| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,932.06% | 557.55% |
| CAGR﹪ | 10.75% | 5.8% |
| Sharpe | 0.77 | 1.14 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.12 |
| Sortino | 1.18 | 1.94 |
| Smart Sortino | 1.17 | 1.92 |
| Sortino/√2 | 0.84 | 1.37 |
| Smart Sortino/√2 | 0.82 | 1.35 |
| Omega | 1.76 | 2.28 |
| Max Drawdown | -50.78% | -7.33% |
| Max DD Date | 2009-02-28 | 2000-07-31 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2000-12-31 |
| Longest DD Days | 2223 | 671 |
| Volatility (ann.) | 14.78% | 5.07% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.21 | 0.79 |
| Skew | -0.55 | -0.36 |
| Kurtosis | 0.97 | 0.73 |
| Ulcer Performance Index | 208.69 | 265.81 |
| Risk-Adjusted Return | 753.43% | 226.6% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.49% |
| Avg. Win | 3.54% | 1.27% |
| Avg. Loss | -3.51% | -1.38% |
| Win/Loss Ratio | 1.01 | 0.92 |
| Profit Ratio | 0.51 | 0.48 |
| Expected Daily | 0.85% | 0.47% |
| Expected Monthly | 0.85% | 0.47% |
| Expected Yearly | 10.56% | 5.7% |
| Kelly Criterion | 30.29% | 34.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.07% | -1.93% |
| Expected Shortfall (cVaR) | -8.96% | -2.76% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.28 |
| Gain/Pain (1M) | 0.76 | 1.28 |
| Payoff Ratio | 1.01 | 0.92 |
| Profit Factor | 1.76 | 2.28 |
| Common Sense Ratio | 1.85 | 3.06 |
| CPC Index | 1.15 | 1.43 |
| Tail Ratio | 1.05 | 1.34 |
| Outlier Win Ratio | 2.94 | 3.13 |
| Outlier Loss Ratio | 2.93 | 2.85 |
| MTD | -1.05% | -1.87% |
| 3M | 13.91% | 3.91% |
| 6M | 8.94% | 4.87% |
| YTD | 8.94% | 4.87% |
| 1Y | 20.92% | 6.88% |
| 3Y (ann.) | 18.77% | 5.82% |
| 5Y (ann.) | 12.51% | 3.87% |
| 10Y (ann.) | 15.13% | 4.1% |
| All-time (ann.) | 10.75% | 5.8% |
| Best Day | 12.7% | 5.01% |
| Worst Day | -16.52% | -4.54% |
| Best Month | 12.7% | 5.01% |
| Worst Month | -16.52% | -4.54% |
| Best Year | 38.05% | 19.93% |
| Worst Year | -36.79% | -5.28% |
| Avg. Drawdown | -6.27% | -2.03% |
| Avg. Drawdown Days | 122 | 100 |
| Recovery Factor | 7.47 | 26.33 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.2 | 26.02 |
| Avg. Up Month | 3.54% | 1.27% |
| Avg. Down Month | -3.51% | -1.38% |
| Win Days | 65.0% | 68.58% |
| Win Month | 65.0% | 68.58% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.12 |
| Alpha | - | 0.04 |
| Correlation | - | 35.75% |
| Treynor Ratio | - | 4546.04% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 7.56 | 19.93 | 2.64 | + |
| 1994 | 0.40 | -1.04 | -2.62 | - |
| 1995 | 38.05 | 17.04 | 0.45 | - |
| 1996 | 22.50 | 4.80 | 0.21 | - |
| 1997 | 33.48 | 7.50 | 0.22 | - |
| 1998 | 28.69 | 11.88 | 0.41 | - |
| 1999 | 20.39 | 13.38 | 0.66 | - |
| 2000 | -9.74 | 0.40 | -0.04 | + |
| 2001 | -11.76 | 7.27 | -0.62 | + |
| 2002 | -21.58 | 7.89 | -0.37 | + |
| 2003 | 28.18 | 12.88 | 0.46 | - |
| 2004 | 10.70 | 4.74 | 0.44 | - |
| 2005 | 4.83 | 7.37 | 1.53 | + |
| 2006 | 15.85 | 4.47 | 0.28 | - |
| 2007 | 5.15 | 9.05 | 1.76 | + |
| 2008 | -36.79 | 5.56 | -0.15 | + |
| 2009 | 26.35 | -1.76 | -0.07 | - |
| 2010 | 15.06 | 3.53 | 0.23 | - |
| 2011 | 1.89 | 4.30 | 2.27 | + |
| 2012 | 15.99 | 5.42 | 0.34 | - |
| 2013 | 32.31 | 6.56 | 0.20 | - |
| 2014 | 13.46 | 4.52 | 0.34 | - |
| 2015 | 1.23 | -2.48 | -2.01 | - |
| 2016 | 12.00 | 0.47 | 0.04 | - |
| 2017 | 21.71 | 9.39 | 0.43 | - |
| 2018 | -4.57 | -1.61 | 0.35 | + |
| 2019 | 31.22 | 7.68 | 0.25 | - |
| 2020 | 18.33 | 8.82 | 0.48 | - |
| 2021 | 28.73 | 1.80 | 0.06 | - |
| 2022 | -18.18 | -5.28 | 0.29 | + |
| 2023 | 26.18 | 9.70 | 0.37 | - |
| 2024 | 24.89 | 7.35 | 0.30 | - |
| 2025 | 17.72 | 1.91 | 0.11 | - |
| 2026 | 8.94 | 4.87 | 0.55 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2000-12-31 | -7.33 | 246 |
| 2018-02-28 | 2019-07-31 | -6.56 | 519 |
| 2022-01-31 | 2023-06-30 | -5.65 | 516 |
| 1997-08-31 | 1998-02-28 | -4.66 | 182 |
| 2008-04-30 | 2008-11-30 | -4.54 | 215 |
| 1996-07-31 | 1996-09-30 | -4.48 | 62 |
| 2013-05-31 | 2013-11-30 | -4.34 | 184 |
| 2015-06-30 | 2017-04-30 | -4.26 | 671 |
| 2004-04-30 | 2004-10-31 | -4.25 | 185 |
| 2006-05-31 | 2006-10-31 | -3.93 | 154 |