| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 1,159.61% |
| CAGR﹪ | 10.76% | 7.86% |
| Sharpe | 0.77 | 1.17 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.1 |
| Sortino | 1.18 | 2.07 |
| Smart Sortino | 1.11 | 1.94 |
| Sortino/√2 | 0.84 | 1.47 |
| Smart Sortino/√2 | 0.78 | 1.37 |
| Omega | 1.76 | 2.48 |
| Max Drawdown | -50.78% | -12.09% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2008-06-30 |
| Max DD Period End | 2012-02-29 | 2009-08-31 |
| Longest DD Days | 2223 | 760 |
| Volatility (ann.) | 14.76% | 6.65% |
| R^2 | 0.24 | 0.24 |
| Information Ratio | -0.08 | -0.08 |
| Calmar | 0.21 | 0.65 |
| Skew | -0.55 | -0.29 |
| Kurtosis | 0.98 | 1.12 |
| Ulcer Performance Index | 211.25 | 399.05 |
| Risk-Adjusted Return | 754.56% | 389.44% |
| Risk-Return Ratio | 0.22 | 0.34 |
| Avg. Return | 0.95% | 0.65% |
| Avg. Win | 3.4% | 1.71% |
| Avg. Loss | -4.07% | -1.67% |
| Win/Loss Ratio | 0.84 | 1.02 |
| Profit Ratio | 0.5 | 0.52 |
| Expected Daily | 0.85% | 0.63% |
| Expected Monthly | 0.85% | 0.63% |
| Expected Yearly | 10.59% | 7.74% |
| Kelly Criterion | 23.36% | 38.0% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.5% |
| Expected Shortfall (cVaR) | -8.96% | -3.68% |
| Max Consecutive Wins | 15 | 14 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.48 |
| Gain/Pain (1M) | 0.76 | 1.48 |
| Payoff Ratio | 0.84 | 1.02 |
| Profit Factor | 1.76 | 2.48 |
| Common Sense Ratio | 1.85 | 3.75 |
| CPC Index | 0.96 | 1.74 |
| Tail Ratio | 1.05 | 1.51 |
| Outlier Win Ratio | 2.95 | 3.07 |
| Outlier Loss Ratio | 2.93 | 2.99 |
| MTD | -1.05% | 0.3% |
| 3M | 13.91% | 4.36% |
| 6M | 8.94% | 9.0% |
| YTD | 8.94% | 9.0% |
| 1Y | 20.92% | 16.62% |
| 3Y (ann.) | 18.77% | 10.79% |
| 5Y (ann.) | 12.51% | 6.3% |
| 10Y (ann.) | 15.13% | 6.57% |
| All-time (ann.) | 10.76% | 7.86% |
| Best Day | 12.7% | 5.78% |
| Worst Day | -16.52% | -6.91% |
| Best Month | 12.7% | 5.78% |
| Worst Month | -16.52% | -6.91% |
| Best Year | 38.05% | 22.95% |
| Worst Year | -36.79% | -7.77% |
| Avg. Drawdown | -6.27% | -2.55% |
| Avg. Drawdown Days | 122 | 105 |
| Recovery Factor | 7.49 | 21.63 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 21.55 |
| Avg. Up Month | 3.4% | 1.71% |
| Avg. Down Month | -4.07% | -1.67% |
| Win Days | 65.09% | 68.66% |
| Win Month | 65.09% | 68.66% |
| Win Quarter | 73.33% | 74.07% |
| Win Year | 82.35% | 85.29% |
| Beta | - | 0.22 |
| Alpha | - | 0.05 |
| Correlation | - | 48.78% |
| Treynor Ratio | - | 5281.15% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 16.93 | 1.94 | + |
| 1994 | 0.40 | -0.55 | -1.37 | - |
| 1995 | 38.05 | 10.31 | 0.27 | - |
| 1996 | 22.50 | 13.09 | 0.58 | - |
| 1997 | 33.48 | 12.92 | 0.39 | - |
| 1998 | 28.69 | 3.19 | 0.11 | - |
| 1999 | 20.39 | 8.56 | 0.42 | - |
| 2000 | -9.74 | 11.31 | -1.16 | + |
| 2001 | -11.76 | 2.93 | -0.25 | + |
| 2002 | -21.58 | 5.16 | -0.24 | + |
| 2003 | 28.18 | 22.95 | 0.81 | - |
| 2004 | 10.70 | 12.22 | 1.14 | + |
| 2005 | 4.83 | 11.45 | 2.37 | + |
| 2006 | 15.85 | 16.67 | 1.05 | + |
| 2007 | 5.15 | 12.09 | 2.35 | + |
| 2008 | -36.79 | -7.77 | 0.21 | + |
| 2009 | 26.35 | 20.65 | 0.78 | - |
| 2010 | 15.06 | 9.91 | 0.66 | - |
| 2011 | 1.89 | 2.53 | 1.34 | + |
| 2012 | 15.99 | 2.91 | 0.18 | - |
| 2013 | 32.31 | 4.93 | 0.15 | - |
| 2014 | 13.46 | 6.32 | 0.47 | - |
| 2015 | 1.23 | -1.96 | -1.59 | - |
| 2016 | 12.00 | 4.09 | 0.34 | - |
| 2017 | 21.71 | 11.63 | 0.54 | - |
| 2018 | -4.57 | -1.30 | 0.28 | + |
| 2019 | 31.22 | 9.25 | 0.30 | - |
| 2020 | 18.33 | 6.39 | 0.35 | - |
| 2021 | 28.73 | 13.97 | 0.49 | - |
| 2022 | -18.18 | -3.71 | 0.20 | + |
| 2023 | 26.18 | 1.68 | 0.06 | - |
| 2024 | 24.89 | 7.71 | 0.31 | - |
| 2025 | 17.72 | 14.94 | 0.84 | - |
| 2026 | 8.94 | 9.00 | 1.01 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-06-30 | 2009-08-31 | -12.09 | 428 |
| 2011-05-31 | 2013-03-31 | -8.14 | 671 |
| 2004-04-30 | 2004-10-31 | -6.91 | 185 |
| 1994-02-28 | 1995-06-30 | -6.73 | 488 |
| 2022-01-31 | 2024-02-29 | -6.69 | 760 |
| 2010-05-31 | 2010-11-30 | -6.57 | 184 |
| 2015-02-28 | 2016-05-31 | -4.91 | 459 |
| 2020-01-31 | 2020-06-30 | -4.83 | 152 |
| 2002-06-30 | 2002-12-31 | -4.56 | 185 |
| 2026-03-31 | 2026-04-30 | -4.20 | 31 |