| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,535.84% |
| CAGR﹪ | 10.76% | 8.7% |
| Sharpe | 0.77 | 1.16 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.08 |
| Sortino | 1.18 | 1.96 |
| Smart Sortino | 1.1 | 1.83 |
| Sortino/√2 | 0.84 | 1.39 |
| Smart Sortino/√2 | 0.78 | 1.29 |
| Omega | 1.76 | 2.37 |
| Max Drawdown | -50.78% | -17.15% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2024-02-29 |
| Longest DD Days | 2223 | 760 |
| Volatility (ann.) | 14.76% | 7.46% |
| R^2 | 0.51 | 0.51 |
| Information Ratio | -0.07 | -0.07 |
| Calmar | 0.21 | 0.51 |
| Skew | -0.55 | -0.56 |
| Kurtosis | 0.98 | 2.18 |
| Ulcer Performance Index | 211.25 | 476.44 |
| Risk-Adjusted Return | 754.56% | 476.57% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.72% |
| Avg. Win | 3.7% | 2.02% |
| Avg. Loss | -4.31% | -1.99% |
| Win/Loss Ratio | 0.86 | 1.02 |
| Profit Ratio | 0.5 | 0.63 |
| Expected Daily | 0.85% | 0.7% |
| Expected Monthly | 0.85% | 0.7% |
| Expected Yearly | 10.59% | 8.57% |
| Kelly Criterion | 24.33% | 32.39% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.82% |
| Expected Shortfall (cVaR) | -8.96% | -4.56% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.37 |
| Gain/Pain (1M) | 0.76 | 1.37 |
| Payoff Ratio | 0.86 | 1.02 |
| Profit Factor | 1.76 | 2.37 |
| Common Sense Ratio | 1.85 | 3.32 |
| CPC Index | 0.98 | 1.59 |
| Tail Ratio | 1.05 | 1.4 |
| Outlier Win Ratio | 2.95 | 3.11 |
| Outlier Loss Ratio | 2.93 | 3.51 |
| MTD | -1.05% | -0.57% |
| 3M | 13.91% | 1.86% |
| 6M | 8.94% | 3.77% |
| YTD | 8.94% | 3.77% |
| 1Y | 20.92% | 14.88% |
| 3Y (ann.) | 18.77% | 12.76% |
| 5Y (ann.) | 12.51% | 7.07% |
| 10Y (ann.) | 15.13% | 8.08% |
| All-time (ann.) | 10.76% | 8.7% |
| Best Day | 12.7% | 7.13% |
| Worst Day | -16.52% | -10.62% |
| Best Month | 12.7% | 7.13% |
| Worst Month | -16.52% | -10.62% |
| Best Year | 38.05% | 20.9% |
| Worst Year | -36.79% | -12.48% |
| Avg. Drawdown | -6.27% | -2.56% |
| Avg. Drawdown Days | 122 | 75 |
| Recovery Factor | 7.49 | 16.89 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 19.16 |
| Avg. Up Month | 3.7% | 2.02% |
| Avg. Down Month | -4.31% | -1.99% |
| Win Days | 65.09% | 65.92% |
| Win Month | 65.09% | 65.92% |
| Win Quarter | 73.33% | 74.81% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.36 |
| Alpha | - | 0.05 |
| Correlation | - | 71.73% |
| Treynor Ratio | - | 4236.41% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 13.99 | 1.61 | + |
| 1994 | 0.40 | -0.59 | -1.49 | - |
| 1995 | 38.05 | 20.80 | 0.55 | - |
| 1996 | 22.50 | 9.55 | 0.42 | - |
| 1997 | 33.48 | 11.08 | 0.33 | - |
| 1998 | 28.69 | 9.88 | 0.34 | - |
| 1999 | 20.39 | 4.50 | 0.22 | - |
| 2000 | -9.74 | 8.73 | -0.90 | + |
| 2001 | -11.76 | 5.62 | -0.48 | + |
| 2002 | -21.58 | 3.75 | -0.17 | + |
| 2003 | 28.18 | 20.90 | 0.74 | - |
| 2004 | 10.70 | 10.78 | 1.01 | + |
| 2005 | 4.83 | 8.06 | 1.67 | + |
| 2006 | 15.85 | 12.87 | 0.81 | - |
| 2007 | 5.15 | 9.40 | 1.83 | + |
| 2008 | -36.79 | -4.94 | 0.13 | + |
| 2009 | 26.35 | 12.30 | 0.47 | - |
| 2010 | 15.06 | 16.94 | 1.12 | + |
| 2011 | 1.89 | 9.77 | 5.16 | + |
| 2012 | 15.99 | 9.29 | 0.58 | - |
| 2013 | 32.31 | 3.06 | 0.09 | - |
| 2014 | 13.46 | 9.98 | 0.74 | - |
| 2015 | 1.23 | -2.53 | -2.05 | - |
| 2016 | 12.00 | 9.79 | 0.82 | - |
| 2017 | 21.71 | 11.24 | 0.52 | - |
| 2018 | -4.57 | -3.42 | 0.75 | + |
| 2019 | 31.22 | 18.11 | 0.58 | - |
| 2020 | 18.33 | 16.97 | 0.93 | - |
| 2021 | 28.73 | 9.14 | 0.32 | - |
| 2022 | -18.18 | -12.48 | 0.69 | + |
| 2023 | 26.18 | 12.80 | 0.49 | - |
| 2024 | 24.89 | 11.77 | 0.47 | - |
| 2025 | 17.72 | 19.18 | 1.08 | + |
| 2026 | 8.94 | 3.77 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2024-02-29 | -17.15 | 760 |
| 2008-06-30 | 2009-08-31 | -15.99 | 428 |
| 2020-02-29 | 2020-04-30 | -7.61 | 62 |
| 2002-06-30 | 2003-03-31 | -6.07 | 275 |
| 2015-02-28 | 2016-02-29 | -5.48 | 367 |
| 1998-08-31 | 1998-10-31 | -5.41 | 62 |
| 2026-03-31 | 2026-07-31 | -5.08 | 123 |
| 2013-04-30 | 2013-09-30 | -4.99 | 154 |
| 2004-04-30 | 2004-08-31 | -4.86 | 124 |
| 2018-02-28 | 2019-01-31 | -4.77 | 338 |