| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,336.88% |
| CAGR﹪ | 10.76% | 10.0% |
| Sharpe | 0.77 | 0.89 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.83 |
| Sortino | 1.18 | 1.48 |
| Smart Sortino | 1.11 | 1.39 |
| Sortino/√2 | 0.84 | 1.05 |
| Smart Sortino/√2 | 0.79 | 0.98 |
| Omega | 1.76 | 2.06 |
| Max Drawdown | -50.78% | -17.97% |
| Max DD Date | 2009-02-28 | 1998-08-31 |
| Max DD Period Start | 2007-11-30 | 1998-07-31 |
| Max DD Period End | 2012-02-29 | 1999-02-28 |
| Longest DD Days | 2223 | 1186 |
| Volatility (ann.) | 14.76% | 11.56% |
| R^2 | 0.36 | 0.36 |
| Information Ratio | -0.03 | -0.03 |
| Calmar | 0.21 | 0.56 |
| Skew | -0.55 | -0.32 |
| Kurtosis | 0.98 | 2.26 |
| Ulcer Performance Index | 211.25 | 405.72 |
| Risk-Adjusted Return | 754.56% | 640.22% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.95% | 0.85% |
| Avg. Win | 3.58% | 2.77% |
| Avg. Loss | -3.39% | -3.2% |
| Win/Loss Ratio | 1.05 | 0.86 |
| Profit Ratio | 0.5 | 0.38 |
| Expected Daily | 0.85% | 0.8% |
| Expected Monthly | 0.85% | 0.8% |
| Expected Yearly | 10.59% | 9.85% |
| Kelly Criterion | 31.96% | 35.06% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -4.64% |
| Expected Shortfall (cVaR) | -8.96% | -6.83% |
| Max Consecutive Wins | 15 | 22 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.06 |
| Gain/Pain (1M) | 0.76 | 1.06 |
| Payoff Ratio | 1.05 | 0.86 |
| Profit Factor | 1.76 | 2.06 |
| Common Sense Ratio | 1.85 | 2.73 |
| CPC Index | 1.21 | 1.25 |
| Tail Ratio | 1.05 | 1.33 |
| Outlier Win Ratio | 2.95 | 3.7 |
| Outlier Loss Ratio | 2.93 | 3.09 |
| MTD | -1.05% | -2.21% |
| 3M | 13.91% | 2.82% |
| 6M | 8.94% | 11.91% |
| YTD | 8.94% | 11.91% |
| 1Y | 20.92% | 17.41% |
| 3Y (ann.) | 18.77% | 10.97% |
| 5Y (ann.) | 12.51% | 8.14% |
| 10Y (ann.) | 15.13% | 8.4% |
| All-time (ann.) | 10.76% | 10.0% |
| Best Day | 12.7% | 11.33% |
| Worst Day | -16.52% | -16.99% |
| Best Month | 12.7% | 11.33% |
| Worst Month | -16.52% | -16.99% |
| Best Year | 38.05% | 41.85% |
| Worst Year | -36.79% | -6.84% |
| Avg. Drawdown | -6.27% | -4.49% |
| Avg. Drawdown Days | 122 | 128 |
| Recovery Factor | 7.49 | 19.08 |
| Ulcer Index | 0.14 | 0.06 |
| Serenity Index | 3.21 | 14.5 |
| Avg. Up Month | 3.58% | 2.77% |
| Avg. Down Month | -3.39% | -3.2% |
| Win Days | 65.09% | 69.9% |
| Win Month | 65.09% | 69.9% |
| Win Quarter | 73.33% | 71.85% |
| Win Year | 82.35% | 82.35% |
| Beta | - | 0.47 |
| Alpha | - | 0.05 |
| Correlation | - | 60.13% |
| Treynor Ratio | - | 4962.43% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 9.36 | 1.07 | + |
| 1994 | 0.40 | 8.54 | 21.49 | + |
| 1995 | 38.05 | 41.85 | 1.10 | + |
| 1996 | 22.50 | 16.03 | 0.71 | - |
| 1997 | 33.48 | 20.95 | 0.63 | - |
| 1998 | 28.69 | 6.56 | 0.23 | - |
| 1999 | 20.39 | 22.66 | 1.11 | + |
| 2000 | -9.74 | -5.84 | 0.60 | + |
| 2001 | -11.76 | 3.32 | -0.28 | + |
| 2002 | -21.58 | -1.37 | 0.06 | + |
| 2003 | 28.18 | 18.77 | 0.67 | - |
| 2004 | 10.70 | 13.01 | 1.22 | + |
| 2005 | 4.83 | 19.15 | 3.97 | + |
| 2006 | 15.85 | 14.37 | 0.91 | - |
| 2007 | 5.15 | 10.49 | 2.04 | + |
| 2008 | -36.79 | 1.29 | -0.03 | + |
| 2009 | 26.35 | 23.30 | 0.88 | - |
| 2010 | 15.06 | 5.15 | 0.34 | - |
| 2011 | 1.89 | -2.75 | -1.45 | - |
| 2012 | 15.99 | 3.36 | 0.21 | - |
| 2013 | 32.31 | 40.26 | 1.25 | + |
| 2014 | 13.46 | 4.19 | 0.31 | - |
| 2015 | 1.23 | -6.84 | -5.54 | - |
| 2016 | 12.00 | 0.56 | 0.05 | - |
| 2017 | 21.71 | 12.99 | 0.60 | - |
| 2018 | -4.57 | -4.24 | 0.93 | + |
| 2019 | 31.22 | 8.34 | 0.27 | - |
| 2020 | 18.33 | 17.49 | 0.95 | - |
| 2021 | 28.73 | 15.40 | 0.54 | - |
| 2022 | -18.18 | -2.49 | 0.14 | + |
| 2023 | 26.18 | 0.45 | 0.02 | - |
| 2024 | 24.89 | 20.55 | 0.83 | - |
| 2025 | 17.72 | 7.22 | 0.41 | - |
| 2026 | 8.94 | 11.91 | 1.33 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1998-07-31 | 1999-02-28 | -17.97 | 213 |
| 2010-05-31 | 2011-03-31 | -17.31 | 305 |
| 2018-10-31 | 2020-10-31 | -15.65 | 732 |
| 2015-02-28 | 2017-10-31 | -15.15 | 977 |
| 2011-05-31 | 2013-02-28 | -12.86 | 640 |
| 2023-08-31 | 2024-02-29 | -10.99 | 183 |
| 2022-03-31 | 2023-06-30 | -9.68 | 457 |
| 2000-01-31 | 2003-04-30 | -9.48 | 1186 |
| 2021-06-30 | 2021-09-30 | -6.72 | 93 |
| 2005-10-31 | 2005-12-31 | -6.00 | 62 |