| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,180.83% |
| CAGR﹪ | 10.76% | 7.91% |
| Sharpe | 0.77 | 0.66 |
| Prob. Sharpe Ratio | 100.0% | 99.99% |
| Smart Sharpe | 0.73 | 0.63 |
| Sortino | 1.18 | 1.13 |
| Smart Sortino | 1.13 | 1.07 |
| Sortino/√2 | 0.84 | 0.8 |
| Smart Sortino/√2 | 0.8 | 0.76 |
| Omega | 1.76 | 1.93 |
| Max Drawdown | -50.78% | -29.0% |
| Max DD Date | 2009-02-28 | 2016-12-31 |
| Max DD Period Start | 2007-11-30 | 2011-09-30 |
| Max DD Period End | 2012-02-29 | 2020-03-31 |
| Longest DD Days | 2223 | 3106 |
| Volatility (ann.) | 14.76% | 12.8% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.27 |
| Skew | -0.55 | 0.17 |
| Kurtosis | 0.98 | 3.05 |
| Ulcer Performance Index | 211.25 | 105.26 |
| Risk-Adjusted Return | 754.56% | 394.59% |
| Risk-Return Ratio | 0.22 | 0.19 |
| Avg. Return | 0.95% | 0.7% |
| Avg. Win | 3.3% | 1.97% |
| Avg. Loss | -3.76% | -3.54% |
| Win/Loss Ratio | 0.88 | 0.56 |
| Profit Ratio | 0.5 | 0.22 |
| Expected Daily | 0.85% | 0.64% |
| Expected Monthly | 0.85% | 0.64% |
| Expected Yearly | 10.59% | 7.79% |
| Kelly Criterion | 25.33% | 29.11% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -5.37% |
| Expected Shortfall (cVaR) | -8.96% | -8.62% |
| Max Consecutive Wins | 15 | 41 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.93 |
| Gain/Pain (1M) | 0.76 | 0.93 |
| Payoff Ratio | 0.88 | 0.56 |
| Profit Factor | 1.76 | 1.93 |
| Common Sense Ratio | 1.85 | 3.07 |
| CPC Index | 1.01 | 0.8 |
| Tail Ratio | 1.05 | 1.59 |
| Outlier Win Ratio | 2.95 | 6.0 |
| Outlier Loss Ratio | 2.93 | 3.57 |
| MTD | -1.05% | 0.96% |
| 3M | 13.91% | -13.57% |
| 6M | 8.94% | -6.16% |
| YTD | 8.94% | -6.16% |
| 1Y | 20.92% | 22.0% |
| 3Y (ann.) | 18.77% | 21.16% |
| 5Y (ann.) | 12.51% | 13.27% |
| 10Y (ann.) | 15.13% | 8.98% |
| All-time (ann.) | 10.76% | 7.91% |
| Best Day | 12.7% | 12.79% |
| Worst Day | -16.52% | -16.14% |
| Best Month | 12.7% | 12.79% |
| Worst Month | -16.52% | -16.14% |
| Best Year | 38.05% | 51.35% |
| Worst Year | -36.79% | -9.3% |
| Avg. Drawdown | -6.27% | -7.57% |
| Avg. Drawdown Days | 122 | 356 |
| Recovery Factor | 7.49 | 9.76 |
| Ulcer Index | 0.14 | 0.11 |
| Serenity Index | 3.21 | 3.95 |
| Avg. Up Month | 3.3% | 1.97% |
| Avg. Down Month | -3.76% | -3.54% |
| Win Days | 65.09% | 74.63% |
| Win Month | 65.09% | 74.63% |
| Win Quarter | 73.33% | 80.74% |
| Win Year | 82.35% | 70.59% |
| Beta | - | 0.06 |
| Alpha | - | 0.08 |
| Correlation | - | 6.8% |
| Treynor Ratio | - | 20015.69% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 10.19 | 1.17 | + |
| 1994 | 0.40 | 2.88 | 7.24 | + |
| 1995 | 38.05 | 1.23 | 0.03 | - |
| 1996 | 22.50 | -2.97 | -0.13 | - |
| 1997 | 33.48 | 2.72 | 0.08 | - |
| 1998 | 28.69 | 1.27 | 0.04 | - |
| 1999 | 20.39 | 3.62 | 0.18 | - |
| 2000 | -9.74 | 0.02 | -0.00 | + |
| 2001 | -11.76 | -2.04 | 0.17 | + |
| 2002 | -21.58 | 24.72 | -1.15 | + |
| 2003 | 28.18 | 19.59 | 0.70 | - |
| 2004 | 10.70 | 5.46 | 0.51 | - |
| 2005 | 4.83 | 10.31 | 2.13 | + |
| 2006 | 15.85 | 36.71 | 2.32 | + |
| 2007 | 5.15 | 30.45 | 5.92 | + |
| 2008 | -36.79 | -6.88 | 0.19 | + |
| 2009 | 26.35 | 26.58 | 1.01 | + |
| 2010 | 15.06 | 19.51 | 1.30 | + |
| 2011 | 1.89 | 9.57 | 5.05 | + |
| 2012 | 15.99 | -0.19 | -0.01 | - |
| 2013 | 32.31 | -0.56 | -0.02 | - |
| 2014 | 13.46 | -3.71 | -0.28 | - |
| 2015 | 1.23 | -5.96 | -4.83 | - |
| 2016 | 12.00 | -7.62 | -0.64 | - |
| 2017 | 21.71 | 8.36 | 0.39 | - |
| 2018 | -4.57 | 2.74 | -0.60 | + |
| 2019 | 31.22 | 16.93 | 0.54 | - |
| 2020 | 18.33 | 24.81 | 1.35 | + |
| 2021 | 28.73 | -9.30 | -0.32 | - |
| 2022 | -18.18 | 1.98 | -0.11 | + |
| 2023 | 26.18 | 5.00 | 0.19 | - |
| 2024 | 24.89 | 22.56 | 0.91 | - |
| 2025 | 17.72 | 51.35 | 2.90 | + |
| 2026 | 8.94 | -6.16 | -0.69 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-09-30 | 2020-03-31 | -29.00 | 3106 |
| 2008-03-31 | 2009-10-31 | -25.85 | 580 |
| 2026-03-31 | 2026-07-31 | -23.85 | 123 |
| 2020-08-31 | 2024-02-29 | -12.78 | 1278 |
| 1993-08-31 | 1995-12-31 | -12.78 | 853 |
| 2004-04-30 | 2004-09-30 | -9.43 | 154 |
| 1996-02-29 | 2000-05-31 | -9.24 | 1554 |
| 2003-02-28 | 2003-07-31 | -8.80 | 154 |
| 2004-12-31 | 2005-08-31 | -8.70 | 244 |
| 2009-12-31 | 2010-08-31 | -7.73 | 244 |