 |
| Common Sense Ratio | 1.85 | 3.22 |
| CPC Index | 1.03 | 1.56 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 2.98 |
| Outlier Loss Ratio | 2.93 | 3.6 |
| MTD | -1.05% | 0.47% |
| 3M | 13.91% | 3.31% |
| 6M | 8.94% | 5.59% |
| YTD | 8.94% | 5.59% |
| 1Y | 20.92% | 20.19% |
| 3Y (ann.) | 18.77% | 17.16% |
| 5Y (ann.) | 12.51% | 8.87% |
| 10Y (ann.) | 15.13% | 6.37% |
| All-time (ann.) | 10.76% | 10.1% |
| Best Day | 12.7% | 10.48% |
| Worst Day | -16.52% | -10.14% |
| Best Month | 12.7% | 10.48% |
| Worst Month | -16.52% | -10.14% |
| Best Year | 38.05% | 26.9% |
| Worst Year | -36.79% | -15.07% |
| Avg. Drawdown | -6.27% | -3.53% |
| Avg. Drawdown Days | 122 | 101 |
| Recovery Factor | 7.49 | 20.75 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 15.92 |
| Avg. Up Month | 3.63% | 2.39% |
| Avg. Down Month | -4.02% | -2.37% |
| Win Days | 65.09% | 66.92% |
| Win Month | 65.09% | 66.92% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.35 |
| Alpha | - | 0.06 |
| Correlation | - | 56.41% |
| Treynor Ratio | - | 6849.53% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.51 | 1.55 | + |
| 1994 | 0.40 | -0.35 | -0.87 | - |
| 1995 | 38.05 | 24.16 | 0.64 | - |
| 1996 | 22.50 | 15.33 | 0.68 | - |
| 1997 | 33.48 | 22.47 | 0.67 | - |
| 1998 | 28.69 | 11.17 | 0.39 | - |
| 1999 | 20.39 | -1.65 | -0.08 | - |
| 2000 | -9.74 | 7.11 | -0.73 | + |
| 2001 | -11.76 | 5.30 | -0.45 | + |
| 2002 | -21.58 | 7.24 | -0.34 | + |
| 2003 | 28.18 | 23.71 | 0.84 | - |
| 2004 | 10.70 | 15.51 | 1.45 | + |
| 2005 | 4.83 | 7.32 | 1.52 | + |
| 2006 | 15.85 | 25.31 | 1.60 | + |
| 2007 | 5.15 | 9.06 | 1.76 | + |
| 2008 | -36.79 | 6.93 | -0.19 | + |
| 2009 | 26.35 | 14.16 | 0.54 | - |
| 2010 | 15.06 | 25.13 | 1.67 | + |
| 2011 | 1.89 | 8.08 | 4.27 | + |
| 2012 | 15.99 | 7.98 | 0.50 | - |
| 2013 | 32.31 | 8.84 | 0.27 | - |
| 2014 | 13.46 | 17.40 | 1.29 | + |
| 2015 | 1.23 | 0.16 | 0.13 | - |
| 2016 | 12.00 | 4.50 | 0.38 | - |
| 2017 | 21.71 | 8.22 | 0.38 | - |
| 2018 | -4.57 | -7.85 | 1.72 | - |
| 2019 | 31.22 | 14.74 | 0.47 | - |
| 2020 | 18.33 | -1.29 | -0.07 | - |
| 2021 | 28.73 | 18.35 | 0.64 | - |
| 2022 | -18.18 | -15.07 | 0.83 | + |
| 2023 | 26.18 | 6.02 | 0.23 | - |
| 2024 | 24.89 | 18.88 | 0.76 | - |
| 2025 | 17.72 | 26.90 | 1.52 | + |
| 2026 | 8.94 | 5.59 | 0.63 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -16.29 | 882 |
| 2020-02-29 | 2021-03-31 | -14.78 | 397 |
| 2011-09-30 | 2011-09-30 | -9.44 | 1 |
| 2018-02-28 | 2019-08-31 | -9.19 | 550 |
| 2004-04-30 | 2004-09-30 | -8.80 | 154 |
| 2009-01-31 | 2009-08-31 | -8.66 | 213 |
| 2016-08-31 | 2017-10-31 | -8.04 | 427 |
| 2026-03-31 | 2026-07-31 | -7.36 | 123 |
| 2007-06-30 | 2007-09-30 | -7.09 | 93 |
| 2015-02-28 | 2016-05-31 | -6.33 | 459 |