| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 915.38% |
| CAGR﹪ | 10.76% | 7.16% |
| Sharpe | 0.77 | 1.15 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 1.07 |
| Sortino | 1.18 | 1.92 |
| Smart Sortino | 1.1 | 1.78 |
| Sortino/√2 | 0.84 | 1.36 |
| Smart Sortino/√2 | 0.78 | 1.26 |
| Omega | 1.76 | 2.36 |
| Max Drawdown | -50.78% | -11.11% |
| Max DD Date | 2009-02-28 | 2012-05-31 |
| Max DD Period Start | 2007-11-30 | 2011-05-31 |
| Max DD Period End | 2012-02-29 | 2013-11-30 |
| Longest DD Days | 2223 | 915 |
| Volatility (ann.) | 14.76% | 6.18% |
| R^2 | 0.37 | 0.37 |
| Information Ratio | -0.1 | -0.1 |
| Calmar | 0.21 | 0.64 |
| Skew | -0.55 | -0.56 |
| Kurtosis | 0.98 | 1.4 |
| Ulcer Performance Index | 211.25 | 319.48 |
| Risk-Adjusted Return | 754.56% | 327.58% |
| Risk-Return Ratio | 0.22 | 0.33 |
| Avg. Return | 0.95% | 0.6% |
| Avg. Win | 3.39% | 1.62% |
| Avg. Loss | -3.87% | -1.7% |
| Win/Loss Ratio | 0.88 | 0.96 |
| Profit Ratio | 0.5 | 0.49 |
| Expected Daily | 0.85% | 0.58% |
| Expected Monthly | 0.85% | 0.58% |
| Expected Yearly | 10.59% | 7.05% |
| Kelly Criterion | 25.23% | 35.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -2.34% |
| Expected Shortfall (cVaR) | -8.96% | -3.51% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 6 |
| Gain/Pain Ratio | 0.76 | 1.36 |
| Gain/Pain (1M) | 0.76 | 1.36 |
| Payoff Ratio | 0.88 | 0.96 |
| Profit Factor | 1.76 | 2.36 |
| Common Sense Ratio | 1.85 | 3.17 |
| CPC Index | 1.0 | 1.55 |
| Tail Ratio | 1.05 | 1.34 |
| Outlier Win Ratio | 2.95 | 2.97 |
| Outlier Loss Ratio | 2.93 | 3.35 |
| MTD | -1.05% | 2.77% |
| 3M | 13.91% | 4.03% |
| 6M | 8.94% | 9.57% |
| YTD | 8.94% | 9.57% |
| 1Y | 20.92% | 15.51% |
| 3Y (ann.) | 18.77% | 8.13% |
| 5Y (ann.) | 12.51% | 5.61% |
| 10Y (ann.) | 15.13% | 6.38% |
| All-time (ann.) | 10.76% | 7.16% |
| Best Day | 12.7% | 5.14% |
| Worst Day | -16.52% | -6.68% |
| Best Month | 12.7% | 5.14% |
| Worst Month | -16.52% | -6.68% |
| Best Year | 38.05% | 22.35% |
| Worst Year | -36.79% | -4.58% |
| Avg. Drawdown | -6.27% | -2.39% |
| Avg. Drawdown Days | 122 | 101 |
| Recovery Factor | 7.49 | 21.49 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 18.48 |
| Avg. Up Month | 3.39% | 1.62% |
| Avg. Down Month | -3.87% | -1.7% |
| Win Days | 65.09% | 68.66% |
| Win Month | 65.09% | 68.66% |
| Win Quarter | 73.33% | 74.81% |
| Win Year | 82.35% | 88.24% |
| Beta | - | 0.26 |
| Alpha | - | 0.04 |
| Correlation | - | 61.24% |
| Treynor Ratio | - | 3567.57% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 11.40 | 1.31 | + |
| 1994 | 0.40 | 2.18 | 5.48 | + |
| 1995 | 38.05 | 17.20 | 0.45 | - |
| 1996 | 22.50 | 12.40 | 0.55 | - |
| 1997 | 33.48 | 12.16 | 0.36 | - |
| 1998 | 28.69 | 6.31 | 0.22 | - |
| 1999 | 20.39 | 7.55 | 0.37 | - |
| 2000 | -9.74 | 8.68 | -0.89 | + |
| 2001 | -11.76 | 3.07 | -0.26 | + |
| 2002 | -21.58 | 2.27 | -0.11 | + |
| 2003 | 28.18 | 17.22 | 0.61 | - |
| 2004 | 10.70 | 11.19 | 1.05 | + |
| 2005 | 4.83 | 7.52 | 1.56 | + |
| 2006 | 15.85 | 15.89 | 1.00 | + |
| 2007 | 5.15 | 9.24 | 1.80 | + |
| 2008 | -36.79 | -2.64 | 0.07 | + |
| 2009 | 26.35 | 14.59 | 0.55 | - |
| 2010 | 15.06 | 4.02 | 0.27 | - |
| 2011 | 1.89 | 0.23 | 0.12 | - |
| 2012 | 15.99 | 1.60 | 0.10 | - |
| 2013 | 32.31 | 7.97 | 0.25 | - |
| 2014 | 13.46 | 7.50 | 0.56 | - |
| 2015 | 1.23 | -2.14 | -1.73 | - |
| 2016 | 12.00 | 3.69 | 0.31 | - |
| 2017 | 21.71 | 9.40 | 0.43 | - |
| 2018 | -4.57 | -1.77 | 0.39 | + |
| 2019 | 31.22 | 8.50 | 0.27 | - |
| 2020 | 18.33 | 3.57 | 0.19 | - |
| 2021 | 28.73 | 22.35 | 0.78 | - |
| 2022 | -18.18 | -4.58 | 0.25 | + |
| 2023 | 26.18 | 4.18 | 0.16 | - |
| 2024 | 24.89 | 6.22 | 0.25 | - |
| 2025 | 17.72 | 9.14 | 0.52 | - |
| 2026 | 8.94 | 9.57 | 1.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2011-05-31 | 2013-11-30 | -11.11 | 915 |
| 2008-07-31 | 2009-10-31 | -10.71 | 458 |
| 2010-05-31 | 2010-11-30 | -7.64 | 184 |
| 2004-04-30 | 2004-10-31 | -5.79 | 185 |
| 2022-01-31 | 2024-01-31 | -5.50 | 731 |
| 2020-01-31 | 2020-10-31 | -5.35 | 275 |
| 2015-02-28 | 2016-06-30 | -5.28 | 489 |
| 1998-08-31 | 1998-12-31 | -4.67 | 123 |
| 2018-10-31 | 2019-08-31 | -4.66 | 305 |
| 2010-01-31 | 2010-02-28 | -4.41 | 29 |