| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,552.58% |
| CAGR﹪ | 10.76% | 8.73% |
| Sharpe | 0.77 | 0.76 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.75 |
| Sortino | 1.18 | 1.23 |
| Smart Sortino | 1.17 | 1.21 |
| Sortino/√2 | 0.84 | 0.87 |
| Smart Sortino/√2 | 0.82 | 0.86 |
| Omega | 1.76 | 1.82 |
| Max Drawdown | -50.78% | -29.36% |
| Max DD Date | 2009-02-28 | 2000-09-30 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2003-07-31 |
| Longest DD Days | 2223 | 1188 |
| Volatility (ann.) | 14.76% | 12.0% |
| R^2 | 0.16 | 0.16 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.3 |
| Skew | -0.55 | -0.18 |
| Kurtosis | 0.98 | 2.27 |
| Ulcer Performance Index | 211.25 | 187.23 |
| Risk-Adjusted Return | 754.56% | 480.26% |
| Risk-Return Ratio | 0.22 | 0.22 |
| Avg. Return | 0.95% | 0.77% |
| Avg. Win | 3.56% | 2.85% |
| Avg. Loss | -3.71% | -3.47% |
| Win/Loss Ratio | 0.96 | 0.82 |
| Profit Ratio | 0.5 | 0.62 |
| Expected Daily | 0.85% | 0.7% |
| Expected Monthly | 0.85% | 0.7% |
| Expected Yearly | 10.59% | 8.6% |
| Kelly Criterion | 28.66% | 18.32% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.94% |
| Expected Shortfall (cVaR) | -8.96% | -7.62% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 0.82 |
| Gain/Pain (1M) | 0.76 | 0.82 |
| Payoff Ratio | 0.96 | 0.82 |
| Profit Factor | 1.76 | 1.82 |
| Common Sense Ratio | 1.85 | 2.39 |
| CPC Index | 1.1 | 0.94 |
| Tail Ratio | 1.05 | 1.32 |
| Outlier Win Ratio | 2.95 | 3.64 |
| Outlier Loss Ratio | 2.93 | 3.08 |
| MTD | -1.05% | -5.54% |
| 3M | 13.91% | 8.06% |
| 6M | 8.94% | 8.73% |
| YTD | 8.94% | 8.73% |
| 1Y | 20.92% | 19.17% |
| 3Y (ann.) | 18.77% | 7.94% |
| 5Y (ann.) | 12.51% | 3.5% |
| 10Y (ann.) | 15.13% | 6.64% |
| All-time (ann.) | 10.76% | 8.73% |
| Best Day | 12.7% | 14.37% |
| Worst Day | -16.52% | -13.92% |
| Best Month | 12.7% | 14.37% |
| Worst Month | -16.52% | -13.92% |
| Best Year | 38.05% | 52.66% |
| Worst Year | -36.79% | -23.86% |
| Avg. Drawdown | -6.27% | -5.42% |
| Avg. Drawdown Days | 122 | 162 |
| Recovery Factor | 7.49 | 10.41 |
| Ulcer Index | 0.14 | 0.08 |
| Serenity Index | 3.21 | 6.03 |
| Avg. Up Month | 3.56% | 2.85% |
| Avg. Down Month | -3.71% | -3.47% |
| Win Days | 65.09% | 63.18% |
| Win Month | 65.09% | 63.18% |
| Win Quarter | 73.33% | 72.59% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.32 |
| Alpha | - | 0.05 |
| Correlation | - | 39.96% |
| Treynor Ratio | - | 4778.31% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 52.66 | 6.05 | + |
| 1994 | 0.40 | -5.02 | -12.65 | - |
| 1995 | 38.05 | 24.37 | 0.64 | - |
| 1996 | 22.50 | 8.24 | 0.37 | - |
| 1997 | 33.48 | 8.10 | 0.24 | - |
| 1998 | 28.69 | 29.96 | 1.04 | + |
| 1999 | 20.39 | 28.62 | 1.40 | + |
| 2000 | -9.74 | -23.86 | 2.45 | - |
| 2001 | -11.76 | 7.07 | -0.60 | + |
| 2002 | -21.58 | 13.71 | -0.64 | + |
| 2003 | 28.18 | 27.91 | 0.99 | - |
| 2004 | 10.70 | 2.60 | 0.24 | - |
| 2005 | 4.83 | 17.47 | 3.62 | + |
| 2006 | 15.85 | 2.67 | 0.17 | - |
| 2007 | 5.15 | -3.28 | -0.64 | - |
| 2008 | -36.79 | 12.09 | -0.33 | + |
| 2009 | 26.35 | 13.20 | 0.50 | - |
| 2010 | 15.06 | 0.75 | 0.05 | - |
| 2011 | 1.89 | 7.61 | 4.01 | + |
| 2012 | 15.99 | 3.21 | 0.20 | - |
| 2013 | 32.31 | 12.12 | 0.38 | - |
| 2014 | 13.46 | 7.74 | 0.57 | - |
| 2015 | 1.23 | -1.91 | -1.55 | - |
| 2016 | 12.00 | -5.39 | -0.45 | - |
| 2017 | 21.71 | 20.16 | 0.93 | - |
| 2018 | -4.57 | -1.65 | 0.36 | + |
| 2019 | 31.22 | 9.69 | 0.31 | - |
| 2020 | 18.33 | 23.94 | 1.31 | + |
| 2021 | 28.73 | 13.79 | 0.48 | - |
| 2022 | -18.18 | -20.66 | 1.14 | - |
| 2023 | 26.18 | 16.78 | 0.64 | - |
| 2024 | 24.89 | 3.91 | 0.16 | - |
| 2025 | 17.72 | 8.44 | 0.48 | - |
| 2026 | 8.94 | 8.73 | 0.98 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2003-07-31 | -29.36 | 1188 |
| 2022-01-31 | 2024-05-31 | -21.68 | 852 |
| 2007-11-30 | 2009-06-30 | -13.03 | 579 |
| 2004-04-30 | 2005-01-31 | -12.14 | 277 |
| 2006-05-31 | 2007-09-30 | -11.87 | 488 |
| 2015-06-30 | 2017-06-30 | -10.64 | 732 |
| 2026-03-31 | 2026-04-30 | -10.57 | 31 |
| 2024-07-31 | 2025-08-31 | -10.30 | 397 |
| 1997-08-31 | 1998-05-31 | -9.24 | 274 |
| 2018-02-28 | 2019-07-31 | -9.20 | 519 |