| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 484.80% |
| CAGR﹪ | 10.76% | 5.41% |
| Sharpe | 0.77 | 1.03 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 0.98 |
| Sortino | 1.18 | 1.8 |
| Smart Sortino | 1.13 | 1.72 |
| Sortino/√2 | 0.84 | 1.27 |
| Smart Sortino/√2 | 0.8 | 1.22 |
| Omega | 1.76 | 2.18 |
| Max Drawdown | -50.78% | -9.02% |
| Max DD Date | 2009-02-28 | 2004-07-31 |
| Max DD Period Start | 2007-11-30 | 2004-04-30 |
| Max DD Period End | 2012-02-29 | 2005-01-31 |
| Longest DD Days | 2223 | 2254 |
| Volatility (ann.) | 14.76% | 5.28% |
| R^2 | 0.21 | 0.21 |
| Information Ratio | -0.13 | -0.13 |
| Calmar | 0.21 | 0.6 |
| Skew | -0.55 | -0.18 |
| Kurtosis | 0.98 | 0.81 |
| Ulcer Performance Index | 211.25 | 158.13 |
| Risk-Adjusted Return | 754.56% | 202.56% |
| Risk-Return Ratio | 0.22 | 0.3 |
| Avg. Return | 0.95% | 0.46% |
| Avg. Win | 3.54% | 1.42% |
| Avg. Loss | -3.96% | -1.34% |
| Win/Loss Ratio | 0.89 | 1.05 |
| Profit Ratio | 0.5 | 0.71 |
| Expected Daily | 0.85% | 0.44% |
| Expected Monthly | 0.85% | 0.44% |
| Expected Yearly | 10.59% | 5.33% |
| Kelly Criterion | 26.02% | 29.23% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.05% |
| Expected Shortfall (cVaR) | -8.96% | -2.93% |
| Max Consecutive Wins | 15 | 10 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.18 |
| Gain/Pain (1M) | 0.76 | 1.18 |
| Payoff Ratio | 0.89 | 1.05 |
| Profit Factor | 1.76 | 2.18 |
| Common Sense Ratio | 1.85 | 2.89 |
| CPC Index | 1.02 | 1.46 |
| Tail Ratio | 1.05 | 1.33 |
| Outlier Win Ratio | 2.95 | 2.97 |
| Outlier Loss Ratio | 2.93 | 3.08 |
| MTD | -1.05% | 1.56% |
| 3M | 13.91% | 6.58% |
| 6M | 8.94% | 11.3% |
| YTD | 8.94% | 11.3% |
| 1Y | 20.92% | 16.91% |
| 3Y (ann.) | 18.77% | 6.23% |
| 5Y (ann.) | 12.51% | 3.52% |
| 10Y (ann.) | 15.13% | 4.28% |
| All-time (ann.) | 10.76% | 5.41% |
| Best Day | 12.7% | 5.17% |
| Worst Day | -16.52% | -5.72% |
| Best Month | 12.7% | 5.17% |
| Worst Month | -16.52% | -5.72% |
| Best Year | 38.05% | 17.41% |
| Worst Year | -36.79% | -3.81% |
| Avg. Drawdown | -6.27% | -2.06% |
| Avg. Drawdown Days | 122 | 147 |
| Recovery Factor | 7.49 | 20.13 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 13.28 |
| Avg. Up Month | 3.54% | 1.42% |
| Avg. Down Month | -3.96% | -1.34% |
| Win Days | 65.09% | 63.68% |
| Win Month | 65.09% | 63.68% |
| Win Quarter | 73.33% | 69.63% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.17 |
| Alpha | - | 0.04 |
| Correlation | - | 46.28% |
| Treynor Ratio | - | 2929.96% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 16.95 | 1.95 | + |
| 1994 | 0.40 | -0.94 | -2.37 | - |
| 1995 | 38.05 | 14.74 | 0.39 | - |
| 1996 | 22.50 | 11.85 | 0.53 | - |
| 1997 | 33.48 | 6.34 | 0.19 | - |
| 1998 | 28.69 | 6.10 | 0.21 | - |
| 1999 | 20.39 | 7.91 | 0.39 | - |
| 2000 | -9.74 | 7.43 | -0.76 | + |
| 2001 | -11.76 | -0.55 | 0.05 | + |
| 2002 | -21.58 | 8.26 | -0.38 | + |
| 2003 | 28.18 | 17.41 | 0.62 | - |
| 2004 | 10.70 | 7.12 | 0.67 | - |
| 2005 | 4.83 | 6.46 | 1.34 | + |
| 2006 | 15.85 | 10.08 | 0.64 | - |
| 2007 | 5.15 | 8.94 | 1.74 | + |
| 2008 | -36.79 | 4.97 | -0.13 | + |
| 2009 | 26.35 | 5.23 | 0.20 | - |
| 2010 | 15.06 | 0.85 | 0.06 | - |
| 2011 | 1.89 | -1.17 | -0.62 | - |
| 2012 | 15.99 | 2.40 | 0.15 | - |
| 2013 | 32.31 | -1.49 | -0.05 | - |
| 2014 | 13.46 | 2.52 | 0.19 | - |
| 2015 | 1.23 | -3.81 | -3.09 | - |
| 2016 | 12.00 | 3.18 | 0.27 | - |
| 2017 | 21.71 | 9.71 | 0.45 | - |
| 2018 | -4.57 | -0.84 | 0.18 | + |
| 2019 | 31.22 | 6.23 | 0.20 | - |
| 2020 | 18.33 | 3.47 | 0.19 | - |
| 2021 | 28.73 | 9.57 | 0.33 | - |
| 2022 | -18.18 | -2.53 | 0.14 | + |
| 2023 | 26.18 | 0.76 | 0.03 | - |
| 2024 | 24.89 | 0.31 | 0.01 | - |
| 2025 | 17.72 | 7.14 | 0.40 | - |
| 2026 | 8.94 | 11.30 | 1.26 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2005-01-31 | -9.02 | 277 |
| 2011-05-31 | 2017-07-31 | -8.13 | 2254 |
| 2009-12-31 | 2011-01-31 | -7.72 | 397 |
| 2024-10-31 | 2025-09-30 | -6.68 | 335 |
| 2021-11-30 | 2024-06-30 | -5.96 | 944 |
| 2020-01-31 | 2020-10-31 | -4.29 | 275 |
| 2018-02-28 | 2019-05-31 | -4.21 | 458 |
| 2009-01-31 | 2009-07-31 | -3.50 | 182 |
| 1997-08-31 | 1997-11-30 | -3.26 | 92 |
| 2008-07-31 | 2008-11-30 | -2.97 | 123 |