| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 6,387.80% |
| CAGR﹪ | 10.76% | 13.26% |
| Sharpe | 0.77 | 1.11 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.03 |
| Sortino | 1.18 | 1.97 |
| Smart Sortino | 1.1 | 1.82 |
| Sortino/√2 | 0.84 | 1.39 |
| Smart Sortino/√2 | 0.78 | 1.29 |
| Omega | 1.76 | 2.37 |
| Max Drawdown | -50.78% | -18.56% |
| Max DD Date | 2009-02-28 | 2022-12-31 |
| 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% | 11.95% |
| R^2 | 0.26 | 0.26 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.21 | 0.71 |
| Skew | -0.55 | -0.07 |
| Kurtosis | 0.98 | 1.7 |
| Ulcer Performance Index | 211.25 | 1230.07 |
| Risk-Adjusted Return | 754.56% | 1267.55% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.94% | 1.12% |
| Avg. Win | 3.21% | 2.9% |
| Avg. Loss | -3.47% | -3.11% |
| Win/Loss Ratio | 0.93 | 0.93 |
| Profit Ratio | 0.5 | 0.43 |
| Expected Daily | 0.85% | 1.04% |
| Expected Monthly | 0.85% | 1.04% |
| Expected Yearly | 10.59% | 13.06% |
| Kelly Criterion | 27.35% | 37.63% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.57% |
| Expected Shortfall (cVaR) | -8.96% | -6.79% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.37 |
| Gain/Pain (1M) | 0.76 | 1.37 |
| Payoff Ratio | 0.93 | 0.93 |
| Profit Factor | 1.76 | 2.37 |
| Common Sense Ratio | 1.85 | 3.39 |
| CPC Index | 1.06 | 1.54 |
| Tail Ratio | 1.05 | 1.43 |
| Outlier Win Ratio | 2.95 | 3.52 |
| Outlier Loss Ratio | 2.93 | 2.96 |
| MTD | -1.05% | -2.44% |
| 3M | 13.91% | 0.86% |
| 6M | 8.94% | 3.1% |
| YTD | 8.94% | 3.1% |
| 1Y | 20.92% | 12.66% |
| 3Y (ann.) | 18.77% | 8.86% |
| 5Y (ann.) | 12.51% | 5.31% |
| 10Y (ann.) | 15.13% | 10.4% |
| All-time (ann.) | 10.76% | 13.26% |
| Best Day | 12.7% | 14.26% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 14.26% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 48.31% |
| Worst Year | -36.79% | -18.56% |
| Avg. Drawdown | -6.27% | -4.76% |
| Avg. Drawdown Days | 122 | 120 |
| Recovery Factor | 7.49 | 23.88 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 21.24 |
| Avg. Up Month | 3.21% | 2.9% |
| Avg. Down Month | -3.47% | -3.11% |
| Win Days | 65.09% | 69.92% |
| Win Month | 65.09% | 69.92% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.41 |
| Alpha | - | 0.09 |
| Correlation | - | 51.15% |
| Treynor Ratio | - | 15427.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 15.17 | 1.74 | + |
| 1994 | 0.40 | 3.69 | 9.30 | + |
| 1995 | 38.05 | 37.91 | 1.00 | - |
| 1996 | 22.50 | 11.34 | 0.50 | - |
| 1997 | 33.48 | 33.48 | 1.00 | + |
| 1998 | 28.69 | 8.40 | 0.29 | - |
| 1999 | 20.39 | 16.77 | 0.82 | - |
| 2000 | -9.74 | 0.19 | -0.02 | + |
| 2001 | -11.76 | 4.10 | -0.35 | + |
| 2002 | -21.58 | -1.50 | 0.07 | + |
| 2003 | 28.18 | 48.31 | 1.71 | + |
| 2004 | 10.70 | 20.67 | 1.93 | + |
| 2005 | 4.83 | 2.45 | 0.51 | - |
| 2006 | 15.85 | 21.35 | 1.35 | + |
| 2007 | 5.15 | 20.26 | 3.94 | + |
| 2008 | -36.79 | 3.12 | -0.08 | + |
| 2009 | 26.35 | 39.95 | 1.52 | + |
| 2010 | 15.06 | 3.05 | 0.20 | - |
| 2011 | 1.89 | 29.01 | 15.31 | + |
| 2012 | 15.99 | 21.95 | 1.37 | + |
| 2013 | 32.31 | 21.41 | 0.66 | - |
| 2014 | 13.46 | 9.71 | 0.72 | - |
| 2015 | 1.23 | -9.50 | -7.70 | - |
| 2016 | 12.00 | 9.18 | 0.77 | - |
| 2017 | 21.71 | 19.78 | 0.91 | - |
| 2018 | -4.57 | 3.60 | -0.79 | + |
| 2019 | 31.22 | 9.35 | 0.30 | - |
| 2020 | 18.33 | 25.52 | 1.39 | + |
| 2021 | 28.73 | 20.77 | 0.72 | - |
| 2022 | -18.18 | -18.56 | 1.02 | - |
| 2023 | 26.18 | 13.79 | 0.53 | - |
| 2024 | 24.89 | 19.35 | 0.78 | - |
| 2025 | 17.72 | 5.47 | 0.31 | - |
| 2026 | 8.94 | 3.10 | 0.35 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -18.56 | 760 |
| 2015-03-31 | 2017-01-31 | -16.76 | 673 |
| 1998-07-31 | 1999-11-30 | -15.28 | 488 |
| 2010-05-31 | 2011-02-28 | -10.36 | 274 |
| 2005-03-31 | 2005-12-31 | -8.88 | 276 |
| 1993-11-30 | 1993-12-31 | -8.49 | 32 |
| 2020-02-29 | 2020-06-30 | -8.07 | 123 |
| 2026-03-31 | 2026-07-31 | -7.90 | 123 |
| 2018-10-31 | 2019-11-30 | -7.80 | 396 |
| 2025-02-28 | 2025-09-30 | -7.41 | 215 |