| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 632.30% |
| CAGR﹪ | 10.76% | 6.12% |
| Sharpe | 0.77 | 1.1 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.73 | 1.03 |
| Sortino | 1.18 | 1.83 |
| Smart Sortino | 1.12 | 1.73 |
| Sortino/√2 | 0.84 | 1.3 |
| Smart Sortino/√2 | 0.79 | 1.22 |
| Omega | 1.76 | 2.34 |
| Max Drawdown | -50.78% | -11.35% |
| Max DD Date | 2009-02-28 | 2012-05-31 |
| Max DD Period Start | 2007-11-30 | 2011-05-31 |
| Max DD Period End | 2012-02-29 | 2017-06-30 |
| Longest DD Days | 2223 | 2223 |
| Volatility (ann.) | 14.76% | 5.58% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.12 | -0.12 |
| Calmar | 0.21 | 0.54 |
| Skew | -0.55 | -0.48 |
| Kurtosis | 0.98 | 1.76 |
| Ulcer Performance Index | 211.25 | 189.68 |
| Risk-Adjusted Return | 754.56% | 248.37% |
| Risk-Return Ratio | 0.22 | 0.32 |
| Avg. Return | 0.95% | 0.52% |
| Avg. Win | 3.44% | 1.39% |
| Avg. Loss | -4.16% | -1.43% |
| Win/Loss Ratio | 0.83 | 0.97 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.5% |
| Expected Monthly | 0.85% | 0.5% |
| Expected Yearly | 10.59% | 6.03% |
| Kelly Criterion | 22.83% | 34.92% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.14% |
| Expected Shortfall (cVaR) | -8.96% | -3.29% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.34 |
| Gain/Pain (1M) | 0.76 | 1.34 |
| Payoff Ratio | 0.83 | 0.97 |
| Profit Factor | 1.76 | 2.34 |
| Common Sense Ratio | 1.85 | 3.04 |
| CPC Index | 0.95 | 1.54 |
| Tail Ratio | 1.05 | 1.3 |
| Outlier Win Ratio | 2.95 | 3.29 |
| Outlier Loss Ratio | 2.93 | 3.4 |
| MTD | -1.05% | 1.09% |
| 3M | 13.91% | 5.71% |
| 6M | 8.94% | 10.26% |
| YTD | 8.94% | 10.26% |
| 1Y | 20.92% | 16.72% |
| 3Y (ann.) | 18.77% | 7.26% |
| 5Y (ann.) | 12.51% | 4.63% |
| 10Y (ann.) | 15.13% | 4.67% |
| All-time (ann.) | 10.76% | 6.12% |
| Best Day | 12.7% | 4.98% |
| Worst Day | -16.52% | -6.97% |
| Best Month | 12.7% | 4.98% |
| Worst Month | -16.52% | -6.97% |
| Best Year | 38.05% | 18.52% |
| Worst Year | -36.79% | -2.81% |
| Avg. Drawdown | -6.27% | -2.05% |
| Avg. Drawdown Days | 122 | 132 |
| Recovery Factor | 7.49 | 18.05 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 12.96 |
| Avg. Up Month | 3.44% | 1.39% |
| Avg. Down Month | -4.16% | -1.43% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 73.33% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.19 |
| Alpha | - | 0.04 |
| Correlation | - | 49.01% |
| Treynor Ratio | - | 3410.68% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 18.52 | 2.13 | + |
| 1994 | 0.40 | -0.76 | -1.92 | - |
| 1995 | 38.05 | 14.72 | 0.39 | - |
| 1996 | 22.50 | 12.50 | 0.56 | - |
| 1997 | 33.48 | 5.89 | 0.18 | - |
| 1998 | 28.69 | 6.23 | 0.22 | - |
| 1999 | 20.39 | 9.17 | 0.45 | - |
| 2000 | -9.74 | 8.66 | -0.89 | + |
| 2001 | -11.76 | 0.58 | -0.05 | + |
| 2002 | -21.58 | 7.12 | -0.33 | + |
| 2003 | 28.18 | 16.39 | 0.58 | - |
| 2004 | 10.70 | 7.79 | 0.73 | - |
| 2005 | 4.83 | 7.48 | 1.55 | + |
| 2006 | 15.85 | 12.88 | 0.81 | - |
| 2007 | 5.15 | 13.18 | 2.56 | + |
| 2008 | -36.79 | 3.58 | -0.10 | + |
| 2009 | 26.35 | 12.63 | 0.48 | - |
| 2010 | 15.06 | 3.32 | 0.22 | - |
| 2011 | 1.89 | -0.63 | -0.33 | - |
| 2012 | 15.99 | 0.43 | 0.03 | - |
| 2013 | 32.31 | 0.63 | 0.02 | - |
| 2014 | 13.46 | 1.86 | 0.14 | - |
| 2015 | 1.23 | -2.81 | -2.28 | - |
| 2016 | 12.00 | 2.15 | 0.18 | - |
| 2017 | 21.71 | 12.37 | 0.57 | - |
| 2018 | -4.57 | -2.63 | 0.57 | + |
| 2019 | 31.22 | 5.76 | 0.18 | - |
| 2020 | 18.33 | 2.69 | 0.15 | - |
| 2021 | 28.73 | 8.55 | 0.30 | - |
| 2022 | -18.18 | -1.28 | 0.07 | + |
| 2023 | 26.18 | 1.03 | 0.04 | - |
| 2024 | 24.89 | 2.20 | 0.09 | - |
| 2025 | 17.72 | 9.78 | 0.55 | - |
| 2026 | 8.94 | 10.26 | 1.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2017-06-30 | -11.35 | 2223 |
| 2004-04-30 | 2004-11-30 | -8.82 | 215 |
| 2020-01-31 | 2020-11-30 | -5.74 | 305 |
| 2018-02-28 | 2019-11-30 | -5.57 | 641 |
| 2009-12-31 | 2010-09-30 | -5.38 | 274 |
| 2008-06-30 | 2009-06-30 | -4.78 | 366 |
| 2024-10-31 | 2025-07-31 | -4.16 | 274 |
| 2022-06-30 | 2024-02-29 | -3.87 | 610 |
| 1997-08-31 | 1997-11-30 | -3.43 | 92 |
| 2026-03-31 | 2026-03-31 | -3.36 | 1 |