| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,503.38% |
| CAGR﹪ | 10.76% | 10.22% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 1.0 |
| Sortino | 1.18 | 1.93 |
| Smart Sortino | 1.07 | 1.76 |
| Sortino/√2 | 0.84 | 1.37 |
| Smart Sortino/√2 | 0.76 | 1.24 |
| Omega | 1.76 | 2.38 |
| Max Drawdown | -50.78% | -12.41% |
| Max DD Date | 2009-02-28 | 2000-05-31 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2001-08-31 |
| Longest DD Days | 2223 | 732 |
| Volatility (ann.) | 14.76% | 9.25% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.82 |
| Skew | -0.55 | -0.13 |
| Kurtosis | 0.98 | 1.45 |
| Ulcer Performance Index | 211.25 | 728.19 |
| Risk-Adjusted Return | 754.56% | 671.53% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.85% |
| Avg. Win | 3.45% | 2.32% |
| Avg. Loss | -3.91% | -2.57% |
| Win/Loss Ratio | 0.88 | 0.9 |
| Profit Ratio | 0.5 | 0.53 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 10.06% |
| Kelly Criterion | 25.6% | 32.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.54% |
| Expected Shortfall (cVaR) | -8.96% | -5.32% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.38 |
| Gain/Pain (1M) | 0.76 | 1.38 |
| Payoff Ratio | 0.88 | 0.9 |
| Profit Factor | 1.76 | 2.38 |
| Common Sense Ratio | 1.85 | 3.37 |
| CPC Index | 1.01 | 1.46 |
| Tail Ratio | 1.05 | 1.42 |
| Outlier Win Ratio | 2.95 | 3.13 |
| Outlier Loss Ratio | 2.93 | 3.64 |
| MTD | -1.05% | -3.47% |
| 3M | 13.91% | 6.9% |
| 6M | 8.94% | 10.22% |
| YTD | 8.94% | 10.22% |
| 1Y | 20.92% | 22.24% |
| 3Y (ann.) | 18.77% | 12.65% |
| 5Y (ann.) | 12.51% | 8.11% |
| 10Y (ann.) | 15.13% | 8.04% |
| All-time (ann.) | 10.76% | 10.22% |
| Best Day | 12.7% | 10.61% |
| Worst Day | -16.52% | -8.53% |
| Best Month | 12.7% | 10.61% |
| Worst Month | -16.52% | -8.53% |
| Best Year | 38.05% | 47.83% |
| Worst Year | -36.79% | -6.85% |
| Avg. Drawdown | -6.27% | -3.38% |
| Avg. Drawdown Days | 122 | 105 |
| Recovery Factor | 7.49 | 27.53 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 32.05 |
| Avg. Up Month | 3.45% | 2.32% |
| Avg. Down Month | -3.91% | -2.57% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 76.3% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.26 |
| Alpha | - | 0.07 |
| Correlation | - | 42.11% |
| Treynor Ratio | - | 9489.84% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 30.82 | 3.54 | + |
| 1994 | 0.40 | -4.83 | -12.15 | - |
| 1995 | 38.05 | 18.25 | 0.48 | - |
| 1996 | 22.50 | 14.41 | 0.64 | - |
| 1997 | 33.48 | 8.65 | 0.26 | - |
| 1998 | 28.69 | 16.52 | 0.58 | - |
| 1999 | 20.39 | 47.83 | 2.35 | + |
| 2000 | -9.74 | 0.47 | -0.05 | + |
| 2001 | -11.76 | 7.10 | -0.60 | + |
| 2002 | -21.58 | 9.91 | -0.46 | + |
| 2003 | 28.18 | 21.61 | 0.77 | - |
| 2004 | 10.70 | 4.10 | 0.38 | - |
| 2005 | 4.83 | 13.79 | 2.86 | + |
| 2006 | 15.85 | 9.07 | 0.57 | - |
| 2007 | 5.15 | 17.07 | 3.32 | + |
| 2008 | -36.79 | 12.91 | -0.35 | + |
| 2009 | 26.35 | 10.36 | 0.39 | - |
| 2010 | 15.06 | 3.17 | 0.21 | - |
| 2011 | 1.89 | 5.78 | 3.05 | + |
| 2012 | 15.99 | 2.47 | 0.15 | - |
| 2013 | 32.31 | 14.70 | 0.45 | - |
| 2014 | 13.46 | 5.39 | 0.40 | - |
| 2015 | 1.23 | -0.16 | -0.13 | - |
| 2016 | 12.00 | 3.36 | 0.28 | - |
| 2017 | 21.71 | 17.90 | 0.82 | - |
| 2018 | -4.57 | -0.96 | 0.21 | + |
| 2019 | 31.22 | 5.36 | 0.17 | - |
| 2020 | 18.33 | 18.44 | 1.01 | + |
| 2021 | 28.73 | 3.00 | 0.10 | - |
| 2022 | -18.18 | -6.85 | 0.38 | + |
| 2023 | 26.18 | 10.90 | 0.42 | - |
| 2024 | 24.89 | 11.65 | 0.47 | - |
| 2025 | 17.72 | 14.47 | 0.82 | - |
| 2026 | 8.94 | 10.22 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2001-08-31 | -12.41 | 489 |
| 2021-09-30 | 2023-06-30 | -9.60 | 639 |
| 2004-04-30 | 2005-01-31 | -8.88 | 277 |
| 2026-03-31 | 2026-04-30 | -8.53 | 31 |
| 1997-08-31 | 1998-03-31 | -8.25 | 213 |
| 1994-02-28 | 1995-04-30 | -7.87 | 427 |
| 1998-08-31 | 1998-11-30 | -7.20 | 92 |
| 2010-05-31 | 2010-12-31 | -6.79 | 215 |
| 2018-02-28 | 2020-02-29 | -6.69 | 732 |
| 2023-08-31 | 2023-11-30 | -5.98 | 92 |