| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 505.79% |
| CAGR﹪ | 10.76% | 5.52% |
| Sharpe | 0.77 | 0.72 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.76 | 0.7 |
| Sortino | 1.18 | 1.17 |
| Smart Sortino | 1.16 | 1.15 |
| Sortino/√2 | 0.84 | 0.83 |
| Smart Sortino/√2 | 0.82 | 0.81 |
| Omega | 1.76 | 1.76 |
| Max Drawdown | -50.78% | -19.36% |
| Max DD Date | 2009-02-28 | 2000-10-31 |
| Max DD Period Start | 2007-11-30 | 2000-04-30 |
| Max DD Period End | 2012-02-29 | 2002-08-31 |
| Longest DD Days | 2223 | 1523 |
| Volatility (ann.) | 14.76% | 7.95% |
| R^2 | 0.02 | 0.02 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.29 |
| Skew | -0.55 | -0.2 |
| Kurtosis | 0.98 | 1.94 |
| Ulcer Performance Index | 211.25 | 99.58 |
| Risk-Adjusted Return | 754.56% | 209.32% |
| Risk-Return Ratio | 0.22 | 0.21 |
| Avg. Return | 0.95% | 0.49% |
| Avg. Win | 3.62% | 1.79% |
| Avg. Loss | -3.09% | -2.13% |
| Win/Loss Ratio | 1.17 | 0.84 |
| Profit Ratio | 0.5 | 0.71 |
| Expected Daily | 0.85% | 0.45% |
| Expected Monthly | 0.85% | 0.45% |
| Expected Yearly | 10.59% | 5.44% |
| Kelly Criterion | 35.31% | 14.9% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.3% |
| Expected Shortfall (cVaR) | -8.96% | -4.99% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.76 |
| Gain/Pain (1M) | 0.76 | 0.76 |
| Payoff Ratio | 1.17 | 0.84 |
| Profit Factor | 1.76 | 1.76 |
| Common Sense Ratio | 1.85 | 2.59 |
| CPC Index | 1.34 | 0.9 |
| Tail Ratio | 1.05 | 1.47 |
| Outlier Win Ratio | 2.95 | 3.07 |
| Outlier Loss Ratio | 2.93 | 3.72 |
| MTD | -1.05% | 1.98% |
| 3M | 13.91% | -0.67% |
| 6M | 8.94% | 10.8% |
| YTD | 8.94% | 10.8% |
| 1Y | 20.92% | 16.93% |
| 3Y (ann.) | 18.77% | 5.34% |
| 5Y (ann.) | 12.51% | 2.77% |
| 10Y (ann.) | 15.13% | 4.02% |
| All-time (ann.) | 10.76% | 5.52% |
| Best Day | 12.7% | 8.88% |
| Worst Day | -16.52% | -8.52% |
| Best Month | 12.7% | 8.88% |
| Worst Month | -16.52% | -8.52% |
| Best Year | 38.05% | 17.34% |
| Worst Year | -36.79% | -11.66% |
| Avg. Drawdown | -6.27% | -4.0% |
| Avg. Drawdown Days | 122 | 174 |
| Recovery Factor | 7.49 | 9.87 |
| Ulcer Index | 0.14 | 0.05 |
| Serenity Index | 3.21 | 6.24 |
| Avg. Up Month | 3.62% | 1.79% |
| Avg. Down Month | -3.09% | -2.13% |
| Win Days | 65.09% | 61.19% |
| Win Month | 65.09% | 61.19% |
| Win Quarter | 73.33% | 64.44% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.07 |
| Alpha | - | 0.05 |
| Correlation | - | 13.65% |
| Treynor Ratio | - | 6876.59% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 5.68 | 0.65 | - |
| 1994 | 0.40 | 4.77 | 12.01 | + |
| 1995 | 38.05 | 17.34 | 0.46 | - |
| 1996 | 22.50 | 2.92 | 0.13 | - |
| 1997 | 33.48 | 13.92 | 0.42 | - |
| 1998 | 28.69 | 15.00 | 0.52 | - |
| 1999 | 20.39 | 13.56 | 0.66 | - |
| 2000 | -9.74 | -11.66 | 1.20 | - |
| 2001 | -11.76 | 4.37 | -0.37 | + |
| 2002 | -21.58 | 14.08 | -0.65 | + |
| 2003 | 28.18 | 15.73 | 0.56 | - |
| 2004 | 10.70 | 2.85 | 0.27 | - |
| 2005 | 4.83 | 5.57 | 1.15 | + |
| 2006 | 15.85 | 4.37 | 0.28 | - |
| 2007 | 5.15 | 0.80 | 0.16 | - |
| 2008 | -36.79 | 16.59 | -0.45 | + |
| 2009 | 26.35 | 3.09 | 0.12 | - |
| 2010 | 15.06 | 7.33 | 0.49 | - |
| 2011 | 1.89 | 10.66 | 5.63 | + |
| 2012 | 15.99 | -1.72 | -0.11 | - |
| 2013 | 32.31 | 1.34 | 0.04 | - |
| 2014 | 13.46 | 1.99 | 0.15 | - |
| 2015 | 1.23 | -6.35 | -5.14 | - |
| 2016 | 12.00 | 0.50 | 0.04 | - |
| 2017 | 21.71 | 4.29 | 0.20 | - |
| 2018 | -4.57 | 1.71 | -0.37 | + |
| 2019 | 31.22 | 8.06 | 0.26 | - |
| 2020 | 18.33 | 14.52 | 0.79 | - |
| 2021 | 28.73 | 6.43 | 0.22 | - |
| 2022 | -18.18 | 0.62 | -0.03 | + |
| 2023 | 26.18 | -0.70 | -0.03 | - |
| 2024 | 24.89 | -0.22 | -0.01 | - |
| 2025 | 17.72 | 3.97 | 0.22 | - |
| 2026 | 8.94 | 10.80 | 1.21 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-04-30 | 2002-08-31 | -19.36 | 854 |
| 2006-12-31 | 2007-12-31 | -11.71 | 366 |
| 2015-02-28 | 2019-04-30 | -9.89 | 1523 |
| 2004-04-30 | 2004-11-30 | -9.45 | 215 |
| 2026-06-30 | 2026-07-31 | -8.43 | 32 |
| 2024-07-31 | 2025-12-31 | -8.26 | 519 |
| 1996-07-31 | 1996-12-31 | -8.01 | 154 |
| 2013-05-31 | 2014-12-31 | -7.26 | 580 |
| 2011-05-31 | 2011-07-31 | -6.32 | 62 |
| 2020-09-30 | 2021-03-31 | -5.98 | 183 |