| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,374.71% |
| CAGR﹪ | 10.76% | 10.05% |
| Sharpe | 0.77 | 1.17 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.09 |
| Sortino | 1.18 | 2.2 |
| Smart Sortino | 1.11 | 2.06 |
| Sortino/√2 | 0.84 | 1.56 |
| Smart Sortino/√2 | 0.78 | 1.46 |
| Omega | 1.76 | 2.43 |
| Max Drawdown | -50.78% | -12.27% |
| Max DD Date | 2009-02-28 | 2002-07-31 |
| Max DD Period Start | 2007-11-30 | 2002-04-30 |
| Max DD Period End | 2012-02-29 | 2003-04-30 |
| Longest DD Days | 2223 | 642 |
| Volatility (ann.) | 14.76% | 8.54% |
| R^2 | 0.27 | 0.27 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.82 |
| Skew | -0.55 | 0.06 |
| Kurtosis | 0.98 | 0.56 |
| Ulcer Performance Index | 211.25 | 735.95 |
| Risk-Adjusted Return | 754.56% | 647.4% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 0.84% |
| Avg. Win | 3.63% | 2.24% |
| Avg. Loss | -4.42% | -1.98% |
| Win/Loss Ratio | 0.82 | 1.13 |
| Profit Ratio | 0.5 | 0.65 |
| Expected Daily | 0.85% | 0.8% |
| Expected Monthly | 0.85% | 0.8% |
| Expected Yearly | 10.59% | 9.9% |
| Kelly Criterion | 22.51% | 35.7% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.22% |
| Expected Shortfall (cVaR) | -8.96% | -4.35% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.43 |
| Gain/Pain (1M) | 0.76 | 1.43 |
| Payoff Ratio | 0.82 | 1.13 |
| Profit Factor | 1.76 | 2.43 |
| Common Sense Ratio | 1.85 | 3.54 |
| CPC Index | 0.94 | 1.81 |
| Tail Ratio | 1.05 | 1.46 |
| Outlier Win Ratio | 2.95 | 3.31 |
| Outlier Loss Ratio | 2.93 | 3.28 |
| MTD | -1.05% | 0.94% |
| 3M | 13.91% | 4.76% |
| 6M | 8.94% | 8.01% |
| YTD | 8.94% | 8.01% |
| 1Y | 20.92% | 17.18% |
| 3Y (ann.) | 18.77% | 9.02% |
| 5Y (ann.) | 12.51% | 6.29% |
| 10Y (ann.) | 15.13% | 7.21% |
| All-time (ann.) | 10.76% | 10.05% |
| Best Day | 12.7% | 8.34% |
| Worst Day | -16.52% | -6.63% |
| Best Month | 12.7% | 8.34% |
| Worst Month | -16.52% | -6.63% |
| Best Year | 38.05% | 34.58% |
| Worst Year | -36.79% | -7.97% |
| Avg. Drawdown | -6.27% | -3.07% |
| Avg. Drawdown Days | 122 | 96 |
| Recovery Factor | 7.49 | 27.25 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 31.86 |
| Avg. Up Month | 3.63% | 2.24% |
| Avg. Down Month | -4.42% | -1.98% |
| Win Days | 65.09% | 65.92% |
| Win Month | 65.09% | 65.92% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.3 |
| Alpha | - | 0.07 |
| Correlation | - | 51.63% |
| Treynor Ratio | - | 7953.65% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 19.92 | 2.29 | + |
| 1994 | 0.40 | 1.16 | 2.91 | + |
| 1995 | 38.05 | 34.58 | 0.91 | - |
| 1996 | 22.50 | 16.05 | 0.71 | - |
| 1997 | 33.48 | 15.92 | 0.48 | - |
| 1998 | 28.69 | 30.49 | 1.06 | + |
| 1999 | 20.39 | -0.54 | -0.03 | - |
| 2000 | -9.74 | 18.14 | -1.86 | + |
| 2001 | -11.76 | 0.01 | -0.00 | + |
| 2002 | -21.58 | -3.88 | 0.18 | + |
| 2003 | 28.18 | 18.04 | 0.64 | - |
| 2004 | 10.70 | 12.17 | 1.14 | + |
| 2005 | 4.83 | 10.85 | 2.25 | + |
| 2006 | 15.85 | 8.33 | 0.53 | - |
| 2007 | 5.15 | 10.51 | 2.04 | + |
| 2008 | -36.79 | 8.06 | -0.22 | + |
| 2009 | 26.35 | 1.98 | 0.08 | - |
| 2010 | 15.06 | 14.80 | 0.98 | - |
| 2011 | 1.89 | 15.47 | 8.16 | + |
| 2012 | 15.99 | 4.02 | 0.25 | - |
| 2013 | 32.31 | 4.11 | 0.13 | - |
| 2014 | 13.46 | 20.87 | 1.55 | + |
| 2015 | 1.23 | 2.44 | 1.98 | + |
| 2016 | 12.00 | 5.46 | 0.46 | - |
| 2017 | 21.71 | 7.85 | 0.36 | - |
| 2018 | -4.57 | -3.45 | 0.75 | + |
| 2019 | 31.22 | 15.29 | 0.49 | - |
| 2020 | 18.33 | 18.63 | 1.02 | + |
| 2021 | 28.73 | 13.52 | 0.47 | - |
| 2022 | -18.18 | -7.97 | 0.44 | + |
| 2023 | 26.18 | 10.52 | 0.40 | - |
| 2024 | 24.89 | 6.98 | 0.28 | - |
| 2025 | 17.72 | 10.84 | 0.61 | - |
| 2026 | 8.94 | 8.01 | 0.90 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2002-04-30 | 2003-04-30 | -12.27 | 366 |
| 2009-01-31 | 2009-08-31 | -10.39 | 213 |
| 2022-04-30 | 2024-01-31 | -9.95 | 642 |
| 2008-03-31 | 2008-11-30 | -9.28 | 245 |
| 2004-04-30 | 2004-09-30 | -9.06 | 154 |
| 2016-08-31 | 2017-11-30 | -7.73 | 457 |
| 2003-06-30 | 2003-09-30 | -7.39 | 93 |
| 2015-02-28 | 2016-01-31 | -7.27 | 338 |
| 1994-02-28 | 1994-12-31 | -6.46 | 307 |
| 1999-03-31 | 2000-04-30 | -5.74 | 397 |