| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,028.65% |
| CAGR﹪ | 10.76% | 10.82% |
| Sharpe | 0.77 | 1.34 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.3 |
| Sortino | 1.18 | 2.72 |
| Smart Sortino | 1.14 | 2.63 |
| Sortino/√2 | 0.84 | 1.93 |
| Smart Sortino/√2 | 0.81 | 1.86 |
| Omega | 1.76 | 2.97 |
| Max Drawdown | -50.78% | -10.13% |
| Max DD Date | 2009-02-28 | 2023-02-28 |
| Max DD Period Start | 2007-11-30 | 2022-06-30 |
| Max DD Period End | 2012-02-29 | 2025-08-31 |
| Longest DD Days | 2223 | 1159 |
| Volatility (ann.) | 14.76% | 7.93% |
| R^2 | 0.07 | 0.07 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 1.07 |
| Skew | -0.55 | 0.27 |
| Kurtosis | 0.98 | 1.13 |
| Ulcer Performance Index | 211.25 | 986.49 |
| Risk-Adjusted Return | 754.56% | 765.74% |
| Risk-Return Ratio | 0.22 | 0.39 |
| Avg. Return | 0.95% | 0.89% |
| Avg. Win | 3.34% | 2.01% |
| Avg. Loss | -3.53% | -2.11% |
| Win/Loss Ratio | 0.95 | 0.95 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.86% |
| Expected Monthly | 0.85% | 0.86% |
| Expected Yearly | 10.59% | 10.66% |
| Kelly Criterion | 28.19% | 40.38% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.88% |
| Expected Shortfall (cVaR) | -8.96% | -4.12% |
| Max Consecutive Wins | 15 | 16 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.97 |
| Gain/Pain (1M) | 0.76 | 1.97 |
| Payoff Ratio | 0.95 | 0.95 |
| Profit Factor | 1.76 | 2.97 |
| Common Sense Ratio | 1.85 | 5.63 |
| CPC Index | 1.08 | 2.01 |
| Tail Ratio | 1.05 | 1.9 |
| Outlier Win Ratio | 2.95 | 3.78 |
| Outlier Loss Ratio | 2.93 | 2.97 |
| MTD | -1.05% | -0.84% |
| 3M | 13.91% | 4.0% |
| 6M | 8.94% | 10.69% |
| YTD | 8.94% | 10.69% |
| 1Y | 20.92% | 26.91% |
| 3Y (ann.) | 18.77% | 8.73% |
| 5Y (ann.) | 12.51% | 4.8% |
| 10Y (ann.) | 15.13% | 8.06% |
| All-time (ann.) | 10.76% | 10.82% |
| Best Day | 12.7% | 8.08% |
| Worst Day | -16.52% | -6.41% |
| Best Month | 12.7% | 8.08% |
| Worst Month | -16.52% | -6.41% |
| Best Year | 38.05% | 26.36% |
| Worst Year | -36.79% | -1.21% |
| Avg. Drawdown | -6.27% | -2.71% |
| Avg. Drawdown Days | 122 | 94 |
| Recovery Factor | 7.49 | 35.16 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 34.82 |
| Avg. Up Month | 3.34% | 2.01% |
| Avg. Down Month | -3.53% | -2.11% |
| Win Days | 65.09% | 70.9% |
| Win Month | 65.09% | 70.9% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 97.06% |
| Beta | - | 0.14 |
| Alpha | - | 0.09 |
| Correlation | - | 26.69% |
| Treynor Ratio | - | 21132.66% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.83 | 1.01 | + |
| 1994 | 0.40 | 7.29 | 18.34 | + |
| 1995 | 38.05 | 19.41 | 0.51 | - |
| 1996 | 22.50 | 10.05 | 0.45 | - |
| 1997 | 33.48 | 21.71 | 0.65 | - |
| 1998 | 28.69 | 13.69 | 0.48 | - |
| 1999 | 20.39 | 12.22 | 0.60 | - |
| 2000 | -9.74 | 0.11 | -0.01 | + |
| 2001 | -11.76 | 7.18 | -0.61 | + |
| 2002 | -21.58 | 15.01 | -0.70 | + |
| 2003 | 28.18 | 26.36 | 0.94 | - |
| 2004 | 10.70 | 12.78 | 1.19 | + |
| 2005 | 4.83 | 9.09 | 1.88 | + |
| 2006 | 15.85 | 24.41 | 1.54 | + |
| 2007 | 5.15 | 22.71 | 4.41 | + |
| 2008 | -36.79 | 17.94 | -0.49 | + |
| 2009 | 26.35 | 12.85 | 0.49 | - |
| 2010 | 15.06 | 10.47 | 0.70 | - |
| 2011 | 1.89 | 2.78 | 1.47 | + |
| 2012 | 15.99 | 8.51 | 0.53 | - |
| 2013 | 32.31 | 12.71 | 0.39 | - |
| 2014 | 13.46 | 5.83 | 0.43 | - |
| 2015 | 1.23 | -1.21 | -0.98 | - |
| 2016 | 12.00 | 4.13 | 0.34 | - |
| 2017 | 21.71 | 12.67 | 0.58 | - |
| 2018 | -4.57 | 7.45 | -1.63 | + |
| 2019 | 31.22 | 13.25 | 0.42 | - |
| 2020 | 18.33 | 16.85 | 0.92 | - |
| 2021 | 28.73 | 7.98 | 0.28 | - |
| 2022 | -18.18 | 1.94 | -0.11 | + |
| 2023 | 26.18 | 3.17 | 0.12 | - |
| 2024 | 24.89 | 1.12 | 0.04 | - |
| 2025 | 17.72 | 9.41 | 0.53 | - |
| 2026 | 8.94 | 10.69 | 1.20 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-30 | 2025-08-31 | -10.13 | 1159 |
| 2000-02-29 | 2001-01-31 | -9.57 | 338 |
| 2008-07-31 | 2008-11-30 | -9.43 | 123 |
| 2004-04-30 | 2004-10-31 | -8.41 | 185 |
| 2009-01-31 | 2009-06-30 | -7.74 | 151 |
| 1999-02-28 | 1999-05-31 | -7.33 | 93 |
| 2015-02-28 | 2016-06-30 | -7.02 | 489 |
| 2010-05-31 | 2010-09-30 | -5.71 | 123 |
| 2011-05-31 | 2012-04-30 | -5.39 | 336 |
| 2026-03-31 | 2026-04-30 | -4.60 | 31 |