| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 16,745.93% |
| CAGR﹪ | 10.76% | 16.54% |
| Sharpe | 0.77 | 1.2 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.18 |
| Sortino | 1.18 | 2.63 |
| Smart Sortino | 1.16 | 2.58 |
| Sortino/√2 | 0.84 | 1.86 |
| Smart Sortino/√2 | 0.82 | 1.83 |
| Omega | 1.76 | 3.03 |
| Max Drawdown | -50.78% | -15.83% |
| Max DD Date | 2009-02-28 | 2025-07-31 |
| Max DD Period Start | 2007-11-30 | 2024-10-31 |
| Max DD Period End | 2012-02-29 | 2025-12-31 |
| Longest DD Days | 2223 | 519 |
| Volatility (ann.) | 14.76% | 13.53% |
| R^2 | 0.1 | 0.1 |
| Information Ratio | 0.09 | 0.09 |
| Calmar | 0.21 | 1.04 |
| Skew | -0.55 | 1.04 |
| Kurtosis | 0.98 | 4.97 |
| Ulcer Performance Index | 211.25 | 4076.59 |
| Risk-Adjusted Return | 754.56% | 2387.21% |
| Risk-Return Ratio | 0.22 | 0.35 |
| Avg. Return | 0.95% | 1.36% |
| Avg. Win | 3.37% | 3.37% |
| Avg. Loss | -3.52% | -3.06% |
| Win/Loss Ratio | 0.96 | 1.1 |
| Profit Ratio | 0.5 | 0.65 |
| Expected Daily | 0.85% | 1.28% |
| Expected Monthly | 0.85% | 1.28% |
| Expected Yearly | 10.59% | 16.27% |
| Kelly Criterion | 28.62% | 39.73% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.07% |
| Expected Shortfall (cVaR) | -8.96% | -7.59% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 2.03 |
| Gain/Pain (1M) | 0.76 | 2.03 |
| Payoff Ratio | 0.96 | 1.1 |
| Profit Factor | 1.76 | 3.03 |
| Common Sense Ratio | 1.85 | 8.17 |
| CPC Index | 1.1 | 2.28 |
| Tail Ratio | 1.05 | 2.7 |
| Outlier Win Ratio | 2.95 | 4.14 |
| Outlier Loss Ratio | 2.93 | 3.73 |
| MTD | -1.05% | -7.43% |
| 3M | 13.91% | 2.0% |
| 6M | 8.94% | 5.88% |
| YTD | 8.94% | 5.88% |
| 1Y | 20.92% | 16.18% |
| 3Y (ann.) | 18.77% | 3.94% |
| 5Y (ann.) | 12.51% | 2.11% |
| 10Y (ann.) | 15.13% | 9.16% |
| All-time (ann.) | 10.76% | 16.54% |
| Best Day | 12.7% | 24.32% |
| Worst Day | -16.52% | -13.53% |
| Best Month | 12.7% | 24.32% |
| Worst Month | -16.52% | -13.53% |
| Best Year | 38.05% | 51.15% |
| Worst Year | -36.79% | -4.21% |
| Avg. Drawdown | -6.27% | -3.73% |
| Avg. Drawdown Days | 122 | 87 |
| Recovery Factor | 7.49 | 34.46 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 47.57 |
| Avg. Up Month | 3.37% | 3.37% |
| Avg. Down Month | -3.52% | -3.06% |
| Win Days | 65.09% | 68.41% |
| Win Month | 65.09% | 68.41% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.28 |
| Alpha | - | 0.13 |
| Correlation | - | 31.08% |
| Treynor Ratio | - | 58785.2% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 30.79 | 3.54 | + |
| 1994 | 0.40 | 14.50 | 36.49 | + |
| 1995 | 38.05 | 26.70 | 0.70 | - |
| 1996 | 22.50 | 36.28 | 1.61 | + |
| 1997 | 33.48 | 37.76 | 1.13 | + |
| 1998 | 28.69 | 24.49 | 0.85 | - |
| 1999 | 20.39 | 51.15 | 2.51 | + |
| 2000 | -9.74 | -3.94 | 0.40 | + |
| 2001 | -11.76 | 7.18 | -0.61 | + |
| 2002 | -21.58 | 18.46 | -0.86 | + |
| 2003 | 28.18 | 37.86 | 1.34 | + |
| 2004 | 10.70 | 17.48 | 1.63 | + |
| 2005 | 4.83 | 25.01 | 5.18 | + |
| 2006 | 15.85 | 34.58 | 2.18 | + |
| 2007 | 5.15 | 28.54 | 5.55 | + |
| 2008 | -36.79 | 20.46 | -0.56 | + |
| 2009 | 26.35 | 17.74 | 0.67 | - |
| 2010 | 15.06 | 3.81 | 0.25 | - |
| 2011 | 1.89 | 5.69 | 3.00 | + |
| 2012 | 15.99 | 16.14 | 1.01 | + |
| 2013 | 32.31 | 13.58 | 0.42 | - |
| 2014 | 13.46 | 12.65 | 0.94 | - |
| 2015 | 1.23 | -1.36 | -1.10 | - |
| 2016 | 12.00 | 10.64 | 0.89 | - |
| 2017 | 21.71 | 12.66 | 0.58 | - |
| 2018 | -4.57 | 13.41 | -2.93 | + |
| 2019 | 31.22 | 16.69 | 0.53 | - |
| 2020 | 18.33 | 27.33 | 1.49 | + |
| 2021 | 28.73 | 5.79 | 0.20 | - |
| 2022 | -18.18 | 2.73 | -0.15 | + |
| 2023 | 26.18 | 7.28 | 0.28 | - |
| 2024 | 24.89 | 3.88 | 0.16 | - |
| 2025 | 17.72 | -4.21 | -0.24 | - |
| 2026 | 8.94 | 5.88 | 0.66 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2024-10-31 | 2025-12-31 | -15.83 | 427 |
| 2000-04-30 | 2001-08-31 | -13.60 | 489 |
| 2004-04-30 | 2004-10-31 | -11.56 | 185 |
| 2008-07-31 | 2008-11-30 | -9.43 | 123 |
| 2009-01-31 | 2009-06-30 | -9.32 | 151 |
| 2026-03-31 | 2026-07-31 | -9.25 | 123 |
| 2022-06-30 | 2023-11-30 | -8.73 | 519 |
| 2020-09-30 | 2021-03-31 | -8.65 | 183 |
| 2019-05-31 | 2019-07-31 | -8.23 | 62 |
| 2005-03-31 | 2005-06-30 | -7.91 | 92 |