| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,784.21% |
| CAGR﹪ | 10.76% | 9.16% |
| Sharpe | 0.77 | 0.8 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.78 |
| Sortino | 1.18 | 1.2 |
| Smart Sortino | 1.17 | 1.18 |
| Sortino/√2 | 0.84 | 0.85 |
| Smart Sortino/√2 | 0.82 | 0.84 |
| Omega | 1.76 | 1.8 |
| Max Drawdown | -50.78% | -43.39% |
| 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 | 2010-11-30 |
| Longest DD Days | 2223 | 1188 |
| Volatility (ann.) | 14.76% | 11.97% |
| R^2 | 0.91 | 0.91 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.21 |
| Skew | -0.55 | -0.7 |
| Kurtosis | 0.98 | 1.93 |
| Ulcer Performance Index | 211.25 | 200.72 |
| Risk-Adjusted Return | 754.56% | 529.99% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.95% | 0.8% |
| Avg. Win | 3.46% | 2.78% |
| Avg. Loss | -3.83% | -3.1% |
| Win/Loss Ratio | 0.9 | 0.9 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.73% |
| Expected Monthly | 0.85% | 0.73% |
| Expected Yearly | 10.59% | 9.02% |
| Kelly Criterion | 26.39% | 28.48% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.89% |
| Expected Shortfall (cVaR) | -8.96% | -7.32% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.8 |
| Gain/Pain (1M) | 0.76 | 0.8 |
| Payoff Ratio | 0.9 | 0.9 |
| Profit Factor | 1.76 | 1.8 |
| Common Sense Ratio | 1.85 | 1.87 |
| CPC Index | 1.03 | 1.07 |
| Tail Ratio | 1.05 | 1.04 |
| Outlier Win Ratio | 2.95 | 3.1 |
| Outlier Loss Ratio | 2.93 | 2.96 |
| MTD | -1.05% | -1.27% |
| 3M | 13.91% | 9.71% |
| 6M | 8.94% | 8.37% |
| YTD | 8.94% | 8.37% |
| 1Y | 20.92% | 17.88% |
| 3Y (ann.) | 18.77% | 14.44% |
| 5Y (ann.) | 12.51% | 7.96% |
| 10Y (ann.) | 15.13% | 10.37% |
| All-time (ann.) | 10.76% | 9.16% |
| Best Day | 12.7% | 11.16% |
| Worst Day | -16.52% | -15.93% |
| Best Month | 12.7% | 11.16% |
| Worst Month | -16.52% | -15.93% |
| Best Year | 38.05% | 28.51% |
| Worst Year | -36.79% | -28.91% |
| Avg. Drawdown | -6.27% | -5.05% |
| Avg. Drawdown Days | 122 | 101 |
| Recovery Factor | 7.49 | 7.35 |
| Ulcer Index | 0.14 | 0.09 |
| Serenity Index | 3.21 | 4.9 |
| Avg. Up Month | 3.46% | 2.78% |
| Avg. Down Month | -3.83% | -3.1% |
| Win Days | 65.09% | 66.17% |
| Win Month | 65.09% | 66.17% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 76.47% |
| Beta | - | 0.77 |
| Alpha | - | 0.01 |
| Correlation | - | 95.35% |
| Treynor Ratio | - | 2306.73% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 15.06 | 1.73 | + |
| 1994 | 0.40 | 1.47 | 3.70 | + |
| 1995 | 38.05 | 24.31 | 0.64 | - |
| 1996 | 22.50 | 14.92 | 0.66 | - |
| 1997 | 33.48 | 18.67 | 0.56 | - |
| 1998 | 28.69 | 15.85 | 0.55 | - |
| 1999 | 20.39 | 18.51 | 0.91 | - |
| 2000 | -9.74 | -4.71 | 0.48 | + |
| 2001 | -11.76 | -6.28 | 0.53 | + |
| 2002 | -21.58 | -11.10 | 0.51 | + |
| 2003 | 28.18 | 28.23 | 1.00 | + |
| 2004 | 10.70 | 14.70 | 1.37 | + |
| 2005 | 4.83 | 8.52 | 1.76 | + |
| 2006 | 15.85 | 17.72 | 1.12 | + |
| 2007 | 5.15 | 6.90 | 1.34 | + |
| 2008 | -36.79 | -28.91 | 0.79 | + |
| 2009 | 26.35 | 28.51 | 1.08 | + |
| 2010 | 15.06 | 15.57 | 1.03 | + |
| 2011 | 1.89 | -0.34 | -0.18 | - |
| 2012 | 15.99 | 14.52 | 0.91 | - |
| 2013 | 32.31 | 18.61 | 0.58 | - |
| 2014 | 13.46 | 8.28 | 0.62 | - |
| 2015 | 1.23 | -0.22 | -0.18 | - |
| 2016 | 12.00 | 8.76 | 0.73 | - |
| 2017 | 21.71 | 17.74 | 0.82 | - |
| 2018 | -4.57 | -6.25 | 1.37 | - |
| 2019 | 31.22 | 24.00 | 0.77 | - |
| 2020 | 18.33 | 14.84 | 0.81 | - |
| 2021 | 28.73 | 16.92 | 0.59 | - |
| 2022 | -18.18 | -17.57 | 0.97 | + |
| 2023 | 26.18 | 18.43 | 0.70 | - |
| 2024 | 24.89 | 13.13 | 0.53 | - |
| 2025 | 17.72 | 17.72 | 1.00 | - |
| 2026 | 8.94 | 8.37 | 0.94 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2010-11-30 | -43.39 | 1097 |
| 2000-09-30 | 2003-12-31 | -27.53 | 1188 |
| 2022-01-31 | 2024-01-31 | -23.36 | 731 |
| 2020-01-31 | 2020-06-30 | -17.35 | 152 |
| 2011-05-31 | 2012-02-29 | -14.92 | 275 |
| 1998-07-31 | 1998-10-31 | -12.30 | 93 |
| 2018-09-30 | 2019-02-28 | -10.02 | 152 |
| 2015-06-30 | 2016-05-31 | -8.23 | 337 |
| 2012-04-30 | 2012-07-31 | -6.14 | 93 |
| 2000-04-30 | 2000-07-31 | -5.49 | 93 |