| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,686.45% |
| CAGR﹪ | 10.76% | 8.99% |
| Sharpe | 0.77 | 1.14 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.07 |
| Sortino | 1.18 | 1.96 |
| Smart Sortino | 1.11 | 1.84 |
| Sortino/√2 | 0.84 | 1.39 |
| Smart Sortino/√2 | 0.79 | 1.3 |
| Omega | 1.76 | 2.37 |
| Max Drawdown | -50.78% | -13.33% |
| Max DD Date | 2009-02-28 | 2023-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-07-31 |
| Longest DD Days | 2223 | 913 |
| Volatility (ann.) | 14.76% | 7.81% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.05 | -0.05 |
| Calmar | 0.21 | 0.67 |
| Skew | -0.55 | -0.45 |
| Kurtosis | 0.98 | 1.68 |
| Ulcer Performance Index | 211.25 | 460.45 |
| Risk-Adjusted Return | 754.56% | 509.3% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.75% |
| Avg. Win | 3.48% | 2.01% |
| Avg. Loss | -3.92% | -1.97% |
| Win/Loss Ratio | 0.89 | 1.02 |
| Profit Ratio | 0.5 | 0.58 |
| Expected Daily | 0.85% | 0.72% |
| Expected Monthly | 0.85% | 0.72% |
| Expected Yearly | 10.59% | 8.85% |
| Kelly Criterion | 25.82% | 34.51% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.96% |
| Expected Shortfall (cVaR) | -8.96% | -4.51% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.37 |
| Gain/Pain (1M) | 0.76 | 1.37 |
| Payoff Ratio | 0.89 | 1.02 |
| Profit Factor | 1.76 | 2.37 |
| Common Sense Ratio | 1.85 | 3.31 |
| CPC Index | 1.02 | 1.62 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 3.05 |
| Outlier Loss Ratio | 2.93 | 3.85 |
| MTD | -1.05% | -0.83% |
| 3M | 13.91% | -0.54% |
| 6M | 8.94% | 0.97% |
| YTD | 8.94% | 0.97% |
| 1Y | 20.92% | 13.16% |
| 3Y (ann.) | 18.77% | 11.35% |
| 5Y (ann.) | 12.51% | 5.75% |
| 10Y (ann.) | 15.13% | 5.05% |
| All-time (ann.) | 10.76% | 8.99% |
| Best Day | 12.7% | 8.46% |
| Worst Day | -16.52% | -9.15% |
| Best Month | 12.7% | 8.46% |
| Worst Month | -16.52% | -9.15% |
| Best Year | 38.05% | 22.6% |
| Worst Year | -36.79% | -9.49% |
| Avg. Drawdown | -6.27% | -3.17% |
| Avg. Drawdown Days | 122 | 114 |
| Recovery Factor | 7.49 | 22.46 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 20.68 |
| Avg. Up Month | 3.48% | 2.01% |
| Avg. Down Month | -3.92% | -1.97% |
| Win Days | 65.09% | 66.92% |
| Win Month | 65.09% | 66.92% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.25 |
| Alpha | - | 0.06 |
| Correlation | - | 47.05% |
| Treynor Ratio | - | 6774.74% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 15.75 | 1.81 | + |
| 1994 | 0.40 | 2.32 | 5.84 | + |
| 1995 | 38.05 | 19.19 | 0.50 | - |
| 1996 | 22.50 | 16.95 | 0.75 | - |
| 1997 | 33.48 | 18.19 | 0.54 | - |
| 1998 | 28.69 | 12.12 | 0.42 | - |
| 1999 | 20.39 | 3.24 | 0.16 | - |
| 2000 | -9.74 | 2.90 | -0.30 | + |
| 2001 | -11.76 | 16.31 | -1.39 | + |
| 2002 | -21.58 | 17.51 | -0.81 | + |
| 2003 | 28.18 | 21.87 | 0.78 | - |
| 2004 | 10.70 | 12.37 | 1.16 | + |
| 2005 | 4.83 | 10.17 | 2.11 | + |
| 2006 | 15.85 | 22.60 | 1.43 | + |
| 2007 | 5.15 | 6.87 | 1.33 | + |
| 2008 | -36.79 | 1.58 | -0.04 | + |
| 2009 | 26.35 | 3.87 | 0.15 | - |
| 2010 | 15.06 | 19.34 | 1.28 | + |
| 2011 | 1.89 | 5.67 | 2.99 | + |
| 2012 | 15.99 | 9.59 | 0.60 | - |
| 2013 | 32.31 | 4.11 | 0.13 | - |
| 2014 | 13.46 | 13.54 | 1.01 | + |
| 2015 | 1.23 | -2.13 | -1.73 | - |
| 2016 | 12.00 | -1.28 | -0.11 | - |
| 2017 | 21.71 | 12.50 | 0.58 | - |
| 2018 | -4.57 | -6.38 | 1.40 | - |
| 2019 | 31.22 | 14.01 | 0.45 | - |
| 2020 | 18.33 | 2.77 | 0.15 | - |
| 2021 | 28.73 | 9.31 | 0.32 | - |
| 2022 | -18.18 | -9.49 | 0.52 | + |
| 2023 | 26.18 | 0.77 | 0.03 | - |
| 2024 | 24.89 | 13.26 | 0.53 | - |
| 2025 | 17.72 | 21.41 | 1.21 | + |
| 2026 | 8.94 | 0.97 | 0.11 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-07-31 | -13.33 | 913 |
| 2004-04-30 | 2004-10-31 | -9.15 | 185 |
| 2011-05-31 | 2012-01-31 | -9.10 | 246 |
| 2020-02-29 | 2020-11-30 | -8.67 | 276 |
| 2013-05-31 | 2014-03-31 | -8.44 | 305 |
| 2015-02-28 | 2017-03-31 | -8.14 | 763 |
| 2008-03-31 | 2009-10-31 | -7.26 | 580 |
| 2026-03-31 | 2026-07-31 | -7.02 | 123 |
| 2018-01-31 | 2019-05-31 | -6.46 | 486 |
| 2007-06-30 | 2007-09-30 | -6.10 | 93 |