| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 1,832.21% | 879.64% |
| CAGR﹪ | 10.37% | 7.9% |
| Sharpe | 0.72 | 0.8 |
| Prob. Sharpe Ratio | 99.99% | 100.0% |
| Smart Sharpe | 0.72 | 0.8 |
| Sortino | 1.11 | 1.22 |
| Smart Sortino | 1.11 | 1.22 |
| Sortino/√2 | 0.78 | 0.86 |
| Smart Sortino/√2 | 0.78 | 0.86 |
| Omega | 1.7 | 1.84 |
| Max Drawdown | -50.78% | -33.83% |
| Max DD Date | 2009-02-28 | 2009-02-28 |
| Max DD Period Start | 2007-11-30 | 2007-11-30 |
| Max DD Period End | 2012-02-29 | 2010-03-31 |
| Longest DD Days | 2223 | 882 |
| Volatility (ann.) | 15.33% | 10.13% |
| R^2 | 0.81 | 0.81 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.2 | 0.23 |
| Skew | -0.53 | -0.68 |
| Kurtosis | 0.79 | 2.42 |
| Ulcer Performance Index | 123.73 | 148.84 |
| Risk-Adjusted Return | 694.76% | 394.02% |
| Risk-Return Ratio | 0.21 | 0.23 |
| Avg. Return | 0.93% | 0.68% |
| Avg. Win | 3.61% | 2.32% |
| Avg. Loss | -4.17% | -2.65% |
| Win/Loss Ratio | 0.87 | 0.87 |
| Profit Ratio | 0.53 | 0.42 |
| Expected Daily | 0.83% | 0.64% |
| Expected Monthly | 0.83% | 0.64% |
| Expected Yearly | 10.02% | 7.64% |
| Kelly Criterion | 22.61% | 30.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.35% | -4.13% |
| Expected Shortfall (cVaR) | -9.08% | -6.15% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.7 | 0.84 |
| Gain/Pain (1M) | 0.7 | 0.84 |
| Payoff Ratio | 0.87 | 0.87 |
| Profit Factor | 1.7 | 1.84 |
| Common Sense Ratio | 1.8 | 2.12 |
| CPC Index | 0.94 | 1.09 |
| Tail Ratio | 1.06 | 1.15 |
| Outlier Win Ratio | 2.91 | 3.42 |
| Outlier Loss Ratio | 2.87 | 3.35 |
| MTD | -1.05% | -0.7% |
| 3M | 13.91% | 7.09% |
| 6M | 8.94% | 7.82% |
| YTD | 8.94% | 7.82% |
| 1Y | 20.92% | 15.4% |
| 3Y (ann.) | 18.77% | 9.98% |
| 5Y (ann.) | 12.51% | 5.23% |
| 10Y (ann.) | 15.13% | 7.37% |
| All-time (ann.) | 10.37% | 7.9% |
| Best Day | 12.7% | 10.34% |
| Worst Day | -16.52% | -13.12% |
| Best Month | 12.7% | 10.34% |
| Worst Month | -16.52% | -13.12% |
| Best Year | 33.48% | 21.98% |
| Worst Year | -36.79% | -17.84% |
| Avg. Drawdown | -7.06% | -4.2% |
| Avg. Drawdown Days | 142 | 102 |
| Recovery Factor | 6.55 | 7.22 |
| Ulcer Index | 0.15 | 0.06 |
| Serenity Index | 2.69 | 6.4 |
| Avg. Up Month | 3.61% | 2.32% |
| Avg. Down Month | -4.17% | -2.65% |
| Win Days | 64.07% | 67.78% |
| Win Month | 64.07% | 67.78% |
| Win Quarter | 71.9% | 70.25% |
| Win Year | 80.65% | 83.87% |
| Beta | - | 0.59 |
| Alpha | - | 0.02 |
| Correlation | - | 90.01% |
| Treynor Ratio | - | 1479.15% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1996 | 16.37 | 12.91 | 0.79 | - |
| 1997 | 33.48 | 17.29 | 0.52 | - |
| 1998 | 28.69 | 7.52 | 0.26 | - |
| 1999 | 20.39 | 7.27 | 0.36 | - |
| 2000 | -9.74 | 8.57 | -0.88 | + |
| 2001 | -11.76 | 1.64 | -0.14 | + |
| 2002 | -21.58 | -4.61 | 0.21 | + |
| 2003 | 28.18 | 21.98 | 0.78 | - |
| 2004 | 10.70 | 13.62 | 1.27 | + |
| 2005 | 4.83 | 6.08 | 1.26 | + |
| 2006 | 15.85 | 14.67 | 0.93 | - |
| 2007 | 5.15 | 2.45 | 0.48 | - |
| 2008 | -36.79 | -17.84 | 0.48 | + |
| 2009 | 26.35 | 18.76 | 0.71 | - |
| 2010 | 15.06 | 14.94 | 0.99 | - |
| 2011 | 1.89 | 3.81 | 2.01 | + |
| 2012 | 15.99 | 12.17 | 0.76 | - |
| 2013 | 32.31 | 14.99 | 0.46 | - |
| 2014 | 13.46 | 8.69 | 0.65 | - |
| 2015 | 1.23 | -0.36 | -0.29 | - |
| 2016 | 12.00 | 10.71 | 0.89 | - |
| 2017 | 21.71 | 10.52 | 0.48 | - |
| 2018 | -4.57 | -5.10 | 1.12 | - |
| 2019 | 31.22 | 19.50 | 0.62 | - |
| 2020 | 18.33 | 8.69 | 0.47 | - |
| 2021 | 28.73 | 15.09 | 0.53 | - |
| 2022 | -18.18 | -13.95 | 0.77 | + |
| 2023 | 26.18 | 13.51 | 0.52 | - |
| 2024 | 24.89 | 6.86 | 0.28 | - |
| 2025 | 17.72 | 11.01 | 0.62 | - |
| 2026 | 8.94 | 7.82 | 0.88 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-03-31 | -33.83 | 853 |
| 2022-01-31 | 2024-06-30 | -19.57 | 882 |
| 2020-01-31 | 2020-10-31 | -15.51 | 275 |
| 2002-05-31 | 2003-06-30 | -13.02 | 396 |
| 1998-05-31 | 1998-11-30 | -10.62 | 184 |
| 2011-05-31 | 2011-12-31 | -10.31 | 215 |
| 2018-09-30 | 2019-03-31 | -8.82 | 183 |
| 2001-02-28 | 2002-02-28 | -7.59 | 366 |
| 2010-05-31 | 2010-08-31 | -6.83 | 93 |
| 2024-12-31 | 2025-07-31 | -5.37 | 213 |