| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,248.45% |
| CAGR﹪ | 10.76% | 8.08% |
| Sharpe | 0.77 | 1.32 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 1.27 |
| Sortino | 1.18 | 2.37 |
| Smart Sortino | 1.14 | 2.29 |
| Sortino/√2 | 0.84 | 1.68 |
| Smart Sortino/√2 | 0.81 | 1.62 |
| Omega | 1.76 | 2.65 |
| Max Drawdown | -50.78% | -8.08% |
| Max DD Date | 2009-02-28 | 2022-04-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-10-31 |
| Longest DD Days | 2223 | 732 |
| Volatility (ann.) | 14.76% | 6.04% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 1.0 |
| Skew | -0.55 | -0.22 |
| Kurtosis | 0.98 | 1.14 |
| Ulcer Performance Index | 211.25 | 529.51 |
| Risk-Adjusted Return | 754.56% | 410.8% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.95% | 0.67% |
| Avg. Win | 3.45% | 1.63% |
| Avg. Loss | -3.84% | -1.5% |
| Win/Loss Ratio | 0.9 | 1.09 |
| Profit Ratio | 0.5 | 0.59 |
| Expected Daily | 0.85% | 0.65% |
| Expected Monthly | 0.85% | 0.65% |
| Expected Yearly | 10.59% | 7.95% |
| Kelly Criterion | 26.19% | 38.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.2% |
| Expected Shortfall (cVaR) | -8.96% | -3.31% |
| Max Consecutive Wins | 15 | 16 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.65 |
| Gain/Pain (1M) | 0.76 | 1.65 |
| Payoff Ratio | 0.9 | 1.09 |
| Profit Factor | 1.76 | 2.65 |
| Common Sense Ratio | 1.85 | 3.54 |
| CPC Index | 1.03 | 1.96 |
| Tail Ratio | 1.05 | 1.34 |
| Outlier Win Ratio | 2.95 | 3.38 |
| Outlier Loss Ratio | 2.93 | 3.41 |
| MTD | -1.05% | -1.78% |
| 3M | 13.91% | 3.71% |
| 6M | 8.94% | 7.43% |
| YTD | 8.94% | 7.43% |
| 1Y | 20.92% | 14.94% |
| 3Y (ann.) | 18.77% | 10.73% |
| 5Y (ann.) | 12.51% | 6.23% |
| 10Y (ann.) | 15.13% | 7.29% |
| All-time (ann.) | 10.76% | 8.08% |
| Best Day | 12.7% | 6.93% |
| Worst Day | -16.52% | -5.19% |
| Best Month | 12.7% | 6.93% |
| Worst Month | -16.52% | -5.19% |
| Best Year | 38.05% | 21.05% |
| Worst Year | -36.79% | -6.81% |
| Avg. Drawdown | -6.27% | -2.02% |
| Avg. Drawdown Days | 122 | 78 |
| Recovery Factor | 7.49 | 33.04 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 34.26 |
| Avg. Up Month | 3.45% | 1.63% |
| Avg. Down Month | -3.84% | -1.5% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 77.78% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.17 |
| Alpha | - | 0.06 |
| Correlation | - | 40.37% |
| Treynor Ratio | - | 7555.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 21.05 | 2.42 | + |
| 1994 | 0.40 | -0.57 | -1.42 | - |
| 1995 | 38.05 | 17.53 | 0.46 | - |
| 1996 | 22.50 | 14.79 | 0.66 | - |
| 1997 | 33.48 | 7.61 | 0.23 | - |
| 1998 | 28.69 | 10.64 | 0.37 | - |
| 1999 | 20.39 | 13.08 | 0.64 | - |
| 2000 | -9.74 | 9.04 | -0.93 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 9.64 | -0.45 | + |
| 2003 | 28.18 | 13.99 | 0.50 | - |
| 2004 | 10.70 | 3.32 | 0.31 | - |
| 2005 | 4.83 | 7.86 | 1.63 | + |
| 2006 | 15.85 | 10.22 | 0.65 | - |
| 2007 | 5.15 | 16.01 | 3.11 | + |
| 2008 | -36.79 | 4.42 | -0.12 | + |
| 2009 | 26.35 | 1.17 | 0.04 | - |
| 2010 | 15.06 | 4.45 | 0.30 | - |
| 2011 | 1.89 | 8.01 | 4.22 | + |
| 2012 | 15.99 | 3.37 | 0.21 | - |
| 2013 | 32.31 | 11.66 | 0.36 | - |
| 2014 | 13.46 | 7.05 | 0.52 | - |
| 2015 | 1.23 | -3.74 | -3.03 | - |
| 2016 | 12.00 | 1.27 | 0.11 | - |
| 2017 | 21.71 | 20.52 | 0.95 | - |
| 2018 | -4.57 | -0.26 | 0.06 | + |
| 2019 | 31.22 | 8.76 | 0.28 | - |
| 2020 | 18.33 | 17.32 | 0.94 | - |
| 2021 | 28.73 | 0.20 | 0.01 | - |
| 2022 | -18.18 | -6.81 | 0.37 | + |
| 2023 | 26.18 | 9.51 | 0.36 | - |
| 2024 | 24.89 | 9.11 | 0.37 | - |
| 2025 | 17.72 | 11.84 | 0.67 | - |
| 2026 | 8.94 | 7.43 | 0.83 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-10-31 | -8.08 | 639 |
| 2018-02-28 | 2019-07-31 | -6.73 | 519 |
| 1994-02-28 | 1995-03-31 | -5.69 | 397 |
| 2007-11-30 | 2008-11-30 | -5.50 | 367 |
| 2015-02-28 | 2017-02-28 | -5.41 | 732 |
| 2004-04-30 | 2004-11-30 | -5.31 | 215 |
| 2026-03-31 | 2026-05-31 | -5.19 | 62 |
| 2013-05-31 | 2013-09-30 | -4.70 | 123 |
| 1996-06-30 | 1996-08-31 | -3.78 | 63 |
| 1999-02-28 | 1999-05-31 | -3.69 | 93 |