| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,742.51% |
| CAGR﹪ | 10.76% | 9.09% |
| Sharpe | 0.77 | 1.15 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.06 |
| Sortino | 1.18 | 2.17 |
| Smart Sortino | 1.09 | 2.0 |
| Sortino/√2 | 0.84 | 1.53 |
| Smart Sortino/√2 | 0.77 | 1.41 |
| Omega | 1.76 | 2.56 |
| Max Drawdown | -50.78% | -11.4% |
| Max DD Date | 2009-02-28 | 2026-06-30 |
| Max DD Period Start | 2007-11-30 | 2026-03-31 |
| Max DD Period End | 2012-02-29 | 2026-07-31 |
| Longest DD Days | 2223 | 883 |
| Volatility (ann.) | 14.76% | 7.84% |
| R^2 | 0.03 | 0.03 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.21 | 0.8 |
| Skew | -0.55 | 0.09 |
| Kurtosis | 0.98 | 1.74 |
| Ulcer Performance Index | 211.25 | 615.54 |
| Risk-Adjusted Return | 754.56% | 521.21% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.76% |
| Avg. Win | 3.46% | 1.88% |
| Avg. Loss | -3.58% | -2.17% |
| Win/Loss Ratio | 0.97 | 0.86 |
| Profit Ratio | 0.5 | 0.57 |
| Expected Daily | 0.85% | 0.73% |
| Expected Monthly | 0.85% | 0.73% |
| Expected Yearly | 10.59% | 8.95% |
| Kelly Criterion | 28.99% | 30.76% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.97% |
| Expected Shortfall (cVaR) | -8.96% | -4.37% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.56 |
| Gain/Pain (1M) | 0.76 | 1.56 |
| Payoff Ratio | 0.97 | 0.86 |
| Profit Factor | 1.76 | 2.56 |
| Common Sense Ratio | 1.85 | 4.64 |
| CPC Index | 1.11 | 1.5 |
| Tail Ratio | 1.05 | 1.81 |
| Outlier Win Ratio | 2.95 | 3.69 |
| Outlier Loss Ratio | 2.93 | 3.11 |
| MTD | -1.05% | 1.14% |
| 3M | 13.91% | -1.34% |
| 6M | 8.94% | 1.66% |
| YTD | 8.94% | 1.66% |
| 1Y | 20.92% | 16.01% |
| 3Y (ann.) | 18.77% | 8.84% |
| 5Y (ann.) | 12.51% | 4.98% |
| 10Y (ann.) | 15.13% | 6.62% |
| All-time (ann.) | 10.76% | 9.09% |
| Best Day | 12.7% | 9.13% |
| Worst Day | -16.52% | -9.17% |
| Best Month | 12.7% | 9.13% |
| Worst Month | -16.52% | -9.17% |
| Best Year | 38.05% | 23.42% |
| Worst Year | -36.79% | -1.17% |
| Avg. Drawdown | -6.27% | -2.82% |
| Avg. Drawdown Days | 122 | 109 |
| Recovery Factor | 7.49 | 26.56 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 32.73 |
| Avg. Up Month | 3.46% | 1.88% |
| Avg. Down Month | -3.58% | -2.17% |
| Win Days | 65.09% | 67.91% |
| Win Month | 65.09% | 67.91% |
| Win Quarter | 73.33% | 77.04% |
| Win Year | 82.35% | 91.18% |
| Beta | - | 0.09 |
| Alpha | - | 0.08 |
| Correlation | - | 16.84% |
| Treynor Ratio | - | 19484.88% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 8.90 | 1.02 | + |
| 1994 | 0.40 | 3.67 | 9.23 | + |
| 1995 | 38.05 | 14.52 | 0.38 | - |
| 1996 | 22.50 | 9.30 | 0.41 | - |
| 1997 | 33.48 | 10.87 | 0.32 | - |
| 1998 | 28.69 | 16.70 | 0.58 | - |
| 1999 | 20.39 | 23.42 | 1.15 | + |
| 2000 | -9.74 | 1.90 | -0.20 | + |
| 2001 | -11.76 | 8.86 | -0.75 | + |
| 2002 | -21.58 | 13.72 | -0.64 | + |
| 2003 | 28.18 | 15.67 | 0.56 | - |
| 2004 | 10.70 | 13.38 | 1.25 | + |
| 2005 | 4.83 | 6.04 | 1.25 | + |
| 2006 | 15.85 | 10.66 | 0.67 | - |
| 2007 | 5.15 | 16.55 | 3.22 | + |
| 2008 | -36.79 | 10.80 | -0.29 | + |
| 2009 | 26.35 | 4.53 | 0.17 | - |
| 2010 | 15.06 | 11.50 | 0.76 | - |
| 2011 | 1.89 | 22.80 | 12.03 | + |
| 2012 | 15.99 | -0.24 | -0.01 | - |
| 2013 | 32.31 | 4.78 | 0.15 | - |
| 2014 | 13.46 | 4.95 | 0.37 | - |
| 2015 | 1.23 | -1.17 | -0.95 | - |
| 2016 | 12.00 | 3.77 | 0.31 | - |
| 2017 | 21.71 | 14.55 | 0.67 | - |
| 2018 | -4.57 | 4.49 | -0.98 | + |
| 2019 | 31.22 | 9.95 | 0.32 | - |
| 2020 | 18.33 | 16.57 | 0.90 | - |
| 2021 | 28.73 | 1.83 | 0.06 | - |
| 2022 | -18.18 | -0.36 | 0.02 | + |
| 2023 | 26.18 | 1.14 | 0.04 | - |
| 2024 | 24.89 | 5.19 | 0.21 | - |
| 2025 | 17.72 | 20.15 | 1.14 | + |
| 2026 | 8.94 | 1.66 | 0.19 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2026-03-31 | 2026-07-31 | -11.40 | 123 |
| 2000-04-30 | 2001-07-31 | -10.22 | 458 |
| 2004-04-30 | 2004-10-31 | -8.38 | 185 |
| 2016-08-31 | 2017-07-31 | -7.06 | 335 |
| 2009-01-31 | 2009-10-31 | -6.13 | 274 |
| 2021-09-30 | 2024-02-29 | -6.11 | 883 |
| 2003-06-30 | 2003-09-30 | -5.42 | 93 |
| 2013-05-31 | 2014-07-31 | -5.39 | 427 |
| 2015-02-28 | 2016-05-31 | -5.25 | 459 |
| 2009-12-31 | 2010-02-28 | -4.88 | 60 |