| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 7,265.34% |
| CAGR﹪ | 10.76% | 13.69% |
| Sharpe | 0.77 | 1.11 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.06 |
| Sortino | 1.18 | 1.98 |
| Smart Sortino | 1.13 | 1.89 |
| Sortino/√2 | 0.84 | 1.4 |
| Smart Sortino/√2 | 0.8 | 1.33 |
| Omega | 1.76 | 2.28 |
| Max Drawdown | -50.78% | -22.33% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-10-31 |
| Longest DD Days | 2223 | 1186 |
| Volatility (ann.) | 14.76% | 12.32% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.21 | 0.61 |
| Skew | -0.55 | -0.13 |
| Kurtosis | 0.98 | 0.71 |
| Ulcer Performance Index | 211.25 | 1064.31 |
| Risk-Adjusted Return | 754.56% | 1380.74% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.96% | 1.15% |
| Avg. Win | 3.41% | 3.15% |
| Avg. Loss | -3.61% | -3.04% |
| Win/Loss Ratio | 0.94 | 1.04 |
| Profit Ratio | 0.5 | 0.56 |
| Expected Daily | 0.85% | 1.08% |
| Expected Monthly | 0.85% | 1.08% |
| Expected Yearly | 10.59% | 13.48% |
| Kelly Criterion | 28.13% | 34.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.71% |
| Expected Shortfall (cVaR) | -8.96% | -6.83% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 1.28 |
| Gain/Pain (1M) | 0.76 | 1.28 |
| Payoff Ratio | 0.94 | 1.04 |
| Profit Factor | 1.76 | 2.28 |
| Common Sense Ratio | 1.85 | 3.39 |
| CPC Index | 1.08 | 1.58 |
| Tail Ratio | 1.05 | 1.49 |
| Outlier Win Ratio | 2.95 | 3.25 |
| Outlier Loss Ratio | 2.93 | 3.28 |
| MTD | -1.05% | -1.1% |
| 3M | 13.91% | -7.25% |
| 6M | 8.94% | -2.44% |
| YTD | 8.94% | -2.44% |
| 1Y | 20.92% | 16.08% |
| 3Y (ann.) | 18.77% | 17.64% |
| 5Y (ann.) | 12.51% | 8.5% |
| 10Y (ann.) | 15.13% | 9.89% |
| All-time (ann.) | 10.76% | 13.69% |
| Best Day | 12.7% | 13.06% |
| Worst Day | -16.52% | -10.94% |
| Best Month | 12.7% | 13.06% |
| Worst Month | -16.52% | -10.94% |
| Best Year | 38.05% | 42.77% |
| Worst Year | -36.79% | -17.59% |
| Avg. Drawdown | -6.27% | -5.03% |
| Avg. Drawdown Days | 122 | 113 |
| Recovery Factor | 7.49 | 20.48 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 14.44 |
| Avg. Up Month | 3.41% | 3.15% |
| Avg. Down Month | -3.61% | -3.04% |
| Win Days | 65.09% | 66.58% |
| Win Month | 65.09% | 66.58% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.42 |
| Alpha | - | 0.09 |
| Correlation | - | 50.88% |
| Treynor Ratio | - | 17113.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 17.52 | 2.01 | + |
| 1994 | 0.40 | 10.34 | 26.01 | + |
| 1995 | 38.05 | 33.50 | 0.88 | - |
| 1996 | 22.50 | 21.95 | 0.98 | - |
| 1997 | 33.48 | 26.48 | 0.79 | - |
| 1998 | 28.69 | 28.03 | 0.98 | - |
| 1999 | 20.39 | 17.84 | 0.88 | - |
| 2000 | -9.74 | -12.71 | 1.31 | - |
| 2001 | -11.76 | -3.46 | 0.29 | + |
| 2002 | -21.58 | 12.00 | -0.56 | + |
| 2003 | 28.18 | 42.77 | 1.52 | + |
| 2004 | 10.70 | 32.96 | 3.08 | + |
| 2005 | 4.83 | 17.46 | 3.62 | + |
| 2006 | 15.85 | 21.55 | 1.36 | + |
| 2007 | 5.15 | 12.91 | 2.51 | + |
| 2008 | -36.79 | 7.86 | -0.21 | + |
| 2009 | 26.35 | 31.75 | 1.20 | + |
| 2010 | 15.06 | 7.83 | 0.52 | - |
| 2011 | 1.89 | 8.52 | 4.50 | + |
| 2012 | 15.99 | 11.31 | 0.71 | - |
| 2013 | 32.31 | 25.86 | 0.80 | - |
| 2014 | 13.46 | 8.58 | 0.64 | - |
| 2015 | 1.23 | -0.46 | -0.38 | - |
| 2016 | 12.00 | -6.61 | -0.55 | - |
| 2017 | 21.71 | 23.23 | 1.07 | + |
| 2018 | -4.57 | -3.30 | 0.72 | + |
| 2019 | 31.22 | 14.01 | 0.45 | - |
| 2020 | 18.33 | 20.51 | 1.12 | + |
| 2021 | 28.73 | 19.43 | 0.68 | - |
| 2022 | -18.18 | -17.59 | 0.97 | + |
| 2023 | 26.18 | -1.62 | -0.06 | - |
| 2024 | 24.89 | 23.38 | 0.94 | - |
| 2025 | 17.72 | 41.11 | 2.32 | + |
| 2026 | 8.94 | -2.44 | -0.27 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-10-31 | -22.33 | 1005 |
| 2008-03-31 | 2009-04-30 | -17.90 | 396 |
| 2026-03-31 | 2026-07-31 | -16.24 | 123 |
| 2000-01-31 | 2003-04-30 | -16.04 | 1186 |
| 2015-06-30 | 2017-06-30 | -11.55 | 732 |
| 1998-08-31 | 1998-11-30 | -10.94 | 92 |
| 2010-05-31 | 2010-11-30 | -10.21 | 184 |
| 2018-10-31 | 2019-11-30 | -10.03 | 396 |
| 2020-01-31 | 2020-04-30 | -9.79 | 91 |
| 1993-09-30 | 1993-12-31 | -6.96 | 93 |