| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,932.06% | 762.82% |
| CAGR﹪ | 10.75% | 6.66% |
| Sharpe | 0.77 | 0.78 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.75 | 0.76 |
| Sortino | 1.18 | 1.25 |
| Smart Sortino | 1.15 | 1.21 |
| Sortino/√2 | 0.84 | 0.88 |
| Smart Sortino/√2 | 0.81 | 0.86 |
| Omega | 1.76 | 1.79 |
| Max Drawdown | -50.78% | -13.78% |
| Max DD Date | 2009-02-28 | 2000-09-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2001-09-30 |
| Longest DD Days | 2223 | 914 |
| Volatility (ann.) | 14.78% | 8.73% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.48 |
| Skew | -0.55 | -0.32 |
| Kurtosis | 0.97 | 0.9 |
| Ulcer Performance Index | 208.69 | 165.35 |
| Risk-Adjusted Return | 753.43% | 287.4% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.95% | 0.58% |
| Avg. Win | 3.46% | 2.08% |
| Avg. Loss | -3.52% | -2.4% |
| Win/Loss Ratio | 0.98 | 0.87 |
| Profit Ratio | 0.51 | 0.57 |
| Expected Daily | 0.85% | 0.54% |
| Expected Monthly | 0.85% | 0.54% |
| Expected Yearly | 10.56% | 6.54% |
| Kelly Criterion | 29.45% | 22.13% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.07% | -3.57% |
| Expected Shortfall (cVaR) | -8.96% | -5.19% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.79 |
| Gain/Pain (1M) | 0.76 | 0.79 |
| Payoff Ratio | 0.98 | 0.87 |
| Profit Factor | 1.76 | 1.79 |
| Common Sense Ratio | 1.85 | 1.96 |
| CPC Index | 1.12 | 0.99 |
| Tail Ratio | 1.05 | 1.1 |
| Outlier Win Ratio | 2.94 | 3.07 |
| Outlier Loss Ratio | 2.93 | 3.31 |
| MTD | -1.05% | -3.5% |
| 3M | 13.91% | 7.35% |
| 6M | 8.94% | 8.87% |
| YTD | 8.94% | 8.87% |
| 1Y | 20.92% | 12.78% |
| 3Y (ann.) | 18.77% | 7.06% |
| 5Y (ann.) | 12.51% | 3.88% |
| 10Y (ann.) | 15.13% | 4.9% |
| All-time (ann.) | 10.75% | 6.66% |
| Best Day | 12.7% | 9.28% |
| Worst Day | -16.52% | -7.95% |
| Best Month | 12.7% | 9.28% |
| Worst Month | -16.52% | -7.95% |
| Best Year | 38.05% | 23.69% |
| Worst Year | -36.79% | -10.13% |
| Avg. Drawdown | -6.27% | -4.27% |
| Avg. Drawdown Days | 122 | 161 |
| Recovery Factor | 7.47 | 16.61 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.2 | 12.05 |
| Avg. Up Month | 3.46% | 2.08% |
| Avg. Down Month | -3.52% | -2.4% |
| Win Days | 65.0% | 63.84% |
| Win Month | 65.0% | 63.84% |
| Win Quarter | 73.33% | 65.19% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.25 |
| Alpha | - | 0.04 |
| Correlation | - | 42.86% |
| Treynor Ratio | - | 3013.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 7.56 | 20.70 | 2.74 | + |
| 1994 | 0.40 | -6.02 | -15.14 | - |
| 1995 | 38.05 | 22.58 | 0.59 | - |
| 1996 | 22.50 | 8.02 | 0.36 | - |
| 1997 | 33.48 | 9.02 | 0.27 | - |
| 1998 | 28.69 | 18.59 | 0.65 | - |
| 1999 | 20.39 | 23.69 | 1.16 | + |
| 2000 | -9.74 | -7.11 | 0.73 | + |
| 2001 | -11.76 | 6.65 | -0.57 | + |
| 2002 | -21.58 | 6.53 | -0.30 | + |
| 2003 | 28.18 | 19.22 | 0.68 | - |
| 2004 | 10.70 | 8.51 | 0.80 | - |
| 2005 | 4.83 | 12.62 | 2.61 | + |
| 2006 | 15.85 | 4.61 | 0.29 | - |
| 2007 | 5.15 | 6.27 | 1.22 | + |
| 2008 | -36.79 | 8.66 | -0.24 | + |
| 2009 | 26.35 | -2.44 | -0.09 | - |
| 2010 | 15.06 | 0.42 | 0.03 | - |
| 2011 | 1.89 | 0.09 | 0.05 | - |
| 2012 | 15.99 | 4.64 | 0.29 | - |
| 2013 | 32.31 | 15.65 | 0.48 | - |
| 2014 | 13.46 | 3.42 | 0.25 | - |
| 2015 | 1.23 | -1.74 | -1.41 | - |
| 2016 | 12.00 | -0.42 | -0.03 | - |
| 2017 | 21.71 | 19.58 | 0.90 | - |
| 2018 | -4.57 | -5.41 | 1.18 | - |
| 2019 | 31.22 | 9.66 | 0.31 | - |
| 2020 | 18.33 | 5.66 | 0.31 | - |
| 2021 | 28.73 | 3.43 | 0.12 | - |
| 2022 | -18.18 | -10.13 | 0.56 | + |
| 2023 | 26.18 | 11.82 | 0.45 | - |
| 2024 | 24.89 | 5.55 | 0.22 | - |
| 2025 | 17.72 | 2.87 | 0.16 | - |
| 2026 | 8.94 | 8.87 | 0.99 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2001-09-30 | -13.78 | 519 |
| 2018-02-28 | 2020-07-31 | -11.89 | 885 |
| 2006-05-31 | 2007-04-30 | -10.42 | 335 |
| 2022-01-31 | 2023-11-30 | -10.23 | 669 |
| 1994-02-28 | 1995-04-30 | -9.86 | 427 |
| 2007-11-30 | 2008-11-30 | -8.87 | 367 |
| 2014-09-30 | 2017-03-31 | -8.68 | 914 |
| 1997-08-31 | 1998-05-31 | -8.63 | 274 |
| 2010-05-31 | 2011-03-31 | -8.27 | 305 |
| 1996-06-30 | 1996-10-31 | -7.93 | 124 |