| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 6,548.50% |
| CAGR﹪ | 10.76% | 13.35% |
| Sharpe | 0.77 | 1.08 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.99 |
| Sortino | 1.18 | 1.95 |
| Smart Sortino | 1.09 | 1.79 |
| Sortino/√2 | 0.84 | 1.38 |
| Smart Sortino/√2 | 0.77 | 1.26 |
| Omega | 1.76 | 2.35 |
| Max Drawdown | -50.78% | -19.85% |
| Max DD Date | 2009-02-28 | 2022-12-31 |
| Max DD Period Start | 2007-11-30 | 2021-11-30 |
| Max DD Period End | 2012-02-29 | 2024-08-31 |
| Longest DD Days | 2223 | 1006 |
| Volatility (ann.) | 14.76% | 12.42% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | 0.04 | 0.04 |
| Calmar | 0.21 | 0.67 |
| Skew | -0.55 | 0.17 |
| Kurtosis | 0.98 | 2.42 |
| Ulcer Performance Index | 211.25 | 1255.51 |
| Risk-Adjusted Return | 754.56% | 1288.68% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 1.12% |
| Avg. Win | 3.3% | 3.05% |
| Avg. Loss | -3.45% | -3.15% |
| Win/Loss Ratio | 0.96 | 0.97 |
| Profit Ratio | 0.5 | 0.51 |
| Expected Daily | 0.85% | 1.05% |
| Expected Monthly | 0.85% | 1.05% |
| Expected Yearly | 10.59% | 13.14% |
| Kelly Criterion | 28.64% | 34.74% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.78% |
| Expected Shortfall (cVaR) | -8.96% | -6.56% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.35 |
| Gain/Pain (1M) | 0.76 | 1.35 |
| Payoff Ratio | 0.96 | 0.97 |
| Profit Factor | 1.76 | 2.35 |
| Common Sense Ratio | 1.85 | 3.01 |
| CPC Index | 1.1 | 1.54 |
| Tail Ratio | 1.05 | 1.28 |
| Outlier Win Ratio | 2.95 | 4.38 |
| Outlier Loss Ratio | 2.93 | 2.85 |
| MTD | -1.05% | 1.04% |
| 3M | 13.91% | 2.63% |
| 6M | 8.94% | 3.36% |
| YTD | 8.94% | 3.36% |
| 1Y | 20.92% | 8.65% |
| 3Y (ann.) | 18.77% | 5.7% |
| 5Y (ann.) | 12.51% | 2.83% |
| 10Y (ann.) | 15.13% | 10.21% |
| All-time (ann.) | 10.76% | 13.35% |
| Best Day | 12.7% | 17.92% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 17.92% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 42.24% |
| Worst Year | -36.79% | -19.37% |
| Avg. Drawdown | -6.27% | -4.71% |
| Avg. Drawdown Days | 122 | 116 |
| Recovery Factor | 7.49 | 22.53 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 22.81 |
| Avg. Up Month | 3.3% | 3.05% |
| Avg. Down Month | -3.45% | -3.15% |
| Win Days | 65.09% | 67.92% |
| Win Month | 65.09% | 67.92% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.42 |
| Alpha | - | 0.09 |
| Correlation | - | 49.4% |
| Treynor Ratio | - | 15752.89% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 16.76 | 1.92 | + |
| 1994 | 0.40 | -3.33 | -8.39 | - |
| 1995 | 38.05 | 25.24 | 0.66 | - |
| 1996 | 22.50 | 9.43 | 0.42 | - |
| 1997 | 33.48 | 28.99 | 0.87 | - |
| 1998 | 28.69 | 4.61 | 0.16 | - |
| 1999 | 20.39 | 22.92 | 1.12 | + |
| 2000 | -9.74 | 14.09 | -1.45 | + |
| 2001 | -11.76 | 4.10 | -0.35 | + |
| 2002 | -21.58 | -1.72 | 0.08 | + |
| 2003 | 28.18 | 42.24 | 1.50 | + |
| 2004 | 10.70 | 22.85 | 2.14 | + |
| 2005 | 4.83 | 5.64 | 1.17 | + |
| 2006 | 15.85 | 16.67 | 1.05 | + |
| 2007 | 5.15 | 8.90 | 1.73 | + |
| 2008 | -36.79 | 3.12 | -0.08 | + |
| 2009 | 26.35 | 29.91 | 1.13 | + |
| 2010 | 15.06 | 15.54 | 1.03 | + |
| 2011 | 1.89 | 32.61 | 17.21 | + |
| 2012 | 15.99 | 18.65 | 1.17 | + |
| 2013 | 32.31 | 35.03 | 1.08 | + |
| 2014 | 13.46 | 9.64 | 0.72 | - |
| 2015 | 1.23 | -3.23 | -2.62 | - |
| 2016 | 12.00 | 12.06 | 1.01 | + |
| 2017 | 21.71 | 21.53 | 0.99 | - |
| 2018 | -4.57 | 6.26 | -1.37 | + |
| 2019 | 31.22 | 7.94 | 0.25 | - |
| 2020 | 18.33 | 26.19 | 1.43 | + |
| 2021 | 28.73 | 24.88 | 0.87 | - |
| 2022 | -18.18 | -19.37 | 1.07 | - |
| 2023 | 26.18 | 15.08 | 0.58 | - |
| 2024 | 24.89 | 16.58 | 0.67 | - |
| 2025 | 17.72 | -1.42 | -0.08 | - |
| 2026 | 8.94 | 3.36 | 0.38 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2024-08-31 | -19.85 | 1006 |
| 2000-04-30 | 2002-01-31 | -15.32 | 642 |
| 1998-07-31 | 1999-03-31 | -15.28 | 244 |
| 2024-12-31 | 2026-07-31 | -13.00 | 578 |
| 2015-06-30 | 2016-10-31 | -12.40 | 490 |
| 2010-05-31 | 2010-11-30 | -10.25 | 184 |
| 2020-02-29 | 2020-06-30 | -8.07 | 123 |
| 1996-06-30 | 1996-10-31 | -7.92 | 124 |
| 2018-09-30 | 2019-11-30 | -7.60 | 427 |
| 1999-07-31 | 1999-11-30 | -6.72 | 123 |