| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,358.90% |
| CAGR﹪ | 10.76% | 11.16% |
| Sharpe | 0.77 | 1.16 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.1 |
| Sortino | 1.18 | 2.02 |
| Smart Sortino | 1.13 | 1.92 |
| Sortino/√2 | 0.84 | 1.43 |
| Smart Sortino/√2 | 0.8 | 1.36 |
| Omega | 1.76 | 2.41 |
| Max Drawdown | -50.78% | -18.68% |
| 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 | 2009-08-31 |
| Longest DD Days | 2223 | 731 |
| Volatility (ann.) | 14.76% | 9.59% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.6 |
| Skew | -0.55 | -0.19 |
| Kurtosis | 0.98 | 1.31 |
| Ulcer Performance Index | 211.25 | 835.65 |
| Risk-Adjusted Return | 754.56% | 821.95% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.92% |
| Avg. Win | 3.55% | 2.5% |
| Avg. Loss | -4.16% | -2.55% |
| Win/Loss Ratio | 0.85 | 0.98 |
| Profit Ratio | 0.5 | 0.47 |
| Expected Daily | 0.85% | 0.89% |
| Expected Monthly | 0.85% | 0.89% |
| Expected Yearly | 10.59% | 10.98% |
| Kelly Criterion | 24.23% | 38.2% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.63% |
| Expected Shortfall (cVaR) | -8.96% | -5.34% |
| Max Consecutive Wins | 15 | 13 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.41 |
| Gain/Pain (1M) | 0.76 | 1.41 |
| Payoff Ratio | 0.85 | 0.98 |
| Profit Factor | 1.76 | 2.41 |
| Common Sense Ratio | 1.85 | 3.4 |
| CPC Index | 0.98 | 1.64 |
| Tail Ratio | 1.05 | 1.41 |
| Outlier Win Ratio | 2.95 | 3.21 |
| Outlier Loss Ratio | 2.93 | 2.77 |
| MTD | -1.05% | -1.08% |
| 3M | 13.91% | 1.18% |
| 6M | 8.94% | 1.36% |
| YTD | 8.94% | 1.36% |
| 1Y | 20.92% | 17.77% |
| 3Y (ann.) | 18.77% | 17.19% |
| 5Y (ann.) | 12.51% | 9.9% |
| 10Y (ann.) | 15.13% | 11.34% |
| All-time (ann.) | 10.76% | 11.16% |
| Best Day | 12.7% | 12.45% |
| Worst Day | -16.52% | -8.71% |
| Best Month | 12.7% | 12.45% |
| Worst Month | -16.52% | -8.71% |
| Best Year | 38.05% | 33.25% |
| Worst Year | -36.79% | -13.54% |
| Avg. Drawdown | -6.27% | -3.57% |
| Avg. Drawdown Days | 122 | 84 |
| Recovery Factor | 7.49 | 19.87 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 22.92 |
| Avg. Up Month | 3.55% | 2.5% |
| Avg. Down Month | -4.16% | -2.55% |
| Win Days | 65.09% | 69.4% |
| Win Month | 65.09% | 69.4% |
| Win Quarter | 73.33% | 74.81% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.46 |
| Alpha | - | 0.06 |
| Correlation | - | 71.28% |
| Treynor Ratio | - | 7251.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.51 | 1.44 | + |
| 1994 | 0.40 | -6.62 | -16.66 | - |
| 1995 | 38.05 | 23.73 | 0.62 | - |
| 1996 | 22.50 | 17.06 | 0.76 | - |
| 1997 | 33.48 | 20.01 | 0.60 | - |
| 1998 | 28.69 | 17.23 | 0.60 | - |
| 1999 | 20.39 | 10.19 | 0.50 | - |
| 2000 | -9.74 | 8.02 | -0.82 | + |
| 2001 | -11.76 | 9.73 | -0.83 | + |
| 2002 | -21.58 | 2.45 | -0.11 | + |
| 2003 | 28.18 | 33.25 | 1.18 | + |
| 2004 | 10.70 | 6.73 | 0.63 | - |
| 2005 | 4.83 | 7.86 | 1.63 | + |
| 2006 | 15.85 | 15.81 | 1.00 | - |
| 2007 | 5.15 | 4.07 | 0.79 | - |
| 2008 | -36.79 | -0.49 | 0.01 | + |
| 2009 | 26.35 | 15.94 | 0.60 | - |
| 2010 | 15.06 | 22.08 | 1.47 | + |
| 2011 | 1.89 | -1.95 | -1.03 | - |
| 2012 | 15.99 | 16.18 | 1.01 | + |
| 2013 | 32.31 | 25.29 | 0.78 | - |
| 2014 | 13.46 | 8.27 | 0.61 | - |
| 2015 | 1.23 | -2.98 | -2.41 | - |
| 2016 | 12.00 | 6.21 | 0.52 | - |
| 2017 | 21.71 | 8.88 | 0.41 | - |
| 2018 | -4.57 | 2.33 | -0.51 | + |
| 2019 | 31.22 | 19.15 | 0.61 | - |
| 2020 | 18.33 | 27.80 | 1.52 | + |
| 2021 | 28.73 | 8.93 | 0.31 | - |
| 2022 | -18.18 | -13.54 | 0.75 | + |
| 2023 | 26.18 | 13.38 | 0.51 | - |
| 2024 | 24.89 | 24.29 | 0.98 | - |
| 2025 | 17.72 | 27.59 | 1.56 | + |
| 2026 | 8.94 | 1.36 | 0.15 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-30 | 2009-08-31 | -18.68 | 641 |
| 2011-06-30 | 2012-02-29 | -15.38 | 245 |
| 2022-01-31 | 2024-01-31 | -14.82 | 731 |
| 1998-08-31 | 1998-11-30 | -11.64 | 92 |
| 2015-06-30 | 2016-06-30 | -10.74 | 367 |
| 2020-02-29 | 2020-05-31 | -9.49 | 93 |
| 1993-11-30 | 1995-04-30 | -8.00 | 517 |
| 2000-09-30 | 2000-12-31 | -6.35 | 93 |
| 2018-09-30 | 2019-03-31 | -6.34 | 183 |
| 2002-05-31 | 2003-03-31 | -5.83 | 305 |