| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,357.45% |
| CAGR﹪ | 10.76% | 8.33% |
| Sharpe | 0.77 | 1.24 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.17 |
| Sortino | 1.18 | 2.36 |
| Smart Sortino | 1.12 | 2.23 |
| Sortino/√2 | 0.84 | 1.67 |
| Smart Sortino/√2 | 0.79 | 1.58 |
| Omega | 1.76 | 2.57 |
| Max Drawdown | -50.78% | -8.33% |
| Max DD Date | 2009-02-28 | 2009-06-30 |
| Max DD Period Start | 2007-11-30 | 2009-01-31 |
| Max DD Period End | 2012-02-29 | 2010-03-31 |
| Longest DD Days | 2223 | 793 |
| Volatility (ann.) | 14.76% | 6.66% |
| R^2 | 0.08 | 0.08 |
| Information Ratio | -0.06 | -0.06 |
| Calmar | 0.21 | 1.0 |
| Skew | -0.55 | 0.09 |
| Kurtosis | 0.98 | 1.11 |
| Ulcer Performance Index | 211.25 | 551.25 |
| Risk-Adjusted Return | 754.56% | 436.31% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 0.69% |
| Avg. Win | 3.34% | 1.69% |
| Avg. Loss | -3.74% | -1.69% |
| Win/Loss Ratio | 0.89 | 1.0 |
| Profit Ratio | 0.5 | 0.57 |
| Expected Daily | 0.85% | 0.67% |
| Expected Monthly | 0.85% | 0.67% |
| Expected Yearly | 10.59% | 8.2% |
| Kelly Criterion | 26.01% | 35.77% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.48% |
| Expected Shortfall (cVaR) | -8.96% | -3.59% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 3 |
| Gain/Pain Ratio | 0.76 | 1.57 |
| Gain/Pain (1M) | 0.76 | 1.57 |
| Payoff Ratio | 0.89 | 1.0 |
| Profit Factor | 1.76 | 2.57 |
| Common Sense Ratio | 1.85 | 4.12 |
| CPC Index | 1.02 | 1.74 |
| Tail Ratio | 1.05 | 1.6 |
| Outlier Win Ratio | 2.95 | 3.52 |
| Outlier Loss Ratio | 2.93 | 3.01 |
| MTD | -1.05% | -0.56% |
| 3M | 13.91% | -0.68% |
| 6M | 8.94% | 6.62% |
| YTD | 8.94% | 6.62% |
| 1Y | 20.92% | 17.69% |
| 3Y (ann.) | 18.77% | 11.02% |
| 5Y (ann.) | 12.51% | 6.77% |
| 10Y (ann.) | 15.13% | 6.78% |
| All-time (ann.) | 10.76% | 8.33% |
| Best Day | 12.7% | 7.75% |
| Worst Day | -16.52% | -6.3% |
| Best Month | 12.7% | 7.75% |
| Worst Month | -16.52% | -6.3% |
| Best Year | 38.05% | 21.47% |
| Worst Year | -36.79% | -3.11% |
| Avg. Drawdown | -6.27% | -2.45% |
| Avg. Drawdown Days | 122 | 112 |
| Recovery Factor | 7.49 | 33.15 |
| Ulcer Index | 0.14 | 0.02 |
| Serenity Index | 3.21 | 37.19 |
| Avg. Up Month | 3.34% | 1.69% |
| Avg. Down Month | -3.74% | -1.69% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.13 |
| Alpha | - | 0.07 |
| Correlation | - | 28.11% |
| Treynor Ratio | - | 10696.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.16 | 1.28 | + |
| 1994 | 0.40 | -3.11 | -7.82 | - |
| 1995 | 38.05 | 12.38 | 0.33 | - |
| 1996 | 22.50 | 14.98 | 0.67 | - |
| 1997 | 33.48 | 10.26 | 0.31 | - |
| 1998 | 28.69 | 7.45 | 0.26 | - |
| 1999 | 20.39 | 1.91 | 0.09 | - |
| 2000 | -9.74 | 10.35 | -1.06 | + |
| 2001 | -11.76 | 2.56 | -0.22 | + |
| 2002 | -21.58 | 13.79 | -0.64 | + |
| 2003 | 28.18 | 17.58 | 0.62 | - |
| 2004 | 10.70 | 11.15 | 1.04 | + |
| 2005 | 4.83 | 7.19 | 1.49 | + |
| 2006 | 15.85 | 16.99 | 1.07 | + |
| 2007 | 5.15 | 18.40 | 3.58 | + |
| 2008 | -36.79 | 21.47 | -0.58 | + |
| 2009 | 26.35 | -0.72 | -0.03 | - |
| 2010 | 15.06 | 12.89 | 0.86 | - |
| 2011 | 1.89 | 8.46 | 4.47 | + |
| 2012 | 15.99 | 8.26 | 0.52 | - |
| 2013 | 32.31 | 6.41 | 0.20 | - |
| 2014 | 13.46 | 3.15 | 0.23 | - |
| 2015 | 1.23 | -2.72 | -2.20 | - |
| 2016 | 12.00 | 3.07 | 0.26 | - |
| 2017 | 21.71 | 10.95 | 0.50 | - |
| 2018 | -4.57 | -2.36 | 0.52 | + |
| 2019 | 31.22 | 11.24 | 0.36 | - |
| 2020 | 18.33 | 3.37 | 0.18 | - |
| 2021 | 28.73 | 16.10 | 0.56 | - |
| 2022 | -18.18 | -2.88 | 0.16 | + |
| 2023 | 26.18 | -0.03 | -0.00 | - |
| 2024 | 24.89 | 10.82 | 0.43 | - |
| 2025 | 17.72 | 18.92 | 1.07 | + |
| 2026 | 8.94 | 6.62 | 0.74 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2009-01-31 | 2010-03-31 | -8.33 | 425 |
| 2004-04-30 | 2004-10-31 | -6.87 | 185 |
| 2018-02-28 | 2019-07-31 | -6.51 | 519 |
| 2010-05-31 | 2010-08-31 | -6.30 | 93 |
| 1993-11-30 | 1995-05-31 | -5.91 | 548 |
| 2015-02-28 | 2017-04-30 | -5.88 | 793 |
| 2022-01-31 | 2024-02-29 | -5.35 | 760 |
| 2020-01-31 | 2020-05-31 | -5.29 | 122 |
| 2013-05-31 | 2014-03-31 | -4.85 | 305 |
| 2005-01-31 | 2005-06-30 | -4.53 | 151 |