| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 10,659.60% |
| CAGR﹪ | 10.76% | 14.99% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.07 |
| Sortino | 1.18 | 2.01 |
| Smart Sortino | 1.15 | 1.94 |
| Sortino/√2 | 0.84 | 1.42 |
| Smart Sortino/√2 | 0.81 | 1.37 |
| Omega | 1.76 | 2.3 |
| Max Drawdown | -50.78% | -18.7% |
| Max DD Date | 2009-02-28 | 2022-12-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-05-31 |
| Longest DD Days | 2223 | 1156 |
| Volatility (ann.) | 14.76% | 13.54% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.07 | 0.07 |
| Calmar | 0.21 | 0.8 |
| Skew | -0.55 | 0.02 |
| Kurtosis | 0.98 | 1.49 |
| Ulcer Performance Index | 211.25 | 1827.57 |
| Risk-Adjusted Return | 754.56% | 1777.86% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.94% | 1.26% |
| Avg. Win | 3.34% | 3.34% |
| Avg. Loss | -3.44% | -3.13% |
| Win/Loss Ratio | 0.97 | 1.06 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 1.17% |
| Expected Monthly | 0.85% | 1.17% |
| Expected Yearly | 10.59% | 14.75% |
| Kelly Criterion | 29.19% | 33.25% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.18% |
| Expected Shortfall (cVaR) | -8.96% | -7.55% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.3 |
| Gain/Pain (1M) | 0.76 | 1.3 |
| Payoff Ratio | 0.97 | 1.06 |
| Profit Factor | 1.76 | 2.3 |
| Common Sense Ratio | 1.85 | 3.23 |
| CPC Index | 1.11 | 1.61 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 3.85 |
| Outlier Loss Ratio | 2.93 | 2.87 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 1.43% |
| 6M | 8.94% | 2.47% |
| YTD | 8.94% | 2.47% |
| 1Y | 20.92% | 10.94% |
| 3Y (ann.) | 18.77% | 11.14% |
| 5Y (ann.) | 12.51% | 6.62% |
| 10Y (ann.) | 15.13% | 11.04% |
| All-time (ann.) | 10.76% | 14.99% |
| Best Day | 12.7% | 15.81% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 15.81% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 60.37% |
| Worst Year | -36.79% | -18.7% |
| Avg. Drawdown | -6.27% | -5.17% |
| Avg. Drawdown Days | 122 | 114 |
| Recovery Factor | 7.49 | 26.79 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 23.85 |
| Avg. Up Month | 3.34% | 3.34% |
| Avg. Down Month | -3.44% | -3.13% |
| Win Days | 65.09% | 65.59% |
| Win Month | 65.09% | 65.59% |
| Win Quarter | 73.33% | 68.89% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.45 |
| Alpha | - | 0.1 |
| Correlation | - | 48.9% |
| Treynor Ratio | - | 23756.23% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 20.64 | 2.37 | + |
| 1994 | 0.40 | 12.49 | 31.44 | + |
| 1995 | 38.05 | 37.98 | 1.00 | - |
| 1996 | 22.50 | 17.57 | 0.78 | - |
| 1997 | 33.48 | 33.48 | 1.00 | - |
| 1998 | 28.69 | 13.42 | 0.47 | - |
| 1999 | 20.39 | 26.22 | 1.29 | + |
| 2000 | -9.74 | -4.59 | 0.47 | + |
| 2001 | -11.76 | -3.53 | 0.30 | + |
| 2002 | -21.58 | -0.10 | 0.00 | + |
| 2003 | 28.18 | 60.37 | 2.14 | + |
| 2004 | 10.70 | 34.95 | 3.27 | + |
| 2005 | 4.83 | 12.84 | 2.66 | + |
| 2006 | 15.85 | 23.01 | 1.45 | + |
| 2007 | 5.15 | 5.86 | 1.14 | + |
| 2008 | -36.79 | 21.24 | -0.58 | + |
| 2009 | 26.35 | 23.75 | 0.90 | - |
| 2010 | 15.06 | 7.66 | 0.51 | - |
| 2011 | 1.89 | 22.45 | 11.85 | + |
| 2012 | 15.99 | 14.44 | 0.90 | - |
| 2013 | 32.31 | 25.00 | 0.77 | - |
| 2014 | 13.46 | 14.12 | 1.05 | + |
| 2015 | 1.23 | -0.89 | -0.72 | - |
| 2016 | 12.00 | 1.06 | 0.09 | - |
| 2017 | 21.71 | 23.48 | 1.08 | + |
| 2018 | -4.57 | -1.04 | 0.23 | + |
| 2019 | 31.22 | 13.13 | 0.42 | - |
| 2020 | 18.33 | 28.80 | 1.57 | + |
| 2021 | 28.73 | 20.23 | 0.70 | - |
| 2022 | -18.18 | -18.70 | 1.03 | - |
| 2023 | 26.18 | 11.77 | 0.45 | - |
| 2024 | 24.89 | 12.83 | 0.52 | - |
| 2025 | 17.72 | 20.24 | 1.14 | + |
| 2026 | 8.94 | 2.47 | 0.28 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-05-31 | -18.70 | 852 |
| 1998-07-31 | 1999-02-28 | -15.28 | 213 |
| 2009-01-31 | 2009-04-30 | -15.07 | 90 |
| 2007-11-30 | 2008-11-30 | -14.23 | 367 |
| 2015-06-30 | 2017-03-31 | -11.89 | 641 |
| 2020-01-31 | 2020-05-31 | -11.60 | 122 |
| 2000-01-31 | 2003-03-31 | -11.31 | 1156 |
| 2010-05-31 | 2010-11-30 | -10.47 | 184 |
| 2026-03-31 | 2026-07-31 | -8.53 | 123 |
| 2012-04-30 | 2012-11-30 | -8.29 | 215 |