| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,977.19% |
| CAGR﹪ | 10.76% | 9.48% |
| Sharpe | 0.77 | 1.04 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.96 |
| Sortino | 1.18 | 1.7 |
| Smart Sortino | 1.1 | 1.58 |
| Sortino/√2 | 0.84 | 1.2 |
| Smart Sortino/√2 | 0.78 | 1.12 |
| Omega | 1.76 | 2.19 |
| Max Drawdown | -50.78% | -13.31% |
| Max DD Date | 2009-02-28 | 2008-06-30 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2009-11-30 |
| Longest DD Days | 2223 | 944 |
| Volatility (ann.) | 14.76% | 9.18% |
| R^2 | 0.23 | 0.23 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.71 |
| Skew | -0.55 | -0.47 |
| Kurtosis | 0.98 | 1.37 |
| Ulcer Performance Index | 211.25 | 443.83 |
| Risk-Adjusted Return | 754.56% | 569.7% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.8% |
| Avg. Win | 3.41% | 2.31% |
| Avg. Loss | -3.81% | -2.59% |
| Win/Loss Ratio | 0.89 | 0.89 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.76% |
| Expected Monthly | 0.85% | 0.76% |
| Expected Yearly | 10.59% | 9.33% |
| Kelly Criterion | 26.07% | 30.28% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.56% |
| Expected Shortfall (cVaR) | -8.96% | -5.44% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.19 |
| Gain/Pain (1M) | 0.76 | 1.19 |
| Payoff Ratio | 0.89 | 0.89 |
| Profit Factor | 1.76 | 2.19 |
| Common Sense Ratio | 1.85 | 2.73 |
| CPC Index | 1.02 | 1.31 |
| Tail Ratio | 1.05 | 1.25 |
| Outlier Win Ratio | 2.95 | 2.98 |
| Outlier Loss Ratio | 2.93 | 3.25 |
| MTD | -1.05% | -3.57% |
| 3M | 13.91% | 7.19% |
| 6M | 8.94% | 8.12% |
| YTD | 8.94% | 8.12% |
| 1Y | 20.92% | 19.92% |
| 3Y (ann.) | 18.77% | 13.52% |
| 5Y (ann.) | 12.51% | 7.84% |
| 10Y (ann.) | 15.13% | 8.53% |
| All-time (ann.) | 10.76% | 9.48% |
| Best Day | 12.7% | 10.17% |
| Worst Day | -16.52% | -10.46% |
| Best Month | 12.7% | 10.17% |
| Worst Month | -16.52% | -10.46% |
| Best Year | 38.05% | 26.89% |
| Worst Year | -36.79% | -10.08% |
| Avg. Drawdown | -6.27% | -3.7% |
| Avg. Drawdown Days | 122 | 114 |
| Recovery Factor | 7.49 | 23.94 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 17.96 |
| Avg. Up Month | 3.41% | 2.31% |
| Avg. Down Month | -3.81% | -2.59% |
| Win Days | 65.09% | 67.16% |
| Win Month | 65.09% | 67.16% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.3 |
| Alpha | - | 0.06 |
| Correlation | - | 48.23% |
| Treynor Ratio | - | 6594.38% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 19.54 | 2.24 | + |
| 1994 | 0.40 | -1.15 | -2.89 | - |
| 1995 | 38.05 | 19.84 | 0.52 | - |
| 1996 | 22.50 | 14.38 | 0.64 | - |
| 1997 | 33.48 | 10.81 | 0.32 | - |
| 1998 | 28.69 | 12.78 | 0.45 | - |
| 1999 | 20.39 | 26.87 | 1.32 | + |
| 2000 | -9.74 | 5.64 | -0.58 | + |
| 2001 | -11.76 | 7.61 | -0.65 | + |
| 2002 | -21.58 | 7.74 | -0.36 | + |
| 2003 | 28.18 | 25.25 | 0.90 | - |
| 2004 | 10.70 | 11.02 | 1.03 | + |
| 2005 | 4.83 | 11.14 | 2.31 | + |
| 2006 | 15.85 | 16.78 | 1.06 | + |
| 2007 | 5.15 | 15.68 | 3.05 | + |
| 2008 | -36.79 | 5.32 | -0.14 | + |
| 2009 | 26.35 | 1.70 | 0.06 | - |
| 2010 | 15.06 | 1.05 | 0.07 | - |
| 2011 | 1.89 | 8.04 | 4.24 | + |
| 2012 | 15.99 | 1.62 | 0.10 | - |
| 2013 | 32.31 | 23.07 | 0.71 | - |
| 2014 | 13.46 | 5.14 | 0.38 | - |
| 2015 | 1.23 | -8.44 | -6.84 | - |
| 2016 | 12.00 | -1.43 | -0.12 | - |
| 2017 | 21.71 | 26.89 | 1.24 | + |
| 2018 | -4.57 | -4.04 | 0.88 | + |
| 2019 | 31.22 | 5.90 | 0.19 | - |
| 2020 | 18.33 | 18.73 | 1.02 | + |
| 2021 | 28.73 | 4.99 | 0.17 | - |
| 2022 | -18.18 | -10.08 | 0.55 | + |
| 2023 | 26.18 | 11.39 | 0.44 | - |
| 2024 | 24.89 | 12.42 | 0.50 | - |
| 2025 | 17.72 | 16.46 | 0.93 | - |
| 2026 | 8.94 | 8.12 | 0.91 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-11-30 | -13.31 | 732 |
| 2014-09-30 | 2017-04-30 | -12.04 | 944 |
| 2022-01-31 | 2023-11-30 | -11.21 | 669 |
| 1998-08-31 | 1998-11-30 | -10.46 | 92 |
| 2018-02-28 | 2020-05-31 | -10.26 | 824 |
| 2000-04-30 | 2000-11-30 | -7.82 | 215 |
| 2026-03-31 | 2026-04-30 | -7.65 | 31 |
| 2004-04-30 | 2004-10-31 | -7.20 | 185 |
| 2010-05-31 | 2011-01-31 | -7.11 | 246 |
| 1994-02-28 | 1994-09-30 | -6.59 | 215 |