| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 991.21% |
| CAGR﹪ | 10.76% | 7.39% |
| Sharpe | 0.77 | 1.01 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.96 |
| Sortino | 1.18 | 1.62 |
| Smart Sortino | 1.13 | 1.55 |
| Sortino/√2 | 0.84 | 1.15 |
| Smart Sortino/√2 | 0.8 | 1.09 |
| Omega | 1.76 | 2.12 |
| Max Drawdown | -50.78% | -21.1% |
| 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 | 2025-05-31 |
| Longest DD Days | 2223 | 1217 |
| Volatility (ann.) | 14.76% | 7.39% |
| R^2 | 0.34 | 0.34 |
| Information Ratio | -0.09 | -0.09 |
| Calmar | 0.21 | 0.35 |
| Skew | -0.55 | -0.55 |
| Kurtosis | 0.98 | 1.99 |
| Ulcer Performance Index | 211.25 | 220.79 |
| Risk-Adjusted Return | 754.56% | 347.33% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 0.62% |
| Avg. Win | 3.61% | 1.83% |
| Avg. Loss | -4.21% | -1.98% |
| Win/Loss Ratio | 0.86 | 0.92 |
| Profit Ratio | 0.5 | 0.54 |
| Expected Daily | 0.85% | 0.6% |
| Expected Monthly | 0.85% | 0.6% |
| Expected Yearly | 10.59% | 7.28% |
| Kelly Criterion | 24.35% | 29.97% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.89% |
| Expected Shortfall (cVaR) | -8.96% | -4.19% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.12 |
| Gain/Pain (1M) | 0.76 | 1.12 |
| Payoff Ratio | 0.86 | 0.92 |
| Profit Factor | 1.76 | 2.12 |
| Common Sense Ratio | 1.85 | 2.49 |
| CPC Index | 0.98 | 1.3 |
| Tail Ratio | 1.05 | 1.17 |
| Outlier Win Ratio | 2.95 | 3.04 |
| Outlier Loss Ratio | 2.93 | 3.24 |
| MTD | -1.05% | -0.84% |
| 3M | 13.91% | 2.08% |
| 6M | 8.94% | 3.72% |
| YTD | 8.94% | 3.72% |
| 1Y | 20.92% | 10.84% |
| 3Y (ann.) | 18.77% | 8.3% |
| 5Y (ann.) | 12.51% | 2.74% |
| 10Y (ann.) | 15.13% | 5.72% |
| All-time (ann.) | 10.76% | 7.39% |
| Best Day | 12.7% | 7.4% |
| Worst Day | -16.52% | -8.46% |
| Best Month | 12.7% | 7.4% |
| Worst Month | -16.52% | -8.46% |
| Best Year | 38.05% | 26.08% |
| Worst Year | -36.79% | -18.92% |
| Avg. Drawdown | -6.27% | -2.8% |
| Avg. Drawdown Days | 122 | 106 |
| Recovery Factor | 7.49 | 11.79 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 8.37 |
| Avg. Up Month | 3.61% | 1.83% |
| Avg. Down Month | -4.21% | -1.98% |
| Win Days | 65.09% | 66.42% |
| Win Month | 65.09% | 66.42% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.29 |
| Alpha | - | 0.04 |
| Correlation | - | 58.27% |
| Treynor Ratio | - | 3397.77% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.66 | 1.34 | + |
| 1994 | 0.40 | -3.50 | -8.81 | - |
| 1995 | 38.05 | 26.08 | 0.69 | - |
| 1996 | 22.50 | 7.30 | 0.32 | - |
| 1997 | 33.48 | 12.53 | 0.37 | - |
| 1998 | 28.69 | 14.75 | 0.51 | - |
| 1999 | 20.39 | 2.59 | 0.13 | - |
| 2000 | -9.74 | 7.58 | -0.78 | + |
| 2001 | -11.76 | -1.06 | 0.09 | + |
| 2002 | -21.58 | 5.45 | -0.25 | + |
| 2003 | 28.18 | 12.09 | 0.43 | - |
| 2004 | 10.70 | 8.48 | 0.79 | - |
| 2005 | 4.83 | 7.99 | 1.65 | + |
| 2006 | 15.85 | 7.70 | 0.49 | - |
| 2007 | 5.15 | 12.32 | 2.39 | + |
| 2008 | -36.79 | 1.21 | -0.03 | + |
| 2009 | 26.35 | 0.58 | 0.02 | - |
| 2010 | 15.06 | 13.64 | 0.91 | - |
| 2011 | 1.89 | 18.14 | 9.57 | + |
| 2012 | 15.99 | 7.64 | 0.48 | - |
| 2013 | 32.31 | -0.86 | -0.03 | - |
| 2014 | 13.46 | 13.43 | 1.00 | - |
| 2015 | 1.23 | -2.47 | -2.00 | - |
| 2016 | 12.00 | 6.68 | 0.56 | - |
| 2017 | 21.71 | 11.97 | 0.55 | - |
| 2018 | -4.57 | -2.50 | 0.55 | + |
| 2019 | 31.22 | 18.70 | 0.60 | - |
| 2020 | 18.33 | 17.99 | 0.98 | - |
| 2021 | 28.73 | 8.41 | 0.29 | - |
| 2022 | -18.18 | -18.92 | 1.04 | - |
| 2023 | 26.18 | 10.10 | 0.39 | - |
| 2024 | 24.89 | 5.79 | 0.23 | - |
| 2025 | 17.72 | 13.38 | 0.75 | - |
| 2026 | 8.94 | 3.72 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2025-05-31 | -21.10 | 1217 |
| 2008-05-31 | 2009-08-31 | -12.32 | 458 |
| 2016-08-31 | 2017-07-31 | -6.86 | 335 |
| 1994-02-28 | 1995-02-28 | -6.79 | 366 |
| 2015-02-28 | 2016-03-31 | -6.19 | 398 |
| 2013-05-31 | 2014-02-28 | -6.06 | 274 |
| 2003-06-30 | 2003-09-30 | -5.08 | 93 |
| 2021-01-31 | 2021-05-31 | -4.66 | 121 |
| 2018-09-30 | 2019-01-31 | -4.42 | 124 |
| 2004-04-30 | 2004-09-30 | -4.34 | 154 |