| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,322.86% |
| CAGR﹪ | 10.76% | 9.98% |
| Sharpe | 0.77 | 0.97 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.89 |
| Sortino | 1.18 | 1.67 |
| Smart Sortino | 1.09 | 1.53 |
| Sortino/√2 | 0.84 | 1.18 |
| Smart Sortino/√2 | 0.77 | 1.09 |
| Omega | 1.76 | 2.11 |
| Max Drawdown | -50.78% | -18.88% |
| 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 | 2009-10-31 |
| Longest DD Days | 2223 | 885 |
| Volatility (ann.) | 14.76% | 10.41% |
| R^2 | 0.13 | 0.13 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.53 |
| Skew | -0.55 | -0.01 |
| Kurtosis | 0.98 | 2.75 |
| Ulcer Performance Index | 211.25 | 450.46 |
| Risk-Adjusted Return | 754.56% | 637.54% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.55% | 2.46% |
| Avg. Loss | -3.9% | -2.64% |
| Win/Loss Ratio | 0.91 | 0.93 |
| Profit Ratio | 0.5 | 0.58 |
| Expected Daily | 0.85% | 0.8% |
| Expected Monthly | 0.85% | 0.8% |
| Expected Yearly | 10.59% | 9.83% |
| Kelly Criterion | 26.78% | 28.83% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.1% |
| Expected Shortfall (cVaR) | -8.96% | -6.23% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.11 |
| Gain/Pain (1M) | 0.76 | 1.11 |
| Payoff Ratio | 0.91 | 0.93 |
| Profit Factor | 1.76 | 2.11 |
| Common Sense Ratio | 1.85 | 2.88 |
| CPC Index | 1.04 | 1.29 |
| Tail Ratio | 1.05 | 1.36 |
| Outlier Win Ratio | 2.95 | 3.13 |
| Outlier Loss Ratio | 2.93 | 3.02 |
| MTD | -1.05% | -1.1% |
| 3M | 13.91% | -3.78% |
| 6M | 8.94% | -2.02% |
| YTD | 8.94% | -2.02% |
| 1Y | 20.92% | 14.95% |
| 3Y (ann.) | 18.77% | 14.63% |
| 5Y (ann.) | 12.51% | 7.23% |
| 10Y (ann.) | 15.13% | 8.44% |
| All-time (ann.) | 10.76% | 9.98% |
| 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% | 28.9% |
| Worst Year | -36.79% | -13.98% |
| Avg. Drawdown | -6.27% | -4.06% |
| Avg. Drawdown Days | 122 | 101 |
| Recovery Factor | 7.49 | 17.91 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 14.95 |
| Avg. Up Month | 3.55% | 2.46% |
| Avg. Down Month | -3.9% | -2.64% |
| Win Days | 65.09% | 65.67% |
| Win Month | 65.09% | 65.67% |
| Win Quarter | 73.33% | 71.11% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.25 |
| Alpha | - | 0.07 |
| Correlation | - | 35.7% |
| Treynor Ratio | - | 9223.19% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.54 | 1.33 | + |
| 1994 | 0.40 | -3.53 | -8.89 | - |
| 1995 | 38.05 | 26.14 | 0.69 | - |
| 1996 | 22.50 | 10.53 | 0.47 | - |
| 1997 | 33.48 | 19.91 | 0.59 | - |
| 1998 | 28.69 | 14.43 | 0.50 | - |
| 1999 | 20.39 | 8.57 | 0.42 | - |
| 2000 | -9.74 | 1.54 | -0.16 | + |
| 2001 | -11.76 | 6.43 | -0.55 | + |
| 2002 | -21.58 | 19.94 | -0.92 | + |
| 2003 | 28.18 | 17.42 | 0.62 | - |
| 2004 | 10.70 | 0.61 | 0.06 | - |
| 2005 | 4.83 | 9.76 | 2.02 | + |
| 2006 | 15.85 | 15.17 | 0.96 | - |
| 2007 | 5.15 | 13.82 | 2.69 | + |
| 2008 | -36.79 | 20.46 | -0.56 | + |
| 2009 | 26.35 | -3.69 | -0.14 | - |
| 2010 | 15.06 | 13.71 | 0.91 | - |
| 2011 | 1.89 | 15.08 | 7.96 | + |
| 2012 | 15.99 | 8.93 | 0.56 | - |
| 2013 | 32.31 | 22.33 | 0.69 | - |
| 2014 | 13.46 | 10.36 | 0.77 | - |
| 2015 | 1.23 | -6.01 | -4.87 | - |
| 2016 | 12.00 | -1.14 | -0.09 | - |
| 2017 | 21.71 | 14.50 | 0.67 | - |
| 2018 | -4.57 | -9.92 | 2.17 | - |
| 2019 | 31.22 | 15.51 | 0.50 | - |
| 2020 | 18.33 | 20.32 | 1.11 | + |
| 2021 | 28.73 | 22.16 | 0.77 | - |
| 2022 | -18.18 | -13.98 | 0.77 | + |
| 2023 | 26.18 | 7.12 | 0.27 | - |
| 2024 | 24.89 | 16.40 | 0.66 | - |
| 2025 | 17.72 | 28.90 | 1.63 | + |
| 2026 | 8.94 | -2.02 | -0.23 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2009-10-31 | -18.88 | 274 |
| 2022-01-31 | 2024-05-31 | -17.93 | 852 |
| 2018-10-31 | 2019-12-31 | -14.31 | 427 |
| 2015-02-28 | 2017-07-31 | -13.62 | 885 |
| 2008-03-31 | 2008-10-31 | -12.36 | 215 |
| 2026-03-31 | 2026-07-31 | -10.19 | 123 |
| 1996-02-29 | 1996-09-30 | -7.60 | 215 |
| 2004-04-30 | 2005-05-31 | -7.14 | 397 |
| 2009-12-31 | 2010-03-31 | -6.28 | 91 |
| 1994-02-28 | 1995-01-31 | -6.24 | 338 |