| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,491.33% |
| CAGR﹪ | 10.76% | 8.61% |
| Sharpe | 0.77 | 1.04 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.69 | 0.94 |
| Sortino | 1.18 | 1.8 |
| Smart Sortino | 1.07 | 1.62 |
| Sortino/√2 | 0.84 | 1.27 |
| Smart Sortino/√2 | 0.75 | 1.15 |
| Omega | 1.76 | 2.18 |
| Max Drawdown | -50.78% | -15.76% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2008-01-31 |
| Max DD Period End | 2012-02-29 | 2009-10-31 |
| Longest DD Days | 2223 | 640 |
| Volatility (ann.) | 14.76% | 8.27% |
| R^2 | 0.32 | 0.32 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.55 |
| Skew | -0.55 | -0.28 |
| Kurtosis | 0.98 | 0.94 |
| Ulcer Performance Index | 211.25 | 461.18 |
| Risk-Adjusted Return | 754.56% | 466.68% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.72% |
| Avg. Win | 3.67% | 2.21% |
| Avg. Loss | -4.4% | -2.13% |
| Win/Loss Ratio | 0.84 | 1.04 |
| Profit Ratio | 0.5 | 0.69 |
| Expected Daily | 0.85% | 0.69% |
| Expected Monthly | 0.85% | 0.69% |
| Expected Yearly | 10.59% | 8.48% |
| Kelly Criterion | 23.3% | 29.21% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.21% |
| Expected Shortfall (cVaR) | -8.96% | -4.51% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.18 |
| Gain/Pain (1M) | 0.76 | 1.18 |
| Payoff Ratio | 0.84 | 1.04 |
| Profit Factor | 1.76 | 2.18 |
| Common Sense Ratio | 1.85 | 2.99 |
| CPC Index | 0.96 | 1.45 |
| Tail Ratio | 1.05 | 1.37 |
| Outlier Win Ratio | 2.95 | 3.09 |
| Outlier Loss Ratio | 2.93 | 3.18 |
| MTD | -1.05% | 1.22% |
| 3M | 13.91% | 0.36% |
| 6M | 8.94% | 4.29% |
| YTD | 8.94% | 4.29% |
| 1Y | 20.92% | 14.81% |
| 3Y (ann.) | 18.77% | 12.32% |
| 5Y (ann.) | 12.51% | 8.19% |
| 10Y (ann.) | 15.13% | 8.33% |
| All-time (ann.) | 10.76% | 8.61% |
| Best Day | 12.7% | 6.52% |
| Worst Day | -16.52% | -9.84% |
| Best Month | 12.7% | 6.52% |
| Worst Month | -16.52% | -9.84% |
| Best Year | 38.05% | 24.73% |
| Worst Year | -36.79% | -9.19% |
| Avg. Drawdown | -6.27% | -3.01% |
| Avg. Drawdown Days | 122 | 79 |
| Recovery Factor | 7.49 | 18.34 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 23.73 |
| Avg. Up Month | 3.67% | 2.21% |
| Avg. Down Month | -4.4% | -2.13% |
| Win Days | 65.09% | 63.93% |
| Win Month | 65.09% | 63.93% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.32 |
| Alpha | - | 0.05 |
| Correlation | - | 56.42% |
| Treynor Ratio | - | 4715.44% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 5.06 | 0.58 | - |
| 1994 | 0.40 | -0.82 | -2.06 | - |
| 1995 | 38.05 | 24.73 | 0.65 | - |
| 1996 | 22.50 | 12.21 | 0.54 | - |
| 1997 | 33.48 | 11.43 | 0.34 | - |
| 1998 | 28.69 | 17.08 | 0.60 | - |
| 1999 | 20.39 | 0.02 | 0.00 | - |
| 2000 | -9.74 | 9.67 | -0.99 | + |
| 2001 | -11.76 | -1.55 | 0.13 | + |
| 2002 | -21.58 | -3.14 | 0.15 | + |
| 2003 | 28.18 | 15.49 | 0.55 | - |
| 2004 | 10.70 | 8.12 | 0.76 | - |
| 2005 | 4.83 | 9.00 | 1.86 | + |
| 2006 | 15.85 | 14.09 | 0.89 | - |
| 2007 | 5.15 | 16.06 | 3.12 | + |
| 2008 | -36.79 | -9.19 | 0.25 | + |
| 2009 | 26.35 | 14.29 | 0.54 | - |
| 2010 | 15.06 | 11.75 | 0.78 | - |
| 2011 | 1.89 | 13.60 | 7.18 | + |
| 2012 | 15.99 | 7.90 | 0.49 | - |
| 2013 | 32.31 | 7.74 | 0.24 | - |
| 2014 | 13.46 | 14.39 | 1.07 | + |
| 2015 | 1.23 | 0.18 | 0.14 | - |
| 2016 | 12.00 | 5.85 | 0.49 | - |
| 2017 | 21.71 | 12.44 | 0.57 | - |
| 2018 | -4.57 | 0.51 | -0.11 | + |
| 2019 | 31.22 | 20.03 | 0.64 | - |
| 2020 | 18.33 | 12.94 | 0.71 | - |
| 2021 | 28.73 | 10.97 | 0.38 | - |
| 2022 | -18.18 | -2.62 | 0.14 | + |
| 2023 | 26.18 | 2.44 | 0.09 | - |
| 2024 | 24.89 | 13.54 | 0.54 | - |
| 2025 | 17.72 | 18.90 | 1.07 | + |
| 2026 | 8.94 | 4.29 | 0.48 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-01-31 | 2009-10-31 | -15.76 | 640 |
| 2002-04-30 | 2003-08-31 | -11.24 | 489 |
| 2022-04-30 | 2023-03-31 | -10.67 | 336 |
| 2016-08-31 | 2017-04-30 | -8.44 | 243 |
| 2023-05-31 | 2024-01-31 | -7.55 | 246 |
| 1994-02-28 | 1994-12-31 | -7.27 | 307 |
| 2026-03-31 | 2026-07-31 | -7.25 | 123 |
| 1999-11-30 | 2000-05-31 | -7.12 | 184 |
| 2020-02-29 | 2020-04-30 | -6.96 | 62 |
| 1998-07-31 | 1998-10-31 | -6.30 | 93 |