| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,812.76% |
| CAGR﹪ | 10.76% | 11.57% |
| Sharpe | 0.77 | 0.99 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.68 | 0.87 |
| Sortino | 1.18 | 1.65 |
| Smart Sortino | 1.04 | 1.45 |
| Sortino/√2 | 0.84 | 1.17 |
| Smart Sortino/√2 | 0.74 | 1.03 |
| Omega | 1.76 | 2.1 |
| Max Drawdown | -50.78% | -24.56% |
| Max DD Date | 2009-02-28 | 2022-12-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-06-30 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 14.76% | 11.81% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 0.47 |
| Skew | -0.55 | -0.33 |
| Kurtosis | 0.98 | 1.94 |
| Ulcer Performance Index | 211.25 | 575.88 |
| Risk-Adjusted Return | 754.56% | 896.03% |
| Risk-Return Ratio | 0.22 | 0.29 |
| Avg. Return | 0.95% | 0.98% |
| Avg. Win | 3.17% | 2.83% |
| Avg. Loss | -3.34% | -2.86% |
| Win/Loss Ratio | 0.95 | 0.99 |
| Profit Ratio | 0.5 | 0.5 |
| Expected Daily | 0.85% | 0.92% |
| Expected Monthly | 0.85% | 0.92% |
| Expected Yearly | 10.59% | 11.39% |
| Kelly Criterion | 28.38% | 33.82% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.64% |
| Expected Shortfall (cVaR) | -8.96% | -6.79% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.1 |
| Gain/Pain (1M) | 0.76 | 1.1 |
| Payoff Ratio | 0.95 | 0.99 |
| Profit Factor | 1.76 | 2.1 |
| Common Sense Ratio | 1.85 | 2.73 |
| CPC Index | 1.09 | 1.39 |
| Tail Ratio | 1.05 | 1.3 |
| Outlier Win Ratio | 2.95 | 3.03 |
| Outlier Loss Ratio | 2.93 | 2.94 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 3.08% |
| 6M | 8.94% | -1.43% |
| YTD | 8.94% | -1.43% |
| 1Y | 20.92% | 9.42% |
| 3Y (ann.) | 18.77% | 8.21% |
| 5Y (ann.) | 12.51% | 4.19% |
| 10Y (ann.) | 15.13% | 8.91% |
| All-time (ann.) | 10.76% | 11.57% |
| Best Day | 12.7% | 13.54% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 13.54% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 37.91% |
| Worst Year | -36.79% | -24.56% |
| Avg. Drawdown | -6.27% | -4.77% |
| Avg. Drawdown Days | 122 | 94 |
| Recovery Factor | 7.49 | 15.95 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 12.24 |
| Avg. Up Month | 3.17% | 2.83% |
| Avg. Down Month | -3.34% | -2.86% |
| Win Days | 65.09% | 67.08% |
| Win Month | 65.09% | 67.08% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.48 |
| Alpha | - | 0.06 |
| Correlation | - | 59.63% |
| Treynor Ratio | - | 7989.36% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.71 | 1.00 | - |
| 1994 | 0.40 | -3.17 | -7.97 | - |
| 1995 | 38.05 | 37.91 | 1.00 | - |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 33.48 | 1.00 | - |
| 1998 | 28.69 | 13.42 | 0.47 | - |
| 1999 | 20.39 | 13.05 | 0.64 | - |
| 2000 | -9.74 | 3.87 | -0.40 | + |
| 2001 | -11.76 | 4.33 | -0.37 | + |
| 2002 | -21.58 | -7.91 | 0.37 | + |
| 2003 | 28.18 | 26.83 | 0.95 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | - |
| 2008 | -36.79 | 10.33 | -0.28 | + |
| 2009 | 26.35 | 14.70 | 0.56 | - |
| 2010 | 15.06 | 20.62 | 1.37 | + |
| 2011 | 1.89 | 12.57 | 6.63 | + |
| 2012 | 15.99 | 15.88 | 0.99 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | -4.11 | -3.33 | - |
| 2016 | 12.00 | 14.36 | 1.20 | + |
| 2017 | 21.71 | 21.71 | 1.00 | + |
| 2018 | -4.57 | -6.14 | 1.34 | - |
| 2019 | 31.22 | 9.52 | 0.30 | - |
| 2020 | 18.33 | 20.90 | 1.14 | + |
| 2021 | 28.73 | 28.73 | 1.00 | - |
| 2022 | -18.18 | -24.56 | 1.35 | - |
| 2023 | 26.18 | 13.90 | 0.53 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 6.46 | 0.36 | - |
| 2026 | 8.94 | -1.43 | -0.16 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-06-30 | -24.56 | 882 |
| 2001-11-30 | 2003-07-31 | -17.23 | 609 |
| 2018-10-31 | 2020-07-31 | -16.64 | 640 |
| 1998-07-31 | 1999-02-28 | -15.28 | 213 |
| 2009-01-31 | 2009-06-30 | -14.40 | 151 |
| 2025-02-28 | 2025-08-31 | -11.08 | 185 |
| 2011-05-31 | 2011-08-31 | -9.97 | 93 |
| 2007-11-30 | 2008-11-30 | -8.57 | 367 |
| 2010-05-31 | 2010-07-31 | -7.95 | 62 |
| 1994-02-28 | 1995-01-31 | -7.55 | 338 |