| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,009.47% |
| CAGR﹪ | 10.76% | 10.8% |
| Sharpe | 0.77 | 0.88 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.7 | 0.81 |
| Sortino | 1.18 | 1.51 |
| Smart Sortino | 1.08 | 1.38 |
| Sortino/√2 | 0.84 | 1.07 |
| Smart Sortino/√2 | 0.77 | 0.98 |
| Omega | 1.76 | 1.92 |
| Max Drawdown | -50.78% | -30.23% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2021-11-30 |
| Max DD Period End | 2012-02-29 | 2024-08-31 |
| Longest DD Days | 2223 | 1038 |
| Volatility (ann.) | 14.76% | 12.61% |
| R^2 | 0.17 | 0.17 |
| Information Ratio | -0.01 | -0.01 |
| Calmar | 0.21 | 0.36 |
| Skew | -0.55 | 0.03 |
| Kurtosis | 0.98 | 1.21 |
| Ulcer Performance Index | 211.25 | 421.4 |
| Risk-Adjusted Return | 754.56% | 762.41% |
| Risk-Return Ratio | 0.22 | 0.25 |
| Avg. Return | 0.95% | 0.93% |
| Avg. Win | 3.19% | 2.9% |
| Avg. Loss | -3.25% | -3.01% |
| Win/Loss Ratio | 0.98 | 0.96 |
| Profit Ratio | 0.5 | 0.64 |
| Expected Daily | 0.85% | 0.86% |
| Expected Monthly | 0.85% | 0.86% |
| Expected Yearly | 10.59% | 10.64% |
| Kelly Criterion | 29.45% | 25.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.06% |
| Expected Shortfall (cVaR) | -8.96% | -6.89% |
| Max Consecutive Wins | 15 | 9 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 0.92 |
| Gain/Pain (1M) | 0.76 | 0.92 |
| Payoff Ratio | 0.98 | 0.96 |
| Profit Factor | 1.76 | 1.92 |
| Common Sense Ratio | 1.85 | 2.34 |
| CPC Index | 1.12 | 1.17 |
| Tail Ratio | 1.05 | 1.22 |
| Outlier Win Ratio | 2.95 | 3.58 |
| Outlier Loss Ratio | 2.93 | 3.01 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 2.12% |
| 6M | 8.94% | -1.72% |
| YTD | 8.94% | -1.72% |
| 1Y | 20.92% | 9.1% |
| 3Y (ann.) | 18.77% | 6.66% |
| 5Y (ann.) | 12.51% | 2.23% |
| 10Y (ann.) | 15.13% | 8.49% |
| All-time (ann.) | 10.76% | 10.8% |
| Best Day | 12.7% | 14.34% |
| Worst Day | -16.52% | -13.07% |
| Best Month | 12.7% | 14.34% |
| Worst Month | -16.52% | -13.07% |
| Best Year | 38.05% | 38.28% |
| Worst Year | -36.79% | -22.79% |
| Avg. Drawdown | -6.27% | -5.33% |
| Avg. Drawdown Days | 122 | 121 |
| Recovery Factor | 7.49 | 12.29 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.21 | 10.6 |
| Avg. Up Month | 3.19% | 2.9% |
| Avg. Down Month | -3.25% | -3.01% |
| Win Days | 65.09% | 63.34% |
| Win Month | 65.09% | 63.34% |
| Win Quarter | 73.33% | 67.41% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.36 |
| Alpha | - | 0.07 |
| Correlation | - | 41.67% |
| Treynor Ratio | - | 8455.25% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.46 | 1.32 | + |
| 1994 | 0.40 | 1.19 | 2.98 | + |
| 1995 | 38.05 | 24.89 | 0.65 | - |
| 1996 | 22.50 | 11.01 | 0.49 | - |
| 1997 | 33.48 | 29.70 | 0.89 | - |
| 1998 | 28.69 | 34.16 | 1.19 | + |
| 1999 | 20.39 | 13.06 | 0.64 | - |
| 2000 | -9.74 | 1.64 | -0.17 | + |
| 2001 | -11.76 | -3.60 | 0.31 | + |
| 2002 | -21.58 | -8.97 | 0.42 | + |
| 2003 | 28.18 | 22.59 | 0.80 | - |
| 2004 | 10.70 | 2.75 | 0.26 | - |
| 2005 | 4.83 | 2.52 | 0.52 | - |
| 2006 | 15.85 | 13.12 | 0.83 | - |
| 2007 | 5.15 | 2.63 | 0.51 | - |
| 2008 | -36.79 | 23.83 | -0.65 | + |
| 2009 | 26.35 | 7.21 | 0.27 | - |
| 2010 | 15.06 | 20.62 | 1.37 | + |
| 2011 | 1.89 | 38.28 | 20.20 | + |
| 2012 | 15.99 | 7.93 | 0.50 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 12.40 | 0.92 | - |
| 2015 | 1.23 | -5.52 | -4.47 | - |
| 2016 | 12.00 | 2.18 | 0.18 | - |
| 2017 | 21.71 | 13.15 | 0.61 | - |
| 2018 | -4.57 | 10.06 | -2.20 | + |
| 2019 | 31.22 | 12.56 | 0.40 | - |
| 2020 | 18.33 | 19.19 | 1.05 | + |
| 2021 | 28.73 | 18.47 | 0.64 | - |
| 2022 | -18.18 | -22.79 | 1.25 | - |
| 2023 | 26.18 | 24.25 | 0.93 | - |
| 2024 | 24.89 | 5.97 | 0.24 | - |
| 2025 | 17.72 | 11.38 | 0.64 | - |
| 2026 | 8.94 | -1.72 | -0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-11-30 | 2024-08-31 | -30.23 | 1006 |
| 2015-02-28 | 2017-12-31 | -18.16 | 1038 |
| 2001-11-30 | 2003-11-30 | -18.16 | 731 |
| 2009-01-31 | 2009-08-31 | -17.13 | 213 |
| 2007-06-30 | 2008-10-31 | -11.97 | 490 |
| 2019-09-30 | 2020-06-30 | -9.31 | 275 |
| 2012-04-30 | 2012-12-31 | -8.29 | 246 |
| 2010-05-31 | 2010-07-31 | -7.95 | 62 |
| 2004-03-31 | 2005-03-31 | -7.57 | 366 |
| 1994-02-28 | 1994-07-31 | -6.98 | 154 |