| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,932.06% | 4,075.36% |
| CAGR﹪ | 10.75% | 11.81% |
| Sharpe | 0.77 | 1.29 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.21 |
| Sortino | 1.18 | 2.46 |
| Smart Sortino | 1.11 | 2.31 |
| Sortino/√2 | 0.84 | 1.74 |
| Smart Sortino/√2 | 0.79 | 1.64 |
| Omega | 1.76 | 2.78 |
| Max Drawdown | -50.78% | -10.97% |
| Max DD Date | 2009-02-28 | 2004-07-31 |
| Max DD Period Start | 2007-11-30 | 2004-04-30 |
| Max DD Period End | 2012-02-29 | 2004-10-31 |
| Longest DD Days | 2223 | 519 |
| Volatility (ann.) | 14.78% | 9.03% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 1.08 |
| Skew | -0.55 | 0.02 |
| Kurtosis | 0.97 | 1.29 |
| Ulcer Performance Index | 208.69 | 1538.44 |
| Risk-Adjusted Return | 753.43% | 943.5% |
| Risk-Return Ratio | 0.22 | 0.37 |
| Avg. Return | 0.95% | 0.97% |
| Avg. Win | 3.47% | 2.4% |
| Avg. Loss | -3.34% | -2.36% |
| Win/Loss Ratio | 1.04 | 1.02 |
| Profit Ratio | 0.51 | 0.6 |
| Expected Daily | 0.85% | 0.93% |
| Expected Monthly | 0.85% | 0.93% |
| Expected Yearly | 10.56% | 11.6% |
| Kelly Criterion | 31.3% | 37.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.07% | -3.32% |
| Expected Shortfall (cVaR) | -8.96% | -4.74% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.78 |
| Gain/Pain (1M) | 0.76 | 1.78 |
| Payoff Ratio | 1.04 | 1.02 |
| Profit Factor | 1.76 | 2.78 |
| Common Sense Ratio | 1.85 | 4.41 |
| CPC Index | 1.19 | 1.93 |
| Tail Ratio | 1.05 | 1.59 |
| Outlier Win Ratio | 2.94 | 3.39 |
| Outlier Loss Ratio | 2.93 | 3.61 |
| MTD | -1.05% | 0.6% |
| 3M | 13.91% | 5.93% |
| 6M | 8.94% | 11.83% |
| YTD | 8.94% | 11.83% |
| 1Y | 20.92% | 29.48% |
| 3Y (ann.) | 18.77% | 17.08% |
| 5Y (ann.) | 12.51% | 11.25% |
| 10Y (ann.) | 15.13% | 9.92% |
| All-time (ann.) | 10.75% | 11.81% |
| Best Day | 12.7% | 10.0% |
| Worst Day | -16.52% | -9.71% |
| Best Month | 12.7% | 10.0% |
| Worst Month | -16.52% | -9.71% |
| Best Year | 38.05% | 32.87% |
| Worst Year | -36.79% | -3.72% |
| Avg. Drawdown | -6.27% | -3.01% |
| Avg. Drawdown Days | 122 | 85 |
| Recovery Factor | 7.47 | 35.42 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.2 | 58.51 |
| Avg. Up Month | 3.47% | 2.4% |
| Avg. Down Month | -3.34% | -2.36% |
| Win Days | 65.0% | 68.33% |
| Win Month | 65.0% | 68.33% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.25 |
| Alpha | - | 0.09 |
| Correlation | - | 40.33% |
| Treynor Ratio | - | 16539.7% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 7.56 | 8.85 | 1.17 | + |
| 1994 | 0.40 | -1.58 | -3.98 | - |
| 1995 | 38.05 | 24.32 | 0.64 | - |
| 1996 | 22.50 | 15.23 | 0.68 | - |
| 1997 | 33.48 | 19.29 | 0.58 | - |
| 1998 | 28.69 | 15.55 | 0.54 | - |
| 1999 | 20.39 | 32.87 | 1.61 | + |
| 2000 | -9.74 | 5.43 | -0.56 | + |
| 2001 | -11.76 | 8.63 | -0.73 | + |
| 2002 | -21.58 | 12.06 | -0.56 | + |
| 2003 | 28.18 | 22.05 | 0.78 | - |
| 2004 | 10.70 | 13.55 | 1.27 | + |
| 2005 | 4.83 | 4.53 | 0.94 | - |
| 2006 | 15.85 | 20.36 | 1.28 | + |
| 2007 | 5.15 | 21.04 | 4.09 | + |
| 2008 | -36.79 | 16.24 | -0.44 | + |
| 2009 | 26.35 | 11.32 | 0.43 | - |
| 2010 | 15.06 | 16.18 | 1.07 | + |
| 2011 | 1.89 | 10.81 | 5.70 | + |
| 2012 | 15.99 | 1.25 | 0.08 | - |
| 2013 | 32.31 | 10.80 | 0.33 | - |
| 2014 | 13.46 | 9.79 | 0.73 | - |
| 2015 | 1.23 | -3.72 | -3.02 | - |
| 2016 | 12.00 | 3.88 | 0.32 | - |
| 2017 | 21.71 | 17.04 | 0.79 | - |
| 2018 | -4.57 | 2.85 | -0.62 | + |
| 2019 | 31.22 | 4.96 | 0.16 | - |
| 2020 | 18.33 | 12.87 | 0.70 | - |
| 2021 | 28.73 | 14.88 | 0.52 | - |
| 2022 | -18.18 | -1.57 | 0.09 | + |
| 2023 | 26.18 | 0.92 | 0.04 | - |
| 2024 | 24.89 | 18.58 | 0.75 | - |
| 2025 | 17.72 | 23.88 | 1.35 | + |
| 2026 | 8.94 | 11.83 | 1.32 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2004-10-31 | -10.97 | 185 |
| 2000-04-30 | 2000-07-31 | -9.83 | 93 |
| 2026-03-31 | 2026-07-31 | -9.71 | 123 |
| 2010-05-31 | 2010-11-30 | -7.68 | 184 |
| 2015-02-28 | 2016-06-30 | -6.66 | 489 |
| 1998-08-31 | 1998-11-30 | -6.47 | 92 |
| 2020-09-30 | 2020-11-30 | -6.35 | 62 |
| 2023-08-31 | 2024-01-31 | -5.77 | 154 |
| 1996-05-31 | 1996-09-30 | -5.51 | 123 |
| 1994-02-28 | 1995-03-31 | -5.38 | 397 |