| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,601.11% |
| CAGR﹪ | 10.76% | 8.83% |
| Sharpe | 0.77 | 1.15 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.08 |
| Sortino | 1.18 | 1.97 |
| Smart Sortino | 1.11 | 1.84 |
| Sortino/√2 | 0.84 | 1.4 |
| Smart Sortino/√2 | 0.78 | 1.3 |
| Omega | 1.76 | 2.33 |
| Max Drawdown | -50.78% | -12.41% |
| Max DD Date | 2009-02-28 | 2020-03-31 |
| Max DD Period Start | 2007-11-30 | 2018-02-28 |
| Max DD Period End | 2012-02-29 | 2020-11-30 |
| Longest DD Days | 2223 | 1007 |
| Volatility (ann.) | 14.76% | 7.61% |
| R^2 | 0.25 | 0.25 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 0.71 |
| Skew | -0.55 | -0.38 |
| Kurtosis | 0.98 | 0.63 |
| Ulcer Performance Index | 211.25 | 433.46 |
| Risk-Adjusted Return | 754.56% | 490.89% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.74% |
| Avg. Win | 3.41% | 2.0% |
| Avg. Loss | -4.07% | -2.05% |
| Win/Loss Ratio | 0.84 | 0.97 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.71% |
| Expected Monthly | 0.85% | 0.71% |
| Expected Yearly | 10.59% | 8.69% |
| Kelly Criterion | 23.39% | 34.95% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.88% |
| Expected Shortfall (cVaR) | -8.96% | -3.96% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.33 |
| Gain/Pain (1M) | 0.76 | 1.33 |
| Payoff Ratio | 0.84 | 0.97 |
| Profit Factor | 1.76 | 2.33 |
| Common Sense Ratio | 1.85 | 2.8 |
| CPC Index | 0.96 | 1.54 |
| Tail Ratio | 1.05 | 1.2 |
| Outlier Win Ratio | 2.95 | 2.99 |
| Outlier Loss Ratio | 2.93 | 2.77 |
| MTD | -1.05% | 0.19% |
| 3M | 13.91% | 5.91% |
| 6M | 8.94% | 10.14% |
| YTD | 8.94% | 10.14% |
| 1Y | 20.92% | 20.63% |
| 3Y (ann.) | 18.77% | 10.98% |
| 5Y (ann.) | 12.51% | 6.77% |
| 10Y (ann.) | 15.13% | 6.62% |
| All-time (ann.) | 10.76% | 8.83% |
| Best Day | 12.7% | 6.84% |
| Worst Day | -16.52% | -7.22% |
| Best Month | 12.7% | 6.84% |
| Worst Month | -16.52% | -7.22% |
| Best Year | 38.05% | 28.07% |
| Worst Year | -36.79% | -9.4% |
| Avg. Drawdown | -6.27% | -2.92% |
| Avg. Drawdown Days | 122 | 92 |
| Recovery Factor | 7.49 | 23.7 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 19.71 |
| Avg. Up Month | 3.41% | 2.0% |
| Avg. Down Month | -4.07% | -2.05% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.26 |
| Alpha | - | 0.06 |
| Correlation | - | 49.92% |
| Treynor Ratio | - | 6224.91% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 19.78 | 2.27 | + |
| 1994 | 0.40 | -2.83 | -7.13 | - |
| 1995 | 38.05 | 14.16 | 0.37 | - |
| 1996 | 22.50 | 10.72 | 0.48 | - |
| 1997 | 33.48 | 15.53 | 0.46 | - |
| 1998 | 28.69 | 7.90 | 0.28 | - |
| 1999 | 20.39 | 8.59 | 0.42 | - |
| 2000 | -9.74 | 9.91 | -1.02 | + |
| 2001 | -11.76 | 3.83 | -0.33 | + |
| 2002 | -21.58 | 5.15 | -0.24 | + |
| 2003 | 28.18 | 28.07 | 1.00 | - |
| 2004 | 10.70 | 10.95 | 1.02 | + |
| 2005 | 4.83 | 5.53 | 1.15 | + |
| 2006 | 15.85 | 16.02 | 1.01 | + |
| 2007 | 5.15 | 17.56 | 3.41 | + |
| 2008 | -36.79 | 3.72 | -0.10 | + |
| 2009 | 26.35 | 6.50 | 0.25 | - |
| 2010 | 15.06 | 9.38 | 0.62 | - |
| 2011 | 1.89 | 11.30 | 5.96 | + |
| 2012 | 15.99 | 8.96 | 0.56 | - |
| 2013 | 32.31 | 10.52 | 0.33 | - |
| 2014 | 13.46 | 9.37 | 0.70 | - |
| 2015 | 1.23 | -6.83 | -5.53 | - |
| 2016 | 12.00 | 11.43 | 0.95 | - |
| 2017 | 21.71 | 16.90 | 0.78 | - |
| 2018 | -4.57 | -6.77 | 1.48 | - |
| 2019 | 31.22 | 7.69 | 0.25 | - |
| 2020 | 18.33 | 4.34 | 0.24 | - |
| 2021 | 28.73 | 15.80 | 0.55 | - |
| 2022 | -18.18 | -9.40 | 0.52 | + |
| 2023 | 26.18 | 8.61 | 0.33 | - |
| 2024 | 24.89 | 6.07 | 0.24 | - |
| 2025 | 17.72 | 16.11 | 0.91 | - |
| 2026 | 8.94 | 10.14 | 1.14 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-02-28 | 2020-11-30 | -12.41 | 1007 |
| 1994-02-28 | 1995-08-31 | -11.19 | 550 |
| 2022-01-31 | 2024-02-29 | -10.75 | 760 |
| 2015-02-28 | 2016-06-30 | -10.20 | 489 |
| 2008-03-31 | 2008-11-30 | -9.99 | 245 |
| 2004-04-30 | 2004-10-31 | -7.63 | 185 |
| 1998-08-31 | 1998-12-31 | -6.14 | 123 |
| 2009-01-31 | 2009-07-31 | -5.68 | 182 |
| 2026-03-31 | 2026-04-30 | -4.75 | 31 |
| 2001-11-30 | 2002-08-31 | -4.47 | 275 |