| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,201.77% |
| CAGR﹪ | 10.76% | 9.81% |
| Sharpe | 0.77 | 0.94 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.9 |
| Sortino | 1.18 | 1.6 |
| Smart Sortino | 1.13 | 1.53 |
| Sortino/√2 | 0.84 | 1.13 |
| Smart Sortino/√2 | 0.8 | 1.08 |
| Omega | 1.76 | 2.07 |
| Max Drawdown | -50.78% | -22.51% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2010-03-31 |
| Longest DD Days | 2223 | 1007 |
| Volatility (ann.) | 14.76% | 10.56% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.44 |
| Skew | -0.55 | -0.13 |
| Kurtosis | 0.98 | 3.03 |
| Ulcer Performance Index | 211.25 | 393.83 |
| Risk-Adjusted Return | 754.56% | 614.22% |
| Risk-Return Ratio | 0.22 | 0.27 |
| Avg. Return | 0.95% | 0.83% |
| Avg. Win | 3.57% | 2.53% |
| Avg. Loss | -3.83% | -2.62% |
| Win/Loss Ratio | 0.93 | 0.97 |
| Profit Ratio | 0.5 | 0.62 |
| Expected Daily | 0.85% | 0.78% |
| Expected Monthly | 0.85% | 0.78% |
| Expected Yearly | 10.59% | 9.66% |
| Kelly Criterion | 27.65% | 28.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.19% |
| Expected Shortfall (cVaR) | -8.96% | -7.09% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.07 |
| Gain/Pain (1M) | 0.76 | 1.07 |
| Payoff Ratio | 0.93 | 0.97 |
| Profit Factor | 1.76 | 2.07 |
| Common Sense Ratio | 1.85 | 3.12 |
| CPC Index | 1.07 | 1.29 |
| Tail Ratio | 1.05 | 1.5 |
| Outlier Win Ratio | 2.95 | 3.34 |
| Outlier Loss Ratio | 2.93 | 3.04 |
| MTD | -1.05% | -1.41% |
| 3M | 13.91% | -4.47% |
| 6M | 8.94% | -2.72% |
| YTD | 8.94% | -2.72% |
| 1Y | 20.92% | 12.08% |
| 3Y (ann.) | 18.77% | 12.53% |
| 5Y (ann.) | 12.51% | 6.45% |
| 10Y (ann.) | 15.13% | 6.62% |
| All-time (ann.) | 10.76% | 9.81% |
| Best Day | 12.7% | 14.34% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 14.34% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 38.05% | 26.25% |
| Worst Year | -36.79% | -17.19% |
| Avg. Drawdown | -6.27% | -4.15% |
| Avg. Drawdown Days | 122 | 107 |
| Recovery Factor | 7.49 | 14.81 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 12.78 |
| Avg. Up Month | 3.57% | 2.53% |
| Avg. Down Month | -3.83% | -2.62% |
| Win Days | 65.09% | 64.68% |
| Win Month | 65.09% | 64.68% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.26 |
| Alpha | - | 0.07 |
| Correlation | - | 35.97% |
| Treynor Ratio | - | 8552.59% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.92 | 1.25 | + |
| 1994 | 0.40 | -3.84 | -9.67 | - |
| 1995 | 38.05 | 26.25 | 0.69 | - |
| 1996 | 22.50 | 15.06 | 0.67 | - |
| 1997 | 33.48 | 19.91 | 0.59 | - |
| 1998 | 28.69 | 23.23 | 0.81 | - |
| 1999 | 20.39 | 8.81 | 0.43 | - |
| 2000 | -9.74 | 3.49 | -0.36 | + |
| 2001 | -11.76 | 3.10 | -0.26 | + |
| 2002 | -21.58 | 22.49 | -1.04 | + |
| 2003 | 28.18 | 18.98 | 0.67 | - |
| 2004 | 10.70 | 2.56 | 0.24 | - |
| 2005 | 4.83 | 9.87 | 2.04 | + |
| 2006 | 15.85 | 17.25 | 1.09 | + |
| 2007 | 5.15 | 15.83 | 3.08 | + |
| 2008 | -36.79 | 17.77 | -0.48 | + |
| 2009 | 26.35 | -5.94 | -0.23 | - |
| 2010 | 15.06 | 17.49 | 1.16 | + |
| 2011 | 1.89 | 13.58 | 7.17 | + |
| 2012 | 15.99 | 8.11 | 0.51 | - |
| 2013 | 32.31 | 20.77 | 0.64 | - |
| 2014 | 13.46 | 9.85 | 0.73 | - |
| 2015 | 1.23 | -9.64 | -7.81 | - |
| 2016 | 12.00 | 1.48 | 0.12 | - |
| 2017 | 21.71 | 13.75 | 0.63 | - |
| 2018 | -4.57 | -17.19 | 3.76 | - |
| 2019 | 31.22 | 15.00 | 0.48 | - |
| 2020 | 18.33 | 20.95 | 1.14 | + |
| 2021 | 28.73 | 16.58 | 0.58 | - |
| 2022 | -18.18 | -11.30 | 0.62 | + |
| 2023 | 26.18 | 5.12 | 0.20 | - |
| 2024 | 24.89 | 15.23 | 0.61 | - |
| 2025 | 17.72 | 25.11 | 1.42 | + |
| 2026 | 8.94 | -2.72 | -0.30 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-03-31 | -22.51 | 425 |
| 2018-02-28 | 2020-03-31 | -18.95 | 763 |
| 2022-01-31 | 2024-04-30 | -17.32 | 821 |
| 2008-03-31 | 2008-11-30 | -14.51 | 245 |
| 2015-02-28 | 2017-11-30 | -14.04 | 1007 |
| 2026-03-31 | 2026-07-31 | -10.83 | 123 |
| 1994-02-28 | 1995-01-31 | -6.57 | 338 |
| 2004-04-30 | 2005-01-31 | -5.92 | 277 |
| 1999-05-31 | 1999-10-31 | -5.32 | 154 |
| 2012-10-31 | 2013-03-31 | -4.63 | 152 |