| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,229.16% |
| CAGR﹪ | 10.76% | 9.85% |
| Sharpe | 0.77 | 1.16 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.1 |
| Sortino | 1.18 | 2.18 |
| Smart Sortino | 1.12 | 2.06 |
| Sortino/√2 | 0.84 | 1.54 |
| Smart Sortino/√2 | 0.79 | 1.46 |
| Omega | 1.76 | 2.33 |
| Max Drawdown | -50.78% | -14.69% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2008-07-31 |
| Max DD Period End | 2012-02-29 | 2009-10-31 |
| Longest DD Days | 2223 | 732 |
| Volatility (ann.) | 14.76% | 8.43% |
| R^2 | 0.15 | 0.15 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.67 |
| Skew | -0.55 | 0.03 |
| Kurtosis | 0.98 | 0.12 |
| Ulcer Performance Index | 211.25 | 672.91 |
| Risk-Adjusted Return | 754.56% | 619.53% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 0.82% |
| Avg. Win | 3.56% | 2.27% |
| Avg. Loss | -3.87% | -2.0% |
| Win/Loss Ratio | 0.92 | 1.13 |
| Profit Ratio | 0.5 | 0.7 |
| Expected Daily | 0.85% | 0.79% |
| Expected Monthly | 0.85% | 0.79% |
| Expected Yearly | 10.59% | 9.7% |
| Kelly Criterion | 27.12% | 33.43% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.19% |
| Expected Shortfall (cVaR) | -8.96% | -4.15% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.33 |
| Gain/Pain (1M) | 0.76 | 1.33 |
| Payoff Ratio | 0.92 | 1.13 |
| Profit Factor | 1.76 | 2.33 |
| Common Sense Ratio | 1.85 | 3.56 |
| CPC Index | 1.05 | 1.71 |
| Tail Ratio | 1.05 | 1.53 |
| Outlier Win Ratio | 2.95 | 3.03 |
| Outlier Loss Ratio | 2.93 | 2.6 |
| MTD | -1.05% | 4.9% |
| 3M | 13.91% | -0.4% |
| 6M | 8.94% | 10.78% |
| YTD | 8.94% | 10.78% |
| 1Y | 20.92% | 29.83% |
| 3Y (ann.) | 18.77% | 20.14% |
| 5Y (ann.) | 12.51% | 15.92% |
| 10Y (ann.) | 15.13% | 12.21% |
| All-time (ann.) | 10.76% | 9.85% |
| Best Day | 12.7% | 8.29% |
| Worst Day | -16.52% | -7.1% |
| Best Month | 12.7% | 8.29% |
| Worst Month | -16.52% | -7.1% |
| Best Year | 38.05% | 33.44% |
| Worst Year | -36.79% | -3.36% |
| Avg. Drawdown | -6.27% | -3.38% |
| Avg. Drawdown Days | 122 | 115 |
| Recovery Factor | 7.49 | 22.31 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 25.75 |
| Avg. Up Month | 3.56% | 2.27% |
| Avg. Down Month | -3.87% | -2.0% |
| Win Days | 65.09% | 64.68% |
| Win Month | 65.09% | 64.68% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.22 |
| Alpha | - | 0.07 |
| Correlation | - | 38.98% |
| Treynor Ratio | - | 10016.95% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 7.42 | 0.85 | - |
| 1994 | 0.40 | -0.72 | -1.80 | - |
| 1995 | 38.05 | 26.69 | 0.70 | - |
| 1996 | 22.50 | 10.90 | 0.48 | - |
| 1997 | 33.48 | 11.98 | 0.36 | - |
| 1998 | 28.69 | 23.47 | 0.82 | - |
| 1999 | 20.39 | 4.07 | 0.20 | - |
| 2000 | -9.74 | 6.63 | -0.68 | + |
| 2001 | -11.76 | -2.80 | 0.24 | + |
| 2002 | -21.58 | 5.50 | -0.25 | + |
| 2003 | 28.18 | 9.95 | 0.35 | - |
| 2004 | 10.70 | 6.55 | 0.61 | - |
| 2005 | 4.83 | 9.93 | 2.06 | + |
| 2006 | 15.85 | 8.32 | 0.53 | - |
| 2007 | 5.15 | 15.12 | 2.94 | + |
| 2008 | -36.79 | 6.01 | -0.16 | + |
| 2009 | 26.35 | 9.06 | 0.34 | - |
| 2010 | 15.06 | 12.88 | 0.86 | - |
| 2011 | 1.89 | 12.74 | 6.72 | + |
| 2012 | 15.99 | -2.24 | -0.14 | - |
| 2013 | 32.31 | 16.00 | 0.50 | - |
| 2014 | 13.46 | 8.73 | 0.65 | - |
| 2015 | 1.23 | -3.13 | -2.54 | - |
| 2016 | 12.00 | 7.54 | 0.63 | - |
| 2017 | 21.71 | 4.70 | 0.22 | - |
| 2018 | -4.57 | -3.36 | 0.74 | + |
| 2019 | 31.22 | 11.53 | 0.37 | - |
| 2020 | 18.33 | 19.55 | 1.07 | + |
| 2021 | 28.73 | 21.15 | 0.74 | - |
| 2022 | -18.18 | 8.25 | -0.45 | + |
| 2023 | 26.18 | 6.58 | 0.25 | - |
| 2024 | 24.89 | 16.78 | 0.67 | - |
| 2025 | 17.72 | 33.44 | 1.89 | + |
| 2026 | 8.94 | 10.78 | 1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-31 | 2009-10-31 | -14.69 | 458 |
| 2015-02-28 | 2016-05-31 | -8.07 | 459 |
| 2026-05-31 | 2026-07-31 | -7.89 | 62 |
| 2018-10-31 | 2019-07-31 | -7.86 | 274 |
| 2009-12-31 | 2010-03-31 | -7.82 | 91 |
| 2004-04-30 | 2004-10-31 | -7.79 | 185 |
| 2000-11-30 | 2002-11-30 | -7.39 | 731 |
| 2011-09-30 | 2013-09-30 | -7.18 | 732 |
| 2022-06-30 | 2022-12-31 | -6.68 | 185 |
| 2003-06-30 | 2003-09-30 | -5.60 | 93 |