| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,893.20% |
| CAGR﹪ | 10.76% | 9.34% |
| Sharpe | 0.77 | 0.8 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.79 |
| Sortino | 1.18 | 1.22 |
| Smart Sortino | 1.16 | 1.2 |
| Sortino/√2 | 0.84 | 0.86 |
| Smart Sortino/√2 | 0.82 | 0.85 |
| Omega | 1.76 | 1.8 |
| Max Drawdown | -50.78% | -42.64% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2010-12-31 |
| Longest DD Days | 2223 | 1646 |
| Volatility (ann.) | 14.76% | 12.09% |
| R^2 | 0.95 | 0.95 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.21 | 0.22 |
| Skew | -0.55 | -0.65 |
| Kurtosis | 0.98 | 1.4 |
| Ulcer Performance Index | 211.25 | 197.64 |
| Risk-Adjusted Return | 754.56% | 552.6% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.95% | 0.81% |
| Avg. Win | 3.4% | 2.78% |
| Avg. Loss | -3.82% | -3.15% |
| Win/Loss Ratio | 0.89 | 0.88 |
| Profit Ratio | 0.5 | 0.42 |
| Expected Daily | 0.85% | 0.75% |
| Expected Monthly | 0.85% | 0.75% |
| Expected Yearly | 10.59% | 9.2% |
| Kelly Criterion | 25.83% | 30.47% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.93% |
| Expected Shortfall (cVaR) | -8.96% | -7.34% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.8 |
| Gain/Pain (1M) | 0.76 | 0.8 |
| Payoff Ratio | 0.89 | 0.88 |
| Profit Factor | 1.76 | 1.8 |
| Common Sense Ratio | 1.85 | 1.98 |
| CPC Index | 1.02 | 1.07 |
| Tail Ratio | 1.05 | 1.1 |
| Outlier Win Ratio | 2.95 | 3.02 |
| Outlier Loss Ratio | 2.93 | 2.67 |
| MTD | -1.05% | -1.55% |
| 3M | 13.91% | 10.03% |
| 6M | 8.94% | 7.92% |
| YTD | 8.94% | 7.92% |
| 1Y | 20.92% | 18.08% |
| 3Y (ann.) | 18.77% | 15.19% |
| 5Y (ann.) | 12.51% | 8.77% |
| 10Y (ann.) | 15.13% | 11.28% |
| All-time (ann.) | 10.76% | 9.34% |
| Best Day | 12.7% | 9.97% |
| Worst Day | -16.52% | -14.69% |
| Best Month | 12.7% | 9.97% |
| Worst Month | -16.52% | -14.69% |
| Best Year | 38.05% | 27.44% |
| Worst Year | -36.79% | -29.82% |
| Avg. Drawdown | -6.27% | -5.44% |
| Avg. Drawdown Days | 122 | 117 |
| Recovery Factor | 7.49 | 7.62 |
| Ulcer Index | 0.14 | 0.1 |
| Serenity Index | 3.21 | 4.37 |
| Avg. Up Month | 3.4% | 2.78% |
| Avg. Down Month | -3.82% | -3.15% |
| Win Days | 65.09% | 67.41% |
| Win Month | 65.09% | 67.41% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.8 |
| Alpha | - | 0.01 |
| Correlation | - | 97.22% |
| Treynor Ratio | - | 2377.11% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 14.17 | 1.63 | + |
| 1994 | 0.40 | 0.60 | 1.51 | + |
| 1995 | 38.05 | 26.99 | 0.71 | - |
| 1996 | 22.50 | 14.58 | 0.65 | - |
| 1997 | 33.48 | 20.16 | 0.60 | - |
| 1998 | 28.69 | 20.35 | 0.71 | - |
| 1999 | 20.39 | 20.90 | 1.03 | + |
| 2000 | -9.74 | -7.09 | 0.73 | + |
| 2001 | -11.76 | -7.02 | 0.60 | + |
| 2002 | -21.58 | -13.23 | 0.61 | + |
| 2003 | 28.18 | 27.43 | 0.97 | - |
| 2004 | 10.70 | 13.04 | 1.22 | + |
| 2005 | 4.83 | 7.75 | 1.61 | + |
| 2006 | 15.85 | 15.68 | 0.99 | - |
| 2007 | 5.15 | 8.16 | 1.59 | + |
| 2008 | -36.79 | -29.82 | 0.81 | + |
| 2009 | 26.35 | 27.44 | 1.04 | + |
| 2010 | 15.06 | 14.93 | 0.99 | - |
| 2011 | 1.89 | -0.33 | -0.18 | - |
| 2012 | 15.99 | 14.65 | 0.92 | - |
| 2013 | 32.31 | 21.94 | 0.68 | - |
| 2014 | 13.46 | 7.86 | 0.58 | - |
| 2015 | 1.23 | -0.24 | -0.19 | - |
| 2016 | 12.00 | 9.45 | 0.79 | - |
| 2017 | 21.71 | 18.74 | 0.86 | - |
| 2018 | -4.57 | -5.74 | 1.26 | - |
| 2019 | 31.22 | 24.37 | 0.78 | - |
| 2020 | 18.33 | 17.12 | 0.93 | - |
| 2021 | 28.73 | 16.48 | 0.57 | - |
| 2022 | -18.18 | -17.16 | 0.94 | + |
| 2023 | 26.18 | 20.06 | 0.77 | - |
| 2024 | 24.89 | 15.46 | 0.62 | - |
| 2025 | 17.72 | 18.06 | 1.02 | + |
| 2026 | 8.94 | 7.92 | 0.89 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-12-31 | -42.64 | 1128 |
| 2000-04-30 | 2004-10-31 | -31.88 | 1646 |
| 2022-01-31 | 2024-01-31 | -22.87 | 731 |
| 2020-01-31 | 2020-06-30 | -17.07 | 152 |
| 2011-05-31 | 2012-01-31 | -14.80 | 246 |
| 1998-07-31 | 1998-10-31 | -12.66 | 93 |
| 2018-10-31 | 2019-03-31 | -10.60 | 152 |
| 2015-06-30 | 2016-06-30 | -8.46 | 367 |
| 2012-04-30 | 2012-07-31 | -6.31 | 93 |
| 1994-02-28 | 1995-01-31 | -5.70 | 338 |