| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,902.12% |
| CAGR﹪ | 10.76% | 10.69% |
| Sharpe | 0.77 | 1.07 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.0 |
| Sortino | 1.18 | 1.81 |
| Smart Sortino | 1.11 | 1.7 |
| Sortino/√2 | 0.84 | 1.28 |
| Smart Sortino/√2 | 0.78 | 1.2 |
| Omega | 1.76 | 2.2 |
| Max Drawdown | -50.78% | -28.06% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-10-31 |
| Longest DD Days | 2223 | 1005 |
| Volatility (ann.) | 14.76% | 10.02% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.38 |
| Skew | -0.55 | -0.32 |
| Kurtosis | 0.98 | 1.08 |
| Ulcer Performance Index | 211.25 | 459.78 |
| Risk-Adjusted Return | 754.56% | 743.62% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.89% |
| Avg. Win | 3.61% | 2.66% |
| Avg. Loss | -4.09% | -2.65% |
| Win/Loss Ratio | 0.88 | 1.01 |
| Profit Ratio | 0.5 | 0.61 |
| Expected Daily | 0.85% | 0.85% |
| Expected Monthly | 0.85% | 0.85% |
| Expected Yearly | 10.59% | 10.52% |
| Kelly Criterion | 25.58% | 31.05% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.87% |
| Expected Shortfall (cVaR) | -8.96% | -5.62% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.2 |
| Gain/Pain (1M) | 0.76 | 1.2 |
| Payoff Ratio | 0.88 | 1.01 |
| Profit Factor | 1.76 | 2.2 |
| Common Sense Ratio | 1.85 | 2.81 |
| CPC Index | 1.01 | 1.45 |
| Tail Ratio | 1.05 | 1.28 |
| Outlier Win Ratio | 2.95 | 3.15 |
| Outlier Loss Ratio | 2.93 | 3.27 |
| MTD | -1.05% | -0.77% |
| 3M | 13.91% | 2.03% |
| 6M | 8.94% | 4.28% |
| YTD | 8.94% | 4.28% |
| 1Y | 20.92% | 18.71% |
| 3Y (ann.) | 18.77% | 17.07% |
| 5Y (ann.) | 12.51% | 6.51% |
| 10Y (ann.) | 15.13% | 6.19% |
| All-time (ann.) | 10.76% | 10.69% |
| 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% | 27.85% |
| Worst Year | -36.79% | -26.01% |
| Avg. Drawdown | -6.27% | -4.05% |
| Avg. Drawdown Days | 122 | 103 |
| Recovery Factor | 7.49 | 12.77 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 8.17 |
| Avg. Up Month | 3.61% | 2.66% |
| Avg. Down Month | -4.09% | -2.65% |
| Win Days | 65.09% | 65.42% |
| Win Month | 65.09% | 65.42% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.37 |
| Alpha | - | 0.07 |
| Correlation | - | 53.79% |
| Treynor Ratio | - | 7950.27% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.51 | 1.55 | + |
| 1994 | 0.40 | -0.37 | -0.94 | - |
| 1995 | 38.05 | 27.85 | 0.73 | - |
| 1996 | 22.50 | 18.15 | 0.81 | - |
| 1997 | 33.48 | 23.55 | 0.70 | - |
| 1998 | 28.69 | 12.69 | 0.44 | - |
| 1999 | 20.39 | -3.13 | -0.15 | - |
| 2000 | -9.74 | 8.42 | -0.86 | + |
| 2001 | -11.76 | 6.06 | -0.52 | + |
| 2002 | -21.58 | 7.33 | -0.34 | + |
| 2003 | 28.18 | 26.18 | 0.93 | - |
| 2004 | 10.70 | 15.51 | 1.45 | + |
| 2005 | 4.83 | 7.03 | 1.46 | + |
| 2006 | 15.85 | 25.31 | 1.60 | + |
| 2007 | 5.15 | 9.06 | 1.76 | + |
| 2008 | -36.79 | 18.04 | -0.49 | + |
| 2009 | 26.35 | 9.34 | 0.35 | - |
| 2010 | 15.06 | 25.13 | 1.67 | + |
| 2011 | 1.89 | 8.08 | 4.27 | + |
| 2012 | 15.99 | 8.51 | 0.53 | - |
| 2013 | 32.31 | 4.56 | 0.14 | - |
| 2014 | 13.46 | 23.98 | 1.78 | + |
| 2015 | 1.23 | -1.48 | -1.20 | - |
| 2016 | 12.00 | 8.40 | 0.70 | - |
| 2017 | 21.71 | 11.24 | 0.52 | - |
| 2018 | -4.57 | -7.56 | 1.66 | - |
| 2019 | 31.22 | 20.50 | 0.66 | - |
| 2020 | 18.33 | -1.53 | -0.08 | - |
| 2021 | 28.73 | 20.53 | 0.71 | - |
| 2022 | -18.18 | -26.01 | 1.43 | - |
| 2023 | 26.18 | 10.32 | 0.39 | - |
| 2024 | 24.89 | 18.86 | 0.76 | - |
| 2025 | 17.72 | 26.90 | 1.52 | + |
| 2026 | 8.94 | 4.28 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-10-31 | -28.06 | 1005 |
| 2020-02-29 | 2021-03-31 | -14.78 | 397 |
| 2009-01-31 | 2009-08-31 | -12.76 | 213 |
| 2011-09-30 | 2011-09-30 | -9.44 | 1 |
| 2018-02-28 | 2019-05-31 | -8.91 | 458 |
| 2004-04-30 | 2004-09-30 | -8.80 | 154 |
| 2016-08-31 | 2017-06-30 | -8.04 | 304 |
| 2013-05-31 | 2014-01-31 | -7.96 | 246 |
| 2015-02-28 | 2016-02-29 | -7.79 | 367 |
| 2026-03-31 | 2026-07-31 | -7.36 | 123 |