| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,473.64% |
| CAGR﹪ | 10.76% | 10.18% |
| Sharpe | 0.77 | 0.83 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.78 |
| Sortino | 1.18 | 1.51 |
| Smart Sortino | 1.12 | 1.43 |
| Sortino/√2 | 0.84 | 1.07 |
| Smart Sortino/√2 | 0.79 | 1.01 |
| Omega | 1.76 | 2.01 |
| Max Drawdown | -50.78% | -21.94% |
| Max DD Date | 2009-02-28 | 2003-01-31 |
| Max DD Period Start | 2007-11-30 | 2002-01-31 |
| Max DD Period End | 2012-02-29 | 2003-11-30 |
| Longest DD Days | 2223 | 669 |
| Volatility (ann.) | 14.76% | 12.64% |
| R^2 | 0.29 | 0.29 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.46 |
| Skew | -0.55 | 0.55 |
| Kurtosis | 0.98 | 2.42 |
| Ulcer Performance Index | 211.25 | 442.38 |
| Risk-Adjusted Return | 754.56% | 665.99% |
| Risk-Return Ratio | 0.22 | 0.24 |
| Avg. Return | 0.95% | 0.88% |
| Avg. Win | 3.52% | 2.95% |
| Avg. Loss | -3.31% | -3.62% |
| Win/Loss Ratio | 1.06 | 0.82 |
| Profit Ratio | 0.5 | 0.35 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 10.02% |
| Kelly Criterion | 32.26% | 34.67% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.13% |
| Expected Shortfall (cVaR) | -8.96% | -6.77% |
| Max Consecutive Wins | 15 | 18 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.01 |
| Gain/Pain (1M) | 0.76 | 1.01 |
| Payoff Ratio | 1.06 | 0.82 |
| Profit Factor | 1.76 | 2.01 |
| Common Sense Ratio | 1.85 | 2.8 |
| CPC Index | 1.22 | 1.16 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 4.54 |
| Outlier Loss Ratio | 2.93 | 2.63 |
| MTD | -1.05% | -5.22% |
| 3M | 13.91% | 5.46% |
| 6M | 8.94% | 3.31% |
| YTD | 8.94% | 3.31% |
| 1Y | 20.92% | 14.19% |
| 3Y (ann.) | 18.77% | 9.48% |
| 5Y (ann.) | 12.51% | 10.98% |
| 10Y (ann.) | 15.13% | 14.78% |
| All-time (ann.) | 10.76% | 10.18% |
| Best Day | 12.7% | 18.15% |
| Worst Day | -16.52% | -9.85% |
| Best Month | 12.7% | 18.15% |
| Worst Month | -16.52% | -9.85% |
| Best Year | 38.05% | 36.84% |
| Worst Year | -36.79% | -15.8% |
| Avg. Drawdown | -6.27% | -5.67% |
| Avg. Drawdown Days | 122 | 137 |
| Recovery Factor | 7.49 | 16.06 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 16.75 |
| Avg. Up Month | 3.52% | 2.95% |
| Avg. Down Month | -3.31% | -3.62% |
| Win Days | 65.09% | 70.65% |
| Win Month | 65.09% | 70.65% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.46 |
| Alpha | - | 0.05 |
| Correlation | - | 54.06% |
| Treynor Ratio | - | 5343.52% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 0.29 | 0.03 | - |
| 1994 | 0.40 | -7.78 | -19.59 | - |
| 1995 | 38.05 | 36.84 | 0.97 | - |
| 1996 | 22.50 | 6.13 | 0.27 | - |
| 1997 | 33.48 | 14.01 | 0.42 | - |
| 1998 | 28.69 | 33.92 | 1.18 | + |
| 1999 | 20.39 | 4.32 | 0.21 | - |
| 2000 | -9.74 | 10.53 | -1.08 | + |
| 2001 | -11.76 | 4.07 | -0.35 | + |
| 2002 | -21.58 | -15.80 | 0.73 | + |
| 2003 | 28.18 | 19.37 | 0.69 | - |
| 2004 | 10.70 | 11.67 | 1.09 | + |
| 2005 | 4.83 | -5.33 | -1.10 | - |
| 2006 | 15.85 | 12.90 | 0.81 | - |
| 2007 | 5.15 | 12.33 | 2.40 | + |
| 2008 | -36.79 | 3.11 | -0.08 | + |
| 2009 | 26.35 | 20.90 | 0.79 | - |
| 2010 | 15.06 | -1.51 | -0.10 | - |
| 2011 | 1.89 | 4.11 | 2.17 | + |
| 2012 | 15.99 | 8.24 | 0.52 | - |
| 2013 | 32.31 | 14.84 | 0.46 | - |
| 2014 | 13.46 | 6.94 | 0.52 | - |
| 2015 | 1.23 | 6.59 | 5.34 | + |
| 2016 | 12.00 | 11.15 | 0.93 | - |
| 2017 | 21.71 | 24.84 | 1.14 | + |
| 2018 | -4.57 | -2.48 | 0.54 | + |
| 2019 | 31.22 | 20.94 | 0.67 | - |
| 2020 | 18.33 | 29.80 | 1.63 | + |
| 2021 | 28.73 | 34.04 | 1.18 | + |
| 2022 | -18.18 | -5.56 | 0.31 | + |
| 2023 | 26.18 | 17.11 | 0.65 | - |
| 2024 | 24.89 | 14.79 | 0.59 | - |
| 2025 | 17.72 | 14.75 | 0.83 | - |
| 2026 | 8.94 | 3.31 | 0.37 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2002-01-31 | 2003-11-30 | -21.94 | 669 |
| 1997-08-31 | 1998-05-31 | -15.99 | 274 |
| 1993-11-30 | 1995-04-30 | -15.25 | 517 |
| 2010-05-31 | 2011-03-31 | -13.97 | 305 |
| 2024-12-31 | 2025-06-30 | -12.82 | 182 |
| 1997-02-28 | 1997-06-30 | -12.24 | 123 |
| 2020-02-29 | 2020-07-31 | -10.66 | 154 |
| 1999-02-28 | 2000-07-31 | -9.85 | 520 |
| 2011-05-31 | 2012-01-31 | -9.74 | 246 |
| 2018-02-28 | 2019-03-31 | -9.35 | 397 |