| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,917.61% |
| CAGR﹪ | 10.76% | 10.71% |
| Sharpe | 0.77 | 0.98 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.74 | 0.94 |
| Sortino | 1.18 | 1.54 |
| Smart Sortino | 1.14 | 1.49 |
| Sortino/√2 | 0.84 | 1.09 |
| Smart Sortino/√2 | 0.81 | 1.05 |
| Omega | 1.76 | 2.08 |
| Max Drawdown | -50.78% | -17.94% |
| Max DD Date | 2009-02-28 | 2020-03-31 |
| Max DD Period Start | 2007-11-30 | 2018-10-31 |
| Max DD Period End | 2012-02-29 | 2020-11-30 |
| Longest DD Days | 2223 | 762 |
| Volatility (ann.) | 14.76% | 11.09% |
| R^2 | 0.53 | 0.53 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.6 |
| Skew | -0.55 | -0.64 |
| Kurtosis | 0.98 | 1.67 |
| Ulcer Performance Index | 211.25 | 520.02 |
| Risk-Adjusted Return | 754.56% | 746.35% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.94% | 0.91% |
| Avg. Win | 3.45% | 2.72% |
| Avg. Loss | -3.72% | -3.05% |
| Win/Loss Ratio | 0.93 | 0.89 |
| Profit Ratio | 0.5 | 0.4 |
| Expected Daily | 0.85% | 0.85% |
| Expected Monthly | 0.85% | 0.85% |
| Expected Yearly | 10.59% | 10.54% |
| Kelly Criterion | 27.48% | 35.49% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.37% |
| Expected Shortfall (cVaR) | -8.96% | -6.71% |
| Max Consecutive Wins | 15 | 19 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.08 |
| Gain/Pain (1M) | 0.76 | 1.08 |
| Payoff Ratio | 0.93 | 0.89 |
| Profit Factor | 1.76 | 2.08 |
| Common Sense Ratio | 1.85 | 2.47 |
| CPC Index | 1.06 | 1.29 |
| Tail Ratio | 1.05 | 1.19 |
| Outlier Win Ratio | 2.95 | 3.18 |
| Outlier Loss Ratio | 2.93 | 2.9 |
| MTD | -1.05% | -0.59% |
| 3M | 13.91% | 6.88% |
| 6M | 8.94% | 4.34% |
| YTD | 8.94% | 4.34% |
| 1Y | 20.92% | 12.26% |
| 3Y (ann.) | 18.77% | 11.91% |
| 5Y (ann.) | 12.51% | 7.76% |
| 10Y (ann.) | 15.13% | 9.07% |
| All-time (ann.) | 10.76% | 10.71% |
| Best Day | 12.7% | 10.88% |
| Worst Day | -16.52% | -13.89% |
| Best Month | 12.7% | 10.88% |
| Worst Month | -16.52% | -13.89% |
| Best Year | 38.05% | 34.4% |
| Worst Year | -36.79% | -11.81% |
| Avg. Drawdown | -6.27% | -4.74% |
| Avg. Drawdown Days | 122 | 123 |
| Recovery Factor | 7.49 | 20.22 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 16.11 |
| Avg. Up Month | 3.45% | 2.72% |
| Avg. Down Month | -3.72% | -3.05% |
| Win Days | 65.09% | 69.58% |
| Win Month | 65.09% | 69.58% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.55 |
| Alpha | - | 0.05 |
| Correlation | - | 72.92% |
| Treynor Ratio | - | 5323.55% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.93 | 1.03 | + |
| 1994 | 0.40 | 0.24 | 0.61 | - |
| 1995 | 38.05 | 34.40 | 0.90 | - |
| 1996 | 22.50 | 22.23 | 0.99 | - |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 18.83 | 0.66 | - |
| 1999 | 20.39 | 23.60 | 1.16 | + |
| 2000 | -9.74 | -9.10 | 0.93 | + |
| 2001 | -11.76 | 8.66 | -0.74 | + |
| 2002 | -21.58 | 5.32 | -0.25 | + |
| 2003 | 28.18 | 34.13 | 1.21 | + |
| 2004 | 10.70 | 14.43 | 1.35 | + |
| 2005 | 4.83 | 9.48 | 1.96 | + |
| 2006 | 15.85 | 24.56 | 1.55 | + |
| 2007 | 5.15 | 10.59 | 2.06 | + |
| 2008 | -36.79 | -3.76 | 0.10 | + |
| 2009 | 26.35 | 12.42 | 0.47 | - |
| 2010 | 15.06 | 1.39 | 0.09 | - |
| 2011 | 1.89 | -4.19 | -2.21 | - |
| 2012 | 15.99 | 11.66 | 0.73 | - |
| 2013 | 32.31 | 19.52 | 0.60 | - |
| 2014 | 13.46 | 12.02 | 0.89 | - |
| 2015 | 1.23 | -5.97 | -4.84 | - |
| 2016 | 12.00 | 8.43 | 0.70 | - |
| 2017 | 21.71 | 19.53 | 0.90 | - |
| 2018 | -4.57 | -4.67 | 1.02 | - |
| 2019 | 31.22 | 14.16 | 0.45 | - |
| 2020 | 18.33 | 4.14 | 0.23 | - |
| 2021 | 28.73 | 23.20 | 0.81 | - |
| 2022 | -18.18 | -11.81 | 0.65 | + |
| 2023 | 26.18 | 7.48 | 0.29 | - |
| 2024 | 24.89 | 24.89 | 1.00 | + |
| 2025 | 17.72 | 7.91 | 0.45 | - |
| 2026 | 8.94 | 4.34 | 0.49 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-10-31 | 2020-11-30 | -17.94 | 762 |
| 1998-07-31 | 1998-11-30 | -15.06 | 123 |
| 2011-05-31 | 2012-12-31 | -14.02 | 581 |
| 2022-01-31 | 2024-01-31 | -13.81 | 731 |
| 2010-05-31 | 2010-12-31 | -12.73 | 215 |
| 2007-11-30 | 2009-10-31 | -12.02 | 702 |
| 2015-06-30 | 2016-12-31 | -11.32 | 551 |
| 2000-01-31 | 2002-01-31 | -10.59 | 732 |
| 1993-11-30 | 1993-12-31 | -8.49 | 32 |
| 2026-03-31 | 2026-07-31 | -7.95 | 123 |