| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,354.78% |
| CAGR﹪ | 10.76% | 12.0% |
| Sharpe | 0.77 | 1.3 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 1.18 |
| Sortino | 1.18 | 2.44 |
| Smart Sortino | 1.08 | 2.21 |
| Sortino/√2 | 0.84 | 1.72 |
| Smart Sortino/√2 | 0.76 | 1.57 |
| Omega | 1.76 | 2.56 |
| Max Drawdown | -50.78% | -19.24% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-01-31 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.76% | 9.05% |
| R^2 | 0.14 | 0.14 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 0.62 |
| Skew | -0.55 | -0.15 |
| Kurtosis | 0.98 | 0.22 |
| Ulcer Performance Index | 211.25 | 1146.31 |
| Risk-Adjusted Return | 754.56% | 980.42% |
| Risk-Return Ratio | 0.22 | 0.38 |
| Avg. Return | 0.95% | 0.99% |
| Avg. Win | 3.37% | 2.49% |
| Avg. Loss | -3.73% | -2.4% |
| Win/Loss Ratio | 0.9 | 1.04 |
| Profit Ratio | 0.5 | 0.65 |
| Expected Daily | 0.85% | 0.95% |
| Expected Monthly | 0.85% | 0.95% |
| Expected Yearly | 10.59% | 11.81% |
| Kelly Criterion | 26.42% | 34.16% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.31% |
| Expected Shortfall (cVaR) | -8.96% | -4.61% |
| Max Consecutive Wins | 15 | 17 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.56 |
| Gain/Pain (1M) | 0.76 | 1.56 |
| Payoff Ratio | 0.9 | 1.04 |
| Profit Factor | 1.76 | 2.56 |
| Common Sense Ratio | 1.85 | 4.07 |
| CPC Index | 1.03 | 1.77 |
| Tail Ratio | 1.05 | 1.59 |
| Outlier Win Ratio | 2.95 | 2.71 |
| Outlier Loss Ratio | 2.93 | 2.72 |
| MTD | -1.05% | 2.23% |
| 3M | 13.91% | -0.87% |
| 6M | 8.94% | 1.53% |
| YTD | 8.94% | 1.53% |
| 1Y | 20.92% | 15.06% |
| 3Y (ann.) | 18.77% | 14.07% |
| 5Y (ann.) | 12.51% | 9.69% |
| 10Y (ann.) | 15.13% | 11.84% |
| All-time (ann.) | 10.76% | 12.0% |
| Best Day | 12.7% | 9.87% |
| Worst Day | -16.52% | -7.67% |
| Best Month | 12.7% | 9.87% |
| Worst Month | -16.52% | -7.67% |
| Best Year | 38.05% | 30.82% |
| Worst Year | -36.79% | -14.51% |
| Avg. Drawdown | -6.27% | -3.32% |
| Avg. Drawdown Days | 122 | 84 |
| Recovery Factor | 7.49 | 20.53 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 25.21 |
| Avg. Up Month | 3.37% | 2.49% |
| Avg. Down Month | -3.73% | -2.4% |
| Win Days | 65.09% | 66.42% |
| Win Month | 65.09% | 66.42% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.23 |
| Alpha | - | 0.09 |
| Correlation | - | 37.04% |
| Treynor Ratio | - | 19181.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.86 | 1.13 | + |
| 1994 | 0.40 | -5.37 | -13.53 | - |
| 1995 | 38.05 | 25.31 | 0.67 | - |
| 1996 | 22.50 | 17.87 | 0.79 | - |
| 1997 | 33.48 | 9.11 | 0.27 | - |
| 1998 | 28.69 | 12.48 | 0.43 | - |
| 1999 | 20.39 | 12.49 | 0.61 | - |
| 2000 | -9.74 | 4.15 | -0.43 | + |
| 2001 | -11.76 | 5.79 | -0.49 | + |
| 2002 | -21.58 | 17.88 | -0.83 | + |
| 2003 | 28.18 | 27.91 | 0.99 | - |
| 2004 | 10.70 | 5.48 | 0.51 | - |
| 2005 | 4.83 | 7.54 | 1.56 | + |
| 2006 | 15.85 | 24.82 | 1.57 | + |
| 2007 | 5.15 | 18.59 | 3.61 | + |
| 2008 | -36.79 | 13.96 | -0.38 | + |
| 2009 | 26.35 | 18.48 | 0.70 | - |
| 2010 | 15.06 | 12.00 | 0.80 | - |
| 2011 | 1.89 | 3.59 | 1.90 | + |
| 2012 | 15.99 | 4.70 | 0.29 | - |
| 2013 | 32.31 | 21.73 | 0.67 | - |
| 2014 | 13.46 | 16.76 | 1.25 | + |
| 2015 | 1.23 | -6.93 | -5.62 | - |
| 2016 | 12.00 | 11.98 | 1.00 | - |
| 2017 | 21.71 | 17.46 | 0.80 | - |
| 2018 | -4.57 | -0.01 | 0.00 | + |
| 2019 | 31.22 | 18.23 | 0.58 | - |
| 2020 | 18.33 | 17.11 | 0.93 | - |
| 2021 | 28.73 | 30.82 | 1.07 | + |
| 2022 | -18.18 | -14.51 | 0.80 | + |
| 2023 | 26.18 | 13.49 | 0.52 | - |
| 2024 | 24.89 | 21.04 | 0.85 | - |
| 2025 | 17.72 | 22.25 | 1.26 | + |
| 2026 | 8.94 | 1.53 | 0.17 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-01-31 | -19.24 | 731 |
| 2008-03-31 | 2008-11-30 | -10.76 | 245 |
| 1994-02-28 | 1995-04-30 | -10.16 | 427 |
| 2015-02-28 | 2016-05-31 | -10.07 | 459 |
| 2004-04-30 | 2004-11-30 | -9.70 | 215 |
| 2011-05-31 | 2012-08-31 | -6.90 | 459 |
| 2018-10-31 | 2019-05-31 | -6.74 | 213 |
| 2000-03-31 | 2001-01-31 | -6.57 | 307 |
| 2026-03-31 | 2026-07-31 | -5.73 | 123 |
| 2016-08-31 | 2017-01-31 | -5.21 | 154 |