| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,983.66% |
| CAGR﹪ | 10.76% | 10.78% |
| Sharpe | 0.77 | 0.96 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.77 | 0.96 |
| Sortino | 1.18 | 1.69 |
| Smart Sortino | 1.18 | 1.68 |
| Sortino/√2 | 0.84 | 1.19 |
| Smart Sortino/√2 | 0.83 | 1.19 |
| Omega | 1.76 | 2.13 |
| Max Drawdown | -50.78% | -31.5% |
| Max DD Date | 2009-02-28 | 2002-06-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2006-08-31 |
| Longest DD Days | 2223 | 2315 |
| Volatility (ann.) | 14.76% | 11.37% |
| R^2 | 0.33 | 0.33 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.34 |
| Skew | -0.55 | 0.19 |
| Kurtosis | 0.98 | 1.98 |
| Ulcer Performance Index | 211.25 | 345.4 |
| Risk-Adjusted Return | 754.56% | 757.92% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.95% | 0.91% |
| Avg. Win | 3.47% | 2.79% |
| Avg. Loss | -3.72% | -2.89% |
| Win/Loss Ratio | 0.93 | 0.97 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 0.86% |
| Expected Monthly | 0.85% | 0.86% |
| Expected Yearly | 10.59% | 10.61% |
| Kelly Criterion | 27.58% | 28.09% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.49% |
| Expected Shortfall (cVaR) | -8.96% | -6.46% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.13 |
| Gain/Pain (1M) | 0.76 | 1.13 |
| Payoff Ratio | 0.93 | 0.97 |
| Profit Factor | 1.76 | 2.13 |
| Common Sense Ratio | 1.85 | 2.68 |
| CPC Index | 1.07 | 1.33 |
| Tail Ratio | 1.05 | 1.26 |
| Outlier Win Ratio | 2.95 | 4.23 |
| Outlier Loss Ratio | 2.93 | 3.38 |
| MTD | -1.05% | -4.46% |
| 3M | 13.91% | 5.93% |
| 6M | 8.94% | 4.21% |
| YTD | 8.94% | 4.21% |
| 1Y | 20.92% | 9.65% |
| 3Y (ann.) | 18.77% | 6.1% |
| 5Y (ann.) | 12.51% | 2.1% |
| 10Y (ann.) | 15.13% | 8.68% |
| All-time (ann.) | 10.76% | 10.78% |
| Best Day | 12.7% | 14.35% |
| Worst Day | -16.52% | -9.06% |
| Best Month | 12.7% | 14.35% |
| Worst Month | -16.52% | -9.06% |
| Best Year | 38.05% | 48.35% |
| Worst Year | -36.79% | -21.13% |
| Avg. Drawdown | -6.27% | -4.45% |
| Avg. Drawdown Days | 122 | 143 |
| Recovery Factor | 7.49 | 11.61 |
| Ulcer Index | 0.14 | 0.09 |
| Serenity Index | 3.21 | 6.13 |
| Avg. Up Month | 3.47% | 2.79% |
| Avg. Down Month | -3.72% | -2.89% |
| Win Days | 65.09% | 64.68% |
| Win Month | 65.09% | 64.68% |
| Win Quarter | 73.33% | 67.41% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.44 |
| Alpha | - | 0.06 |
| Correlation | - | 57.26% |
| Treynor Ratio | - | 6764.8% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.55 | 1.33 | + |
| 1994 | 0.40 | 1.31 | 3.31 | + |
| 1995 | 38.05 | 27.27 | 0.72 | - |
| 1996 | 22.50 | 11.62 | 0.52 | - |
| 1997 | 33.48 | 20.84 | 0.62 | - |
| 1998 | 28.69 | 14.61 | 0.51 | - |
| 1999 | 20.39 | 48.35 | 2.37 | + |
| 2000 | -9.74 | -8.24 | 0.85 | + |
| 2001 | -11.76 | -4.19 | 0.36 | + |
| 2002 | -21.58 | -7.68 | 0.36 | + |
| 2003 | 28.18 | 32.70 | 1.16 | + |
| 2004 | 10.70 | 2.18 | 0.20 | - |
| 2005 | 4.83 | -1.75 | -0.36 | - |
| 2006 | 15.85 | 8.32 | 0.53 | - |
| 2007 | 5.15 | 12.66 | 2.46 | + |
| 2008 | -36.79 | 10.36 | -0.28 | + |
| 2009 | 26.35 | 42.82 | 1.62 | + |
| 2010 | 15.06 | 11.33 | 0.75 | - |
| 2011 | 1.89 | 19.01 | 10.03 | + |
| 2012 | 15.99 | 2.73 | 0.17 | - |
| 2013 | 32.31 | 21.05 | 0.65 | - |
| 2014 | 13.46 | 17.70 | 1.31 | + |
| 2015 | 1.23 | -1.86 | -1.50 | - |
| 2016 | 12.00 | 7.17 | 0.60 | - |
| 2017 | 21.71 | 14.59 | 0.67 | - |
| 2018 | -4.57 | -1.67 | 0.36 | + |
| 2019 | 31.22 | 9.20 | 0.29 | - |
| 2020 | 18.33 | 38.10 | 2.08 | + |
| 2021 | 28.73 | 20.10 | 0.70 | - |
| 2022 | -18.18 | -21.13 | 1.16 | - |
| 2023 | 26.18 | 16.95 | 0.65 | - |
| 2024 | 24.89 | 3.47 | 0.14 | - |
| 2025 | 17.72 | 8.55 | 0.48 | - |
| 2026 | 8.94 | 4.21 | 0.47 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2006-08-31 | -31.50 | 2315 |
| 2021-12-31 | 2024-10-31 | -21.18 | 1036 |
| 2010-05-31 | 2010-11-30 | -9.09 | 184 |
| 2007-11-30 | 2008-11-30 | -8.76 | 367 |
| 1998-08-31 | 1998-11-30 | -8.74 | 92 |
| 2018-10-31 | 2019-11-30 | -7.98 | 396 |
| 1994-02-28 | 1995-01-31 | -7.64 | 338 |
| 1997-02-28 | 1997-04-30 | -7.43 | 62 |
| 2012-04-30 | 2013-02-28 | -7.39 | 305 |
| 2015-04-30 | 2016-11-30 | -7.27 | 581 |