| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 4,853.39% |
| CAGR﹪ | 10.76% | 12.36% |
| Sharpe | 0.77 | 1.05 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.99 |
| Sortino | 1.18 | 1.87 |
| Smart Sortino | 1.12 | 1.77 |
| Sortino/√2 | 0.84 | 1.32 |
| Smart Sortino/√2 | 0.79 | 1.25 |
| Omega | 1.76 | 2.28 |
| Max Drawdown | -50.78% | -22.97% |
| 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 | 2024-05-31 |
| Longest DD Days | 2223 | 975 |
| Volatility (ann.) | 14.76% | 11.85% |
| R^2 | 0.18 | 0.18 |
| Information Ratio | 0.02 | 0.02 |
| Calmar | 0.21 | 0.54 |
| Skew | -0.55 | 0.1 |
| Kurtosis | 0.98 | 1.92 |
| Ulcer Performance Index | 211.25 | 876.64 |
| Risk-Adjusted Return | 754.56% | 1054.72% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 1.04% |
| Avg. Win | 3.41% | 3.0% |
| Avg. Loss | -3.95% | -3.2% |
| Win/Loss Ratio | 0.86 | 0.94 |
| Profit Ratio | 0.5 | 0.65 |
| Expected Daily | 0.85% | 0.98% |
| Expected Monthly | 0.85% | 0.98% |
| Expected Yearly | 10.59% | 12.16% |
| Kelly Criterion | 24.62% | 27.94% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.59% |
| Expected Shortfall (cVaR) | -8.96% | -6.54% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.28 |
| Gain/Pain (1M) | 0.76 | 1.28 |
| Payoff Ratio | 0.86 | 0.94 |
| Profit Factor | 1.76 | 2.28 |
| Common Sense Ratio | 1.85 | 3.24 |
| CPC Index | 0.99 | 1.39 |
| Tail Ratio | 1.05 | 1.42 |
| Outlier Win Ratio | 2.95 | 3.78 |
| Outlier Loss Ratio | 2.93 | 3.64 |
| MTD | -1.05% | -4.76% |
| 3M | 13.91% | 6.03% |
| 6M | 8.94% | 9.1% |
| YTD | 8.94% | 9.1% |
| 1Y | 20.92% | 20.41% |
| 3Y (ann.) | 18.77% | 13.69% |
| 5Y (ann.) | 12.51% | 6.11% |
| 10Y (ann.) | 15.13% | 8.1% |
| All-time (ann.) | 10.76% | 12.36% |
| Best Day | 12.7% | 15.5% |
| Worst Day | -16.52% | -10.97% |
| Best Month | 12.7% | 15.5% |
| Worst Month | -16.52% | -10.97% |
| Best Year | 38.05% | 56.0% |
| Worst Year | -36.79% | -19.9% |
| Avg. Drawdown | -6.27% | -4.22% |
| Avg. Drawdown Days | 122 | 107 |
| Recovery Factor | 7.49 | 18.09 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 16.39 |
| Avg. Up Month | 3.41% | 3.0% |
| Avg. Down Month | -3.95% | -3.2% |
| Win Days | 65.09% | 65.17% |
| Win Month | 65.09% | 65.17% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.34 |
| Alpha | - | 0.08 |
| Correlation | - | 42.8% |
| Treynor Ratio | - | 14130.44% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 56.00 | 6.43 | + |
| 1994 | 0.40 | -9.81 | -24.69 | - |
| 1995 | 38.05 | 26.42 | 0.69 | - |
| 1996 | 22.50 | 18.57 | 0.83 | - |
| 1997 | 33.48 | 11.56 | 0.35 | - |
| 1998 | 28.69 | 21.02 | 0.73 | - |
| 1999 | 20.39 | 48.94 | 2.40 | + |
| 2000 | -9.74 | -1.49 | 0.15 | + |
| 2001 | -11.76 | 7.52 | -0.64 | + |
| 2002 | -21.58 | 13.73 | -0.64 | + |
| 2003 | 28.18 | 25.47 | 0.90 | - |
| 2004 | 10.70 | 9.85 | 0.92 | - |
| 2005 | 4.83 | 21.08 | 4.37 | + |
| 2006 | 15.85 | 13.71 | 0.87 | - |
| 2007 | 5.15 | 24.02 | 4.67 | + |
| 2008 | -36.79 | 12.40 | -0.34 | + |
| 2009 | 26.35 | 12.17 | 0.46 | - |
| 2010 | 15.06 | 3.25 | 0.22 | - |
| 2011 | 1.89 | 8.63 | 4.55 | + |
| 2012 | 15.99 | 0.88 | 0.06 | - |
| 2013 | 32.31 | 17.22 | 0.53 | - |
| 2014 | 13.46 | 12.47 | 0.93 | - |
| 2015 | 1.23 | -1.45 | -1.18 | - |
| 2016 | 12.00 | 1.07 | 0.09 | - |
| 2017 | 21.71 | 20.33 | 0.94 | - |
| 2018 | -4.57 | 1.71 | -0.37 | + |
| 2019 | 31.22 | 4.54 | 0.15 | - |
| 2020 | 18.33 | 23.12 | 1.26 | + |
| 2021 | 28.73 | 5.33 | 0.19 | - |
| 2022 | -18.18 | -19.90 | 1.09 | - |
| 2023 | 26.18 | 16.25 | 0.62 | - |
| 2024 | 24.89 | 14.36 | 0.58 | - |
| 2025 | 17.72 | 14.12 | 0.80 | - |
| 2026 | 8.94 | 9.10 | 1.02 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-09-30 | 2024-05-31 | -22.97 | 975 |
| 2000-04-30 | 2001-09-30 | -16.05 | 519 |
| 1994-01-31 | 1995-04-30 | -11.27 | 455 |
| 1998-08-31 | 1998-11-30 | -10.97 | 92 |
| 2004-04-30 | 2004-11-30 | -9.23 | 215 |
| 2026-03-31 | 2026-04-30 | -8.59 | 31 |
| 1999-02-28 | 1999-05-31 | -8.53 | 93 |
| 2007-11-30 | 2008-10-31 | -7.61 | 337 |
| 2015-06-30 | 2017-01-31 | -7.03 | 582 |
| 2010-05-31 | 2010-12-31 | -6.83 | 215 |