| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 875.10% |
| CAGR﹪ | 10.76% | 7.03% |
| Sharpe | 0.77 | 1.26 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.16 |
| Sortino | 1.18 | 2.26 |
| Smart Sortino | 1.09 | 2.08 |
| Sortino/√2 | 0.84 | 1.6 |
| Smart Sortino/√2 | 0.77 | 1.47 |
| Omega | 1.76 | 2.55 |
| Max Drawdown | -50.78% | -15.05% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 2223 | 760 |
| Volatility (ann.) | 14.76% | 5.54% |
| R^2 | 0.45 | 0.45 |
| Information Ratio | -0.11 | -0.11 |
| Calmar | 0.21 | 0.47 |
| Skew | -0.55 | -0.3 |
| Kurtosis | 0.98 | 0.86 |
| Ulcer Performance Index | 211.25 | 333.82 |
| Risk-Adjusted Return | 754.56% | 316.87% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 0.58% |
| Avg. Win | 3.53% | 1.54% |
| Avg. Loss | -4.44% | -1.43% |
| Win/Loss Ratio | 0.8 | 1.07 |
| Profit Ratio | 0.5 | 0.61 |
| Expected Daily | 0.85% | 0.57% |
| Expected Monthly | 0.85% | 0.57% |
| Expected Yearly | 10.59% | 6.93% |
| Kelly Criterion | 21.19% | 36.56% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.05% |
| Expected Shortfall (cVaR) | -8.96% | -3.09% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.55 |
| Gain/Pain (1M) | 0.76 | 1.55 |
| Payoff Ratio | 0.8 | 1.07 |
| Profit Factor | 1.76 | 2.55 |
| Common Sense Ratio | 1.85 | 3.94 |
| CPC Index | 0.91 | 1.84 |
| Tail Ratio | 1.05 | 1.54 |
| Outlier Win Ratio | 2.95 | 2.88 |
| Outlier Loss Ratio | 2.93 | 3.1 |
| MTD | -1.05% | -0.8% |
| 3M | 13.91% | 2.13% |
| 6M | 8.94% | 1.93% |
| YTD | 8.94% | 1.93% |
| 1Y | 20.92% | 9.7% |
| 3Y (ann.) | 18.77% | 10.52% |
| 5Y (ann.) | 12.51% | 5.29% |
| 10Y (ann.) | 15.13% | 6.51% |
| All-time (ann.) | 10.76% | 7.03% |
| Best Day | 12.7% | 4.92% |
| Worst Day | -16.52% | -5.75% |
| Best Month | 12.7% | 4.92% |
| Worst Month | -16.52% | -5.75% |
| Best Year | 38.05% | 20.34% |
| Worst Year | -36.79% | -11.82% |
| Avg. Drawdown | -6.27% | -1.78% |
| Avg. Drawdown Days | 122 | 64 |
| Recovery Factor | 7.49 | 15.52 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 16.78 |
| Avg. Up Month | 3.53% | 1.54% |
| Avg. Down Month | -4.44% | -1.43% |
| Win Days | 65.09% | 67.16% |
| Win Month | 65.09% | 67.16% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.25 |
| Alpha | - | 0.04 |
| Correlation | - | 67.37% |
| Treynor Ratio | - | 3460.78% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.89 | 1.14 | + |
| 1994 | 0.40 | -2.32 | -5.85 | - |
| 1995 | 38.05 | 20.34 | 0.53 | - |
| 1996 | 22.50 | 9.54 | 0.42 | - |
| 1997 | 33.48 | 9.77 | 0.29 | - |
| 1998 | 28.69 | 12.70 | 0.44 | - |
| 1999 | 20.39 | 6.53 | 0.32 | - |
| 2000 | -9.74 | 5.97 | -0.61 | + |
| 2001 | -11.76 | 3.79 | -0.32 | + |
| 2002 | -21.58 | 3.17 | -0.15 | + |
| 2003 | 28.18 | 12.54 | 0.44 | - |
| 2004 | 10.70 | 5.68 | 0.53 | - |
| 2005 | 4.83 | 4.15 | 0.86 | - |
| 2006 | 15.85 | 8.99 | 0.57 | - |
| 2007 | 5.15 | 10.95 | 2.13 | + |
| 2008 | -36.79 | -3.87 | 0.11 | + |
| 2009 | 26.35 | 9.38 | 0.36 | - |
| 2010 | 15.06 | 13.10 | 0.87 | - |
| 2011 | 1.89 | 7.96 | 4.20 | + |
| 2012 | 15.99 | 7.06 | 0.44 | - |
| 2013 | 32.31 | 4.11 | 0.13 | - |
| 2014 | 13.46 | 6.49 | 0.48 | - |
| 2015 | 1.23 | 0.25 | 0.20 | - |
| 2016 | 12.00 | 5.39 | 0.45 | - |
| 2017 | 21.71 | 8.44 | 0.39 | - |
| 2018 | -4.57 | -0.62 | 0.14 | + |
| 2019 | 31.22 | 14.52 | 0.46 | - |
| 2020 | 18.33 | 14.96 | 0.82 | - |
| 2021 | 28.73 | 5.24 | 0.18 | - |
| 2022 | -18.18 | -11.82 | 0.65 | + |
| 2023 | 26.18 | 11.57 | 0.44 | - |
| 2024 | 24.89 | 10.37 | 0.42 | - |
| 2025 | 17.72 | 15.62 | 0.88 | - |
| 2026 | 8.94 | 1.93 | 0.22 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -15.05 | 760 |
| 2008-03-31 | 2009-08-31 | -10.99 | 519 |
| 1994-02-28 | 1995-01-31 | -5.27 | 338 |
| 2001-02-28 | 2001-06-30 | -3.85 | 123 |
| 2026-03-31 | 2026-04-30 | -3.58 | 31 |
| 1998-07-31 | 1998-09-30 | -3.55 | 62 |
| 2004-04-30 | 2004-09-30 | -3.53 | 154 |
| 2013-05-31 | 2013-09-30 | -3.33 | 123 |
| 2020-02-29 | 2020-03-31 | -3.08 | 32 |
| 2000-09-30 | 2000-12-31 | -3.06 | 93 |