| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,121.46% |
| CAGR﹪ | 10.76% | 10.92% |
| Sharpe | 0.77 | 1.04 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.98 |
| Sortino | 1.18 | 1.71 |
| Smart Sortino | 1.11 | 1.61 |
| Sortino/√2 | 0.84 | 1.21 |
| Smart Sortino/√2 | 0.79 | 1.14 |
| Omega | 1.76 | 2.13 |
| Max Drawdown | -50.78% | -30.65% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2010-03-31 |
| Longest DD Days | 2223 | 1219 |
| Volatility (ann.) | 14.76% | 10.54% |
| R^2 | 0.65 | 0.65 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.36 |
| Skew | -0.55 | -0.51 |
| Kurtosis | 0.98 | 0.95 |
| Ulcer Performance Index | 211.25 | 481.26 |
| Risk-Adjusted Return | 754.56% | 781.75% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.91% |
| Avg. Win | 3.67% | 2.83% |
| Avg. Loss | -4.22% | -2.82% |
| Win/Loss Ratio | 0.87 | 1.0 |
| Profit Ratio | 0.5 | 0.57 |
| Expected Daily | 0.85% | 0.87% |
| Expected Monthly | 0.85% | 0.87% |
| Expected Yearly | 10.59% | 10.75% |
| Kelly Criterion | 24.94% | 31.98% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.09% |
| Expected Shortfall (cVaR) | -8.96% | -6.39% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.13 |
| Gain/Pain (1M) | 0.76 | 1.13 |
| Payoff Ratio | 0.87 | 1.0 |
| Profit Factor | 1.76 | 2.13 |
| Common Sense Ratio | 1.85 | 2.92 |
| CPC Index | 1.0 | 1.41 |
| Tail Ratio | 1.05 | 1.37 |
| Outlier Win Ratio | 2.95 | 2.92 |
| Outlier Loss Ratio | 2.93 | 3.47 |
| MTD | -1.05% | 4.42% |
| 3M | 13.91% | 9.96% |
| 6M | 8.94% | 11.16% |
| YTD | 8.94% | 11.16% |
| 1Y | 20.92% | 31.94% |
| 3Y (ann.) | 18.77% | 24.4% |
| 5Y (ann.) | 12.51% | 17.87% |
| 10Y (ann.) | 15.13% | 16.34% |
| All-time (ann.) | 10.76% | 10.92% |
| Best Day | 12.7% | 9.15% |
| Worst Day | -16.52% | -10.1% |
| Best Month | 12.7% | 9.15% |
| Worst Month | -16.52% | -10.1% |
| Best Year | 38.05% | 35.7% |
| Worst Year | -36.79% | -13.06% |
| Avg. Drawdown | -6.27% | -4.32% |
| Avg. Drawdown Days | 122 | 103 |
| Recovery Factor | 7.49 | 11.99 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 9.31 |
| Avg. Up Month | 3.67% | 2.83% |
| Avg. Down Month | -4.22% | -2.82% |
| Win Days | 65.09% | 65.92% |
| Win Month | 65.09% | 65.92% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.58 |
| Alpha | - | 0.04 |
| Correlation | - | 80.81% |
| Treynor Ratio | - | 5409.38% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 6.84 | 0.79 | - |
| 1994 | 0.40 | -2.96 | -7.45 | - |
| 1995 | 38.05 | 32.70 | 0.86 | - |
| 1996 | 22.50 | 13.76 | 0.61 | - |
| 1997 | 33.48 | 14.93 | 0.45 | - |
| 1998 | 28.69 | 25.27 | 0.88 | - |
| 1999 | 20.39 | 6.82 | 0.33 | - |
| 2000 | -9.74 | -3.38 | 0.35 | + |
| 2001 | -11.76 | -8.48 | 0.72 | + |
| 2002 | -21.58 | -6.40 | 0.30 | + |
| 2003 | 28.18 | 20.40 | 0.72 | - |
| 2004 | 10.70 | 9.48 | 0.89 | - |
| 2005 | 4.83 | 6.41 | 1.33 | + |
| 2006 | 15.85 | 17.12 | 1.08 | + |
| 2007 | 5.15 | 10.25 | 1.99 | + |
| 2008 | -36.79 | -13.06 | 0.36 | + |
| 2009 | 26.35 | 15.69 | 0.60 | - |
| 2010 | 15.06 | 19.06 | 1.27 | + |
| 2011 | 1.89 | 7.21 | 3.80 | + |
| 2012 | 15.99 | 8.17 | 0.51 | - |
| 2013 | 32.31 | 15.72 | 0.49 | - |
| 2014 | 13.46 | 10.80 | 0.80 | - |
| 2015 | 1.23 | 0.81 | 0.65 | - |
| 2016 | 12.00 | 13.03 | 1.09 | + |
| 2017 | 21.71 | 10.27 | 0.47 | - |
| 2018 | -4.57 | -4.30 | 0.94 | + |
| 2019 | 31.22 | 21.17 | 0.68 | - |
| 2020 | 18.33 | 24.87 | 1.36 | + |
| 2021 | 28.73 | 30.88 | 1.08 | + |
| 2022 | -18.18 | -3.64 | 0.20 | + |
| 2023 | 26.18 | 14.79 | 0.57 | - |
| 2024 | 24.89 | 26.19 | 1.05 | + |
| 2025 | 17.72 | 35.70 | 2.01 | + |
| 2026 | 8.94 | 11.16 | 1.25 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2010-03-31 | -30.65 | 640 |
| 2000-09-30 | 2004-01-31 | -23.09 | 1219 |
| 2022-04-30 | 2023-06-30 | -15.17 | 427 |
| 2018-10-31 | 2019-06-30 | -12.57 | 243 |
| 2011-05-31 | 2012-01-31 | -11.25 | 246 |
| 2023-08-31 | 2023-11-30 | -8.01 | 92 |
| 2026-03-31 | 2026-03-31 | -7.30 | 1 |
| 1993-08-31 | 1995-01-31 | -6.07 | 519 |
| 2020-02-29 | 2020-03-31 | -5.91 | 32 |
| 2010-05-31 | 2010-08-31 | -5.59 | 93 |