| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,507.79% |
| CAGR﹪ | 10.76% | 10.22% |
| Sharpe | 0.77 | 1.06 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.97 |
| Sortino | 1.18 | 1.82 |
| Smart Sortino | 1.08 | 1.67 |
| Sortino/√2 | 0.84 | 1.29 |
| Smart Sortino/√2 | 0.77 | 1.18 |
| Omega | 1.76 | 2.26 |
| Max Drawdown | -50.78% | -22.51% |
| Max DD Date | 2009-02-28 | 2022-10-31 |
| Max DD Period Start | 2007-11-30 | 2021-09-30 |
| Max DD Period End | 2012-02-29 | 2024-08-31 |
| Longest DD Days | 2223 | 1067 |
| Volatility (ann.) | 14.76% | 9.63% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.45 |
| Skew | -0.55 | -0.22 |
| Kurtosis | 0.98 | 1.08 |
| Ulcer Performance Index | 211.25 | 502.6 |
| Risk-Adjusted Return | 754.56% | 672.35% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.95% | 0.86% |
| Avg. Win | 3.43% | 2.44% |
| Avg. Loss | -4.02% | -2.76% |
| Win/Loss Ratio | 0.85 | 0.88 |
| Profit Ratio | 0.5 | 0.54 |
| Expected Daily | 0.85% | 0.81% |
| Expected Monthly | 0.85% | 0.81% |
| Expected Yearly | 10.59% | 10.07% |
| Kelly Criterion | 24.22% | 30.01% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.72% |
| Expected Shortfall (cVaR) | -8.96% | -5.26% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.26 |
| Gain/Pain (1M) | 0.76 | 1.26 |
| Payoff Ratio | 0.85 | 0.88 |
| Profit Factor | 1.76 | 2.26 |
| Common Sense Ratio | 1.85 | 3.02 |
| CPC Index | 0.98 | 1.34 |
| Tail Ratio | 1.05 | 1.33 |
| Outlier Win Ratio | 2.95 | 2.96 |
| Outlier Loss Ratio | 2.93 | 3.39 |
| MTD | -1.05% | -3.69% |
| 3M | 13.91% | 6.35% |
| 6M | 8.94% | 9.65% |
| YTD | 8.94% | 9.65% |
| 1Y | 20.92% | 21.87% |
| 3Y (ann.) | 18.77% | 13.51% |
| 5Y (ann.) | 12.51% | 5.87% |
| 10Y (ann.) | 15.13% | 7.2% |
| All-time (ann.) | 10.76% | 10.22% |
| Best Day | 12.7% | 10.18% |
| Worst Day | -16.52% | -8.53% |
| Best Month | 12.7% | 10.18% |
| Worst Month | -16.52% | -8.53% |
| Best Year | 38.05% | 46.12% |
| Worst Year | -36.79% | -19.59% |
| Avg. Drawdown | -6.27% | -3.55% |
| Avg. Drawdown Days | 122 | 106 |
| Recovery Factor | 7.49 | 15.23 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 12.02 |
| Avg. Up Month | 3.43% | 2.44% |
| Avg. Down Month | -4.02% | -2.76% |
| Win Days | 65.09% | 67.16% |
| Win Month | 65.09% | 67.16% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 94.12% |
| Beta | - | 0.29 |
| Alpha | - | 0.07 |
| Correlation | - | 44.69% |
| Treynor Ratio | - | 8599.72% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 30.82 | 3.54 | + |
| 1994 | 0.40 | -6.58 | -16.55 | - |
| 1995 | 38.05 | 22.05 | 0.58 | - |
| 1996 | 22.50 | 14.69 | 0.65 | - |
| 1997 | 33.48 | 8.11 | 0.24 | - |
| 1998 | 28.69 | 16.52 | 0.58 | - |
| 1999 | 20.39 | 46.12 | 2.26 | + |
| 2000 | -9.74 | 1.31 | -0.13 | + |
| 2001 | -11.76 | 7.10 | -0.60 | + |
| 2002 | -21.58 | 10.70 | -0.50 | + |
| 2003 | 28.18 | 22.57 | 0.80 | - |
| 2004 | 10.70 | 4.25 | 0.40 | - |
| 2005 | 4.83 | 15.80 | 3.27 | + |
| 2006 | 15.85 | 9.91 | 0.63 | - |
| 2007 | 5.15 | 18.05 | 3.51 | + |
| 2008 | -36.79 | 12.91 | -0.35 | + |
| 2009 | 26.35 | 10.88 | 0.41 | - |
| 2010 | 15.06 | 3.74 | 0.25 | - |
| 2011 | 1.89 | 5.77 | 3.04 | + |
| 2012 | 15.99 | 2.47 | 0.15 | - |
| 2013 | 32.31 | 14.14 | 0.44 | - |
| 2014 | 13.46 | 6.67 | 0.50 | - |
| 2015 | 1.23 | 0.52 | 0.42 | - |
| 2016 | 12.00 | 3.33 | 0.28 | - |
| 2017 | 21.71 | 18.51 | 0.85 | - |
| 2018 | -4.57 | 1.10 | -0.24 | + |
| 2019 | 31.22 | 5.40 | 0.17 | - |
| 2020 | 18.33 | 18.44 | 1.01 | + |
| 2021 | 28.73 | 2.72 | 0.09 | - |
| 2022 | -18.18 | -19.59 | 1.08 | - |
| 2023 | 26.18 | 14.36 | 0.55 | - |
| 2024 | 24.89 | 11.84 | 0.48 | - |
| 2025 | 17.72 | 16.47 | 0.93 | - |
| 2026 | 8.94 | 9.65 | 1.08 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-08-31 | -22.51 | 1067 |
| 2000-04-30 | 2001-07-31 | -12.63 | 458 |
| 2004-04-30 | 2005-01-31 | -8.75 | 277 |
| 1994-02-28 | 1995-04-30 | -8.66 | 427 |
| 2026-03-31 | 2026-04-30 | -8.53 | 31 |
| 1997-08-31 | 1998-03-31 | -8.25 | 213 |
| 1998-08-31 | 1998-11-30 | -7.20 | 92 |
| 2010-05-31 | 2010-12-31 | -6.80 | 215 |
| 2018-02-28 | 2019-07-31 | -6.79 | 519 |
| 1999-02-28 | 1999-02-28 | -5.52 | 1 |