| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,176.32% |
| CAGR﹪ | 10.76% | 10.98% |
| Sharpe | 0.77 | 1.14 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 1.12 |
| Sortino | 1.18 | 2.09 |
| Smart Sortino | 1.16 | 2.05 |
| Sortino/√2 | 0.84 | 1.48 |
| Smart Sortino/√2 | 0.82 | 1.45 |
| Omega | 1.76 | 2.32 |
| Max Drawdown | -50.78% | -31.8% |
| Max DD Date | 2009-02-28 | 2002-09-30 |
| Max DD Period Start | 2007-11-30 | 2000-09-30 |
| Max DD Period End | 2012-02-29 | 2004-02-29 |
| Longest DD Days | 2223 | 1248 |
| Volatility (ann.) | 14.76% | 9.61% |
| R^2 | 0.47 | 0.47 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.35 |
| Skew | -0.55 | 0.02 |
| Kurtosis | 0.98 | 0.54 |
| Ulcer Performance Index | 211.25 | 468.83 |
| Risk-Adjusted Return | 754.56% | 791.13% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.92% |
| Avg. Win | 3.61% | 2.61% |
| Avg. Loss | -4.38% | -2.37% |
| Win/Loss Ratio | 0.82 | 1.1 |
| Profit Ratio | 0.5 | 0.62 |
| Expected Daily | 0.85% | 0.87% |
| Expected Monthly | 0.85% | 0.87% |
| Expected Yearly | 10.59% | 10.81% |
| Kelly Criterion | 22.75% | 34.96% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.65% |
| Expected Shortfall (cVaR) | -8.96% | -5.11% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.32 |
| Gain/Pain (1M) | 0.76 | 1.32 |
| Payoff Ratio | 0.82 | 1.1 |
| Profit Factor | 1.76 | 2.32 |
| Common Sense Ratio | 1.85 | 3.57 |
| CPC Index | 0.94 | 1.68 |
| Tail Ratio | 1.05 | 1.54 |
| Outlier Win Ratio | 2.95 | 3.48 |
| Outlier Loss Ratio | 2.93 | 2.57 |
| MTD | -1.05% | 0.89% |
| 3M | 13.91% | 7.5% |
| 6M | 8.94% | 9.7% |
| YTD | 8.94% | 9.7% |
| 1Y | 20.92% | 22.03% |
| 3Y (ann.) | 18.77% | 14.62% |
| 5Y (ann.) | 12.51% | 11.58% |
| 10Y (ann.) | 15.13% | 11.21% |
| All-time (ann.) | 10.76% | 10.98% |
| Best Day | 12.7% | 9.17% |
| Worst Day | -16.52% | -8.95% |
| Best Month | 12.7% | 9.17% |
| Worst Month | -16.52% | -8.95% |
| Best Year | 38.05% | 38.2% |
| Worst Year | -36.79% | -13.44% |
| Avg. Drawdown | -6.27% | -3.48% |
| Avg. Drawdown Days | 122 | 91 |
| Recovery Factor | 7.49 | 11.5 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 7.43 |
| Avg. Up Month | 3.61% | 2.61% |
| Avg. Down Month | -4.38% | -2.37% |
| Win Days | 65.09% | 65.92% |
| Win Month | 65.09% | 65.92% |
| Win Quarter | 73.33% | 78.52% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.45 |
| Alpha | - | 0.06 |
| Correlation | - | 68.67% |
| Treynor Ratio | - | 7103.61% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 12.08 | 1.39 | + |
| 1994 | 0.40 | 10.86 | 27.33 | + |
| 1995 | 38.05 | 25.68 | 0.67 | - |
| 1996 | 22.50 | 22.71 | 1.01 | + |
| 1997 | 33.48 | 11.89 | 0.36 | - |
| 1998 | 28.69 | 38.20 | 1.33 | + |
| 1999 | 20.39 | 22.03 | 1.08 | + |
| 2000 | -9.74 | 4.74 | -0.49 | + |
| 2001 | -11.76 | -6.46 | 0.55 | + |
| 2002 | -21.58 | -13.44 | 0.62 | + |
| 2003 | 28.18 | 25.30 | 0.90 | - |
| 2004 | 10.70 | 9.65 | 0.90 | - |
| 2005 | 4.83 | 9.23 | 1.91 | + |
| 2006 | 15.85 | 9.56 | 0.60 | - |
| 2007 | 5.15 | 13.75 | 2.67 | + |
| 2008 | -36.79 | -8.38 | 0.23 | + |
| 2009 | 26.35 | 18.69 | 0.71 | - |
| 2010 | 15.06 | 15.67 | 1.04 | + |
| 2011 | 1.89 | 5.43 | 2.87 | + |
| 2012 | 15.99 | 4.73 | 0.30 | - |
| 2013 | 32.31 | 10.56 | 0.33 | - |
| 2014 | 13.46 | 15.12 | 1.12 | + |
| 2015 | 1.23 | 5.41 | 4.38 | + |
| 2016 | 12.00 | 4.14 | 0.34 | - |
| 2017 | 21.71 | 9.48 | 0.44 | - |
| 2018 | -4.57 | -1.76 | 0.39 | + |
| 2019 | 31.22 | 16.43 | 0.53 | - |
| 2020 | 18.33 | 23.02 | 1.26 | + |
| 2021 | 28.73 | 15.12 | 0.53 | - |
| 2022 | -18.18 | -4.70 | 0.26 | + |
| 2023 | 26.18 | 17.53 | 0.67 | - |
| 2024 | 24.89 | 15.52 | 0.62 | - |
| 2025 | 17.72 | 16.98 | 0.96 | - |
| 2026 | 8.94 | 9.70 | 1.09 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-09-30 | 2004-02-29 | -31.80 | 1248 |
| 2008-06-30 | 2009-08-31 | -16.26 | 428 |
| 2004-04-30 | 2004-10-31 | -11.68 | 185 |
| 2022-04-30 | 2023-04-30 | -8.38 | 366 |
| 2010-05-31 | 2010-09-30 | -6.83 | 123 |
| 2018-10-31 | 2019-03-31 | -6.62 | 152 |
| 2011-08-31 | 2011-12-31 | -6.26 | 123 |
| 2006-05-31 | 2006-10-31 | -5.54 | 154 |
| 2004-12-31 | 2005-06-30 | -5.51 | 182 |
| 2000-03-31 | 2000-07-31 | -5.47 | 123 |