| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 7,993.71% |
| CAGR﹪ | 10.76% | 14.01% |
| Sharpe | 0.77 | 0.96 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.9 |
| Sortino | 1.18 | 1.72 |
| Smart Sortino | 1.11 | 1.62 |
| Sortino/√2 | 0.84 | 1.22 |
| Smart Sortino/√2 | 0.79 | 1.15 |
| Omega | 1.76 | 2.23 |
| Max Drawdown | -50.78% | -22.53% |
| Max DD Date | 2009-02-28 | 2025-12-31 |
| Max DD Period Start | 2007-11-30 | 2023-10-31 |
| Max DD Period End | 2012-02-29 | 2026-02-28 |
| Longest DD Days | 2223 | 852 |
| Volatility (ann.) | 14.76% | 14.89% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.05 | 0.05 |
| Calmar | 0.21 | 0.62 |
| Skew | -0.55 | 0.12 |
| Kurtosis | 0.98 | 1.73 |
| Ulcer Performance Index | 211.25 | 1140.28 |
| Risk-Adjusted Return | 754.56% | 1470.91% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.94% | 1.2% |
| Avg. Win | 3.51% | 3.48% |
| Avg. Loss | -3.62% | -3.74% |
| Win/Loss Ratio | 0.97 | 0.93 |
| Profit Ratio | 0.5 | 0.57 |
| Expected Daily | 0.85% | 1.1% |
| Expected Monthly | 0.85% | 1.1% |
| Expected Yearly | 10.59% | 13.79% |
| Kelly Criterion | 29.09% | 30.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.88% |
| Expected Shortfall (cVaR) | -8.96% | -8.36% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.23 |
| Gain/Pain (1M) | 0.76 | 1.23 |
| Payoff Ratio | 0.97 | 0.93 |
| Profit Factor | 1.76 | 2.23 |
| Common Sense Ratio | 1.85 | 3.12 |
| CPC Index | 1.11 | 1.38 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 4.05 |
| Outlier Loss Ratio | 2.93 | 3.42 |
| MTD | -1.05% | 0.2% |
| 3M | 13.91% | -8.13% |
| 6M | 8.94% | 19.96% |
| YTD | 8.94% | 19.96% |
| 1Y | 20.92% | 19.18% |
| 3Y (ann.) | 18.77% | -2.08% |
| 5Y (ann.) | 12.51% | 3.47% |
| 10Y (ann.) | 15.13% | 15.79% |
| All-time (ann.) | 10.76% | 14.01% |
| Best Day | 12.7% | 16.09% |
| Worst Day | -16.52% | -15.58% |
| Best Month | 12.7% | 16.09% |
| Worst Month | -16.52% | -15.58% |
| Best Year | 38.05% | 55.67% |
| Worst Year | -36.79% | -14.11% |
| Avg. Drawdown | -6.27% | -6.21% |
| Avg. Drawdown Days | 122 | 138 |
| Recovery Factor | 7.49 | 21.23 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 17.14 |
| Avg. Up Month | 3.51% | 3.48% |
| Avg. Down Month | -3.62% | -3.74% |
| Win Days | 65.09% | 66.25% |
| Win Month | 65.09% | 66.25% |
| Win Quarter | 73.33% | 66.67% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.43 |
| Alpha | - | 0.09 |
| Correlation | - | 42.69% |
| Treynor Ratio | - | 18560.92% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 3.28 | 0.38 | - |
| 1994 | 0.40 | -4.90 | -12.33 | - |
| 1995 | 38.05 | 36.50 | 0.96 | - |
| 1996 | 22.50 | 18.59 | 0.83 | - |
| 1997 | 33.48 | 2.09 | 0.06 | - |
| 1998 | 28.69 | 13.66 | 0.48 | - |
| 1999 | 20.39 | -6.26 | -0.31 | - |
| 2000 | -9.74 | 11.94 | -1.23 | + |
| 2001 | -11.76 | 0.53 | -0.04 | + |
| 2002 | -21.58 | -2.26 | 0.10 | + |
| 2003 | 28.18 | 33.19 | 1.18 | + |
| 2004 | 10.70 | 19.50 | 1.82 | + |
| 2005 | 4.83 | -4.46 | -0.92 | - |
| 2006 | 15.85 | 17.37 | 1.10 | + |
| 2007 | 5.15 | 24.52 | 4.77 | + |
| 2008 | -36.79 | 55.67 | -1.51 | + |
| 2009 | 26.35 | 29.55 | 1.12 | + |
| 2010 | 15.06 | 12.28 | 0.82 | - |
| 2011 | 1.89 | -8.40 | -4.43 | - |
| 2012 | 15.99 | 12.14 | 0.76 | - |
| 2013 | 32.31 | 13.77 | 0.43 | - |
| 2014 | 13.46 | 23.04 | 1.71 | + |
| 2015 | 1.23 | 17.59 | 14.25 | + |
| 2016 | 12.00 | 20.70 | 1.73 | + |
| 2017 | 21.71 | 21.10 | 0.97 | - |
| 2018 | -4.57 | 20.71 | -4.53 | + |
| 2019 | 31.22 | 20.74 | 0.66 | - |
| 2020 | 18.33 | 48.41 | 2.64 | + |
| 2021 | 28.73 | 19.77 | 0.69 | - |
| 2022 | -18.18 | 26.98 | -1.48 | + |
| 2023 | 26.18 | 7.70 | 0.29 | - |
| 2024 | 24.89 | -14.11 | -0.57 | - |
| 2025 | 17.72 | -6.31 | -0.36 | - |
| 2026 | 8.94 | 19.96 | 2.23 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2023-10-31 | 2026-02-28 | -22.53 | 852 |
| 2010-05-31 | 2010-11-30 | -18.54 | 184 |
| 2008-09-30 | 2008-11-30 | -17.23 | 62 |
| 2001-11-30 | 2003-04-30 | -16.82 | 517 |
| 1997-02-28 | 1998-07-31 | -16.30 | 519 |
| 2011-05-31 | 2012-02-29 | -15.68 | 275 |
| 2009-01-31 | 2009-05-31 | -14.43 | 121 |
| 2026-05-31 | 2026-07-31 | -14.30 | 62 |
| 2020-02-29 | 2020-03-31 | -12.90 | 32 |
| 2022-06-30 | 2023-05-31 | -12.58 | 336 |