| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 939.40% |
| CAGR﹪ | 10.76% | 7.24% |
| Sharpe | 0.77 | 0.78 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.74 |
| Sortino | 1.18 | 1.23 |
| Smart Sortino | 1.12 | 1.16 |
| Sortino/√2 | 0.84 | 0.87 |
| Smart Sortino/√2 | 0.79 | 0.82 |
| Omega | 1.76 | 1.81 |
| Max Drawdown | -50.78% | -21.33% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2026-01-31 |
| Longest DD Days | 2223 | 1462 |
| Volatility (ann.) | 14.76% | 9.51% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.34 |
| Skew | -0.55 | -0.41 |
| Kurtosis | 0.98 | 1.33 |
| Ulcer Performance Index | 211.25 | 150.04 |
| Risk-Adjusted Return | 754.56% | 333.9% |
| Risk-Return Ratio | 0.22 | 0.23 |
| Avg. Return | 0.95% | 0.63% |
| Avg. Win | 3.6% | 2.28% |
| Avg. Loss | -3.77% | -2.97% |
| Win/Loss Ratio | 0.96 | 0.77 |
| Profit Ratio | 0.5 | 0.53 |
| Expected Daily | 0.85% | 0.58% |
| Expected Monthly | 0.85% | 0.58% |
| Expected Yearly | 10.59% | 7.13% |
| Kelly Criterion | 28.55% | 19.3% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.9% |
| Expected Shortfall (cVaR) | -8.96% | -5.4% |
| Max Consecutive Wins | 15 | 11 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.81 |
| Gain/Pain (1M) | 0.76 | 0.81 |
| Payoff Ratio | 0.96 | 0.77 |
| Profit Factor | 1.76 | 1.81 |
| Common Sense Ratio | 1.85 | 2.08 |
| CPC Index | 1.09 | 0.9 |
| Tail Ratio | 1.05 | 1.15 |
| Outlier Win Ratio | 2.95 | 2.99 |
| Outlier Loss Ratio | 2.93 | 3.14 |
| MTD | -1.05% | -5.15% |
| 3M | 13.91% | 9.68% |
| 6M | 8.94% | 11.04% |
| YTD | 8.94% | 11.04% |
| 1Y | 20.92% | 15.87% |
| 3Y (ann.) | 18.77% | 5.71% |
| 5Y (ann.) | 12.51% | 1.78% |
| 10Y (ann.) | 15.13% | 4.76% |
| All-time (ann.) | 10.76% | 7.24% |
| Best Day | 12.7% | 9.4% |
| Worst Day | -16.52% | -10.25% |
| Best Month | 12.7% | 9.4% |
| Worst Month | -16.52% | -10.25% |
| Best Year | 38.05% | 35.42% |
| Worst Year | -36.79% | -20.34% |
| Avg. Drawdown | -6.27% | -4.39% |
| Avg. Drawdown Days | 122 | 152 |
| Recovery Factor | 7.49 | 11.72 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 7.08 |
| Avg. Up Month | 3.6% | 2.28% |
| Avg. Down Month | -3.77% | -2.97% |
| Win Days | 65.09% | 64.93% |
| Win Month | 65.09% | 64.93% |
| Win Quarter | 73.33% | 68.15% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.26 |
| Alpha | - | 0.04 |
| Correlation | - | 40.9% |
| Treynor Ratio | - | 3562.99% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 35.42 | 4.07 | + |
| 1994 | 0.40 | -5.11 | -12.85 | - |
| 1995 | 38.05 | 22.10 | 0.58 | - |
| 1996 | 22.50 | 7.71 | 0.34 | - |
| 1997 | 33.48 | 1.29 | 0.04 | - |
| 1998 | 28.69 | 17.26 | 0.60 | - |
| 1999 | 20.39 | 29.12 | 1.43 | + |
| 2000 | -9.74 | -12.69 | 1.30 | - |
| 2001 | -11.76 | 6.87 | -0.58 | + |
| 2002 | -21.58 | 12.19 | -0.56 | + |
| 2003 | 28.18 | 20.45 | 0.73 | - |
| 2004 | 10.70 | 1.57 | 0.15 | - |
| 2005 | 4.83 | 12.65 | 2.62 | + |
| 2006 | 15.85 | 2.87 | 0.18 | - |
| 2007 | 5.15 | 3.63 | 0.71 | - |
| 2008 | -36.79 | 11.95 | -0.32 | + |
| 2009 | 26.35 | 4.70 | 0.18 | - |
| 2010 | 15.06 | 4.04 | 0.27 | - |
| 2011 | 1.89 | 7.37 | 3.89 | + |
| 2012 | 15.99 | 4.19 | 0.26 | - |
| 2013 | 32.31 | 11.82 | 0.37 | - |
| 2014 | 13.46 | 4.87 | 0.36 | - |
| 2015 | 1.23 | -1.38 | -1.12 | - |
| 2016 | 12.00 | -2.54 | -0.21 | - |
| 2017 | 21.71 | 19.04 | 0.88 | - |
| 2018 | -4.57 | -2.91 | 0.64 | + |
| 2019 | 31.22 | 9.08 | 0.29 | - |
| 2020 | 18.33 | 16.85 | 0.92 | - |
| 2021 | 28.73 | 10.11 | 0.35 | - |
| 2022 | -18.18 | -20.34 | 1.12 | - |
| 2023 | 26.18 | 11.95 | 0.46 | - |
| 2024 | 24.89 | 1.22 | 0.05 | - |
| 2025 | 17.72 | 4.30 | 0.24 | - |
| 2026 | 8.94 | 11.04 | 1.24 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2026-01-31 | -21.33 | 1462 |
| 2000-04-30 | 2002-08-31 | -18.36 | 854 |
| 1997-08-31 | 1998-11-30 | -11.96 | 457 |
| 2006-05-31 | 2007-09-30 | -10.47 | 488 |
| 2018-02-28 | 2019-12-31 | -10.34 | 672 |
| 2004-03-31 | 2005-01-31 | -10.30 | 307 |
| 2026-03-31 | 2026-04-30 | -9.03 | 31 |
| 2015-06-30 | 2017-04-30 | -8.13 | 671 |
| 2007-11-30 | 2008-10-31 | -6.88 | 337 |
| 1999-02-28 | 1999-03-31 | -6.15 | 32 |