| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,670.67% |
| CAGR﹪ | 10.76% | 12.23% |
| Sharpe | 0.77 | 1.26 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.18 |
| Sortino | 1.18 | 2.51 |
| Smart Sortino | 1.11 | 2.35 |
| Sortino/√2 | 0.84 | 1.77 |
| Smart Sortino/√2 | 0.78 | 1.66 |
| Omega | 1.76 | 2.64 |
| Max Drawdown | -50.78% | -11.15% |
| Max DD Date | 2009-02-28 | 2004-07-31 |
| Max DD Period Start | 2007-11-30 | 2004-03-31 |
| Max DD Period End | 2012-02-29 | 2005-12-31 |
| Longest DD Days | 2223 | 704 |
| Volatility (ann.) | 14.76% | 9.6% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | 0.01 | 0.01 |
| Calmar | 0.21 | 1.1 |
| Skew | -0.55 | 0.28 |
| Kurtosis | 0.98 | 0.87 |
| Ulcer Performance Index | 211.25 | 1290.6 |
| Risk-Adjusted Return | 754.56% | 1027.83% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 1.0% |
| Avg. Win | 3.52% | 2.58% |
| Avg. Loss | -3.48% | -2.09% |
| Win/Loss Ratio | 1.01 | 1.23 |
| Profit Ratio | 0.5 | 0.79 |
| Expected Daily | 0.85% | 0.97% |
| Expected Monthly | 0.85% | 0.97% |
| Expected Yearly | 10.59% | 12.04% |
| Kelly Criterion | 30.51% | 36.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.55% |
| Expected Shortfall (cVaR) | -8.96% | -4.99% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 10 |
| Gain/Pain Ratio | 0.76 | 1.64 |
| Gain/Pain (1M) | 0.76 | 1.64 |
| Payoff Ratio | 1.01 | 1.23 |
| Profit Factor | 1.76 | 2.64 |
| Common Sense Ratio | 1.85 | 4.85 |
| CPC Index | 1.16 | 2.11 |
| Tail Ratio | 1.05 | 1.83 |
| Outlier Win Ratio | 2.95 | 3.48 |
| Outlier Loss Ratio | 2.93 | 3.31 |
| MTD | -1.05% | -1.04% |
| 3M | 13.91% | -7.83% |
| 6M | 8.94% | 5.75% |
| YTD | 8.94% | 5.75% |
| 1Y | 20.92% | 27.25% |
| 3Y (ann.) | 18.77% | 17.22% |
| 5Y (ann.) | 12.51% | 16.78% |
| 10Y (ann.) | 15.13% | 16.68% |
| All-time (ann.) | 10.76% | 12.23% |
| Best Day | 12.7% | 10.58% |
| Worst Day | -16.52% | -6.81% |
| Best Month | 12.7% | 10.58% |
| Worst Month | -16.52% | -6.81% |
| Best Year | 38.05% | 38.66% |
| Worst Year | -36.79% | -6.27% |
| Avg. Drawdown | -6.27% | -3.59% |
| Avg. Drawdown Days | 122 | 118 |
| Recovery Factor | 7.49 | 36.19 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 37.63 |
| Avg. Up Month | 3.52% | 2.58% |
| Avg. Down Month | -3.48% | -2.09% |
| Win Days | 65.09% | 64.68% |
| Win Month | 65.09% | 64.68% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.19 |
| Alpha | - | 0.1 |
| Correlation | - | 28.79% |
| Treynor Ratio | - | 24949.27% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 6.81 | 0.78 | - |
| 1994 | 0.40 | -3.21 | -8.08 | - |
| 1995 | 38.05 | 31.53 | 0.83 | - |
| 1996 | 22.50 | 13.52 | 0.60 | - |
| 1997 | 33.48 | 11.88 | 0.35 | - |
| 1998 | 28.69 | 38.66 | 1.35 | + |
| 1999 | 20.39 | 15.47 | 0.76 | - |
| 2000 | -9.74 | 3.73 | -0.38 | + |
| 2001 | -11.76 | 2.71 | -0.23 | + |
| 2002 | -21.58 | 14.13 | -0.65 | + |
| 2003 | 28.18 | 8.88 | 0.31 | - |
| 2004 | 10.70 | -4.15 | -0.39 | - |
| 2005 | 4.83 | 3.36 | 0.70 | - |
| 2006 | 15.85 | 6.20 | 0.39 | - |
| 2007 | 5.15 | 35.82 | 6.96 | + |
| 2008 | -36.79 | 15.76 | -0.43 | + |
| 2009 | 26.35 | 9.97 | 0.38 | - |
| 2010 | 15.06 | 12.72 | 0.85 | - |
| 2011 | 1.89 | 8.49 | 4.48 | + |
| 2012 | 15.99 | -1.70 | -0.11 | - |
| 2013 | 32.31 | 11.24 | 0.35 | - |
| 2014 | 13.46 | 17.07 | 1.27 | + |
| 2015 | 1.23 | -6.27 | -5.08 | - |
| 2016 | 12.00 | 5.59 | 0.47 | - |
| 2017 | 21.71 | 13.18 | 0.61 | - |
| 2018 | -4.57 | 0.94 | -0.21 | + |
| 2019 | 31.22 | 12.45 | 0.40 | - |
| 2020 | 18.33 | 32.57 | 1.78 | + |
| 2021 | 28.73 | 34.64 | 1.21 | + |
| 2022 | -18.18 | 12.29 | -0.68 | + |
| 2023 | 26.18 | 10.90 | 0.42 | - |
| 2024 | 24.89 | 24.25 | 0.97 | - |
| 2025 | 17.72 | 23.21 | 1.31 | + |
| 2026 | 8.94 | 5.75 | 0.64 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-03-31 | 2005-12-31 | -11.15 | 641 |
| 2009-12-31 | 2010-07-31 | -10.50 | 213 |
| 2011-12-31 | 2013-09-30 | -10.02 | 640 |
| 2015-02-28 | 2017-01-31 | -9.73 | 704 |
| 2026-05-31 | 2026-07-31 | -9.12 | 62 |
| 2000-04-30 | 2001-07-31 | -8.41 | 458 |
| 2003-06-30 | 2003-09-30 | -6.98 | 93 |
| 2025-03-31 | 2025-07-31 | -6.98 | 123 |
| 2008-07-31 | 2009-09-30 | -6.92 | 427 |
| 2018-10-31 | 2019-04-30 | -6.65 | 182 |