| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 2,634.33% |
| CAGR﹪ | 10.76% | 10.38% |
| Sharpe | 0.77 | 1.08 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 0.99 |
| Sortino | 1.18 | 1.9 |
| Smart Sortino | 1.09 | 1.75 |
| Sortino/√2 | 0.84 | 1.34 |
| Smart Sortino/√2 | 0.77 | 1.24 |
| Omega | 1.76 | 2.27 |
| Max Drawdown | -50.78% | -15.62% |
| Max DD Date | 2009-02-28 | 2008-10-31 |
| Max DD Period Start | 2007-11-30 | 2008-07-31 |
| Max DD Period End | 2012-02-29 | 2009-08-31 |
| Longest DD Days | 2223 | 1006 |
| Volatility (ann.) | 14.76% | 9.64% |
| R^2 | 0.22 | 0.22 |
| Information Ratio | -0.02 | -0.02 |
| Calmar | 0.21 | 0.66 |
| Skew | -0.55 | -0.2 |
| Kurtosis | 0.98 | 0.49 |
| Ulcer Performance Index | 211.25 | 609.14 |
| Risk-Adjusted Return | 754.56% | 695.63% |
| Risk-Return Ratio | 0.22 | 0.31 |
| Avg. Return | 0.93% | 0.87% |
| Avg. Win | 3.41% | 2.57% |
| Avg. Loss | -4.0% | -2.33% |
| Win/Loss Ratio | 0.85 | 1.1 |
| Profit Ratio | 0.5 | 0.75 |
| Expected Daily | 0.85% | 0.83% |
| Expected Monthly | 0.85% | 0.83% |
| Expected Yearly | 10.59% | 10.22% |
| Kelly Criterion | 24.07% | 29.91% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.71% |
| Expected Shortfall (cVaR) | -8.96% | -5.06% |
| Max Consecutive Wins | 15 | 12 |
| Max Consecutive Losses | 5 | 4 |
| Gain/Pain Ratio | 0.76 | 1.27 |
| Gain/Pain (1M) | 0.76 | 1.27 |
| Payoff Ratio | 0.85 | 1.1 |
| Profit Factor | 1.76 | 2.27 |
| Common Sense Ratio | 1.85 | 3.27 |
| CPC Index | 0.97 | 1.58 |
| Tail Ratio | 1.05 | 1.44 |
| Outlier Win Ratio | 2.95 | 2.92 |
| Outlier Loss Ratio | 2.93 | 3.39 |
| MTD | -1.05% | -2.73% |
| 3M | 13.91% | 10.33% |
| 6M | 8.94% | 18.47% |
| YTD | 8.94% | 18.47% |
| 1Y | 20.92% | 31.85% |
| 3Y (ann.) | 18.77% | 14.68% |
| 5Y (ann.) | 12.51% | 8.32% |
| 10Y (ann.) | 15.13% | 9.61% |
| All-time (ann.) | 10.76% | 10.38% |
| Best Day | 12.7% | 8.13% |
| Worst Day | -16.52% | -9.26% |
| Best Month | 12.7% | 8.13% |
| Worst Month | -16.52% | -9.26% |
| Best Year | 38.05% | 24.55% |
| Worst Year | -36.79% | -8.44% |
| Avg. Drawdown | -6.27% | -3.62% |
| Avg. Drawdown Days | 122 | 99 |
| Recovery Factor | 7.49 | 22.26 |
| Ulcer Index | 0.14 | 0.04 |
| Serenity Index | 3.21 | 21.13 |
| Avg. Up Month | 3.41% | 2.57% |
| Avg. Down Month | -4.0% | -2.33% |
| Win Days | 65.09% | 63.25% |
| Win Month | 65.09% | 63.25% |
| Win Quarter | 73.33% | 70.37% |
| Win Year | 82.35% | 79.41% |
| Beta | - | 0.31 |
| Alpha | - | 0.07 |
| Correlation | - | 46.9% |
| Treynor Ratio | - | 8601.14% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 18.26 | 2.10 | + |
| 1994 | 0.40 | -4.37 | -11.01 | - |
| 1995 | 38.05 | 18.25 | 0.48 | - |
| 1996 | 22.50 | 13.85 | 0.62 | - |
| 1997 | 33.48 | 16.58 | 0.50 | - |
| 1998 | 28.69 | 6.26 | 0.22 | - |
| 1999 | 20.39 | 11.65 | 0.57 | - |
| 2000 | -9.74 | 13.61 | -1.40 | + |
| 2001 | -11.76 | -0.48 | 0.04 | + |
| 2002 | -21.58 | 15.03 | -0.70 | + |
| 2003 | 28.18 | 22.60 | 0.80 | - |
| 2004 | 10.70 | 14.48 | 1.35 | + |
| 2005 | 4.83 | 8.84 | 1.83 | + |
| 2006 | 15.85 | 21.94 | 1.38 | + |
| 2007 | 5.15 | 12.20 | 2.37 | + |
| 2008 | -36.79 | -4.84 | 0.13 | + |
| 2009 | 26.35 | 17.29 | 0.66 | - |
| 2010 | 15.06 | 14.47 | 0.96 | - |
| 2011 | 1.89 | 6.05 | 3.20 | + |
| 2012 | 15.99 | 9.59 | 0.60 | - |
| 2013 | 32.31 | 24.55 | 0.76 | - |
| 2014 | 13.46 | 4.96 | 0.37 | - |
| 2015 | 1.23 | -8.44 | -6.84 | - |
| 2016 | 12.00 | 10.03 | 0.84 | - |
| 2017 | 21.71 | 16.36 | 0.75 | - |
| 2018 | -4.57 | -1.92 | 0.42 | + |
| 2019 | 31.22 | 11.65 | 0.37 | - |
| 2020 | 18.33 | 12.10 | 0.66 | - |
| 2021 | 28.73 | 19.12 | 0.67 | - |
| 2022 | -18.18 | -6.83 | 0.38 | + |
| 2023 | 26.18 | -0.54 | -0.02 | - |
| 2024 | 24.89 | 8.11 | 0.33 | - |
| 2025 | 17.72 | 20.94 | 1.18 | + |
| 2026 | 8.94 | 18.47 | 2.07 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2008-07-31 | 2009-08-31 | -15.62 | 397 |
| 2021-11-30 | 2024-08-31 | -13.05 | 1006 |
| 1994-02-28 | 1995-06-30 | -12.55 | 488 |
| 2010-05-31 | 2010-11-30 | -10.73 | 184 |
| 2015-02-28 | 2016-11-30 | -10.09 | 642 |
| 2018-09-30 | 2019-07-31 | -9.08 | 305 |
| 2004-04-30 | 2004-10-31 | -7.61 | 185 |
| 2000-05-31 | 2000-11-30 | -7.11 | 184 |
| 2020-01-31 | 2020-06-30 | -6.63 | 152 |
| 2024-12-31 | 2025-05-31 | -6.28 | 152 |