| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,726.03% | 2,988.55% |
| CAGR﹪ | 11.01% | 11.32% |
| Sharpe | 0.77 | 0.9 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.72 | 0.84 |
| Sortino | 1.19 | 1.44 |
| Smart Sortino | 1.1 | 1.33 |
| Sortino/√2 | 0.84 | 1.02 |
| Smart Sortino/√2 | 0.78 | 0.94 |
| Omega | 1.76 | 1.99 |
| Max Drawdown | -50.78% | -23.93% |
| Max DD Date | 2009-02-28 | 2022-09-30 |
| Max DD Period Start | 2007-11-30 | 2022-01-31 |
| Max DD Period End | 2012-02-29 | 2023-12-31 |
| Longest DD Days | 2223 | 1096 |
| Volatility (ann.) | 15.0% | 12.81% |
| R^2 | 0.67 | 0.67 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.22 | 0.47 |
| Skew | -0.56 | -0.53 |
| Kurtosis | 0.91 | 1.24 |
| Ulcer Performance Index | 190.07 | 425.82 |
| Risk-Adjusted Return | 796.06% | 849.84% |
| Risk-Return Ratio | 0.22 | 0.26 |
| Avg. Return | 0.97% | 0.97% |
| Avg. Win | 3.43% | 3.02% |
| Avg. Loss | -3.22% | -3.37% |
| Win/Loss Ratio | 1.06 | 0.9 |
| Profit Ratio | 0.5 | 0.34 |
| Expected Daily | 0.87% | 0.9% |
| Expected Monthly | 0.87% | 0.9% |
| Expected Yearly | 10.66% | 10.95% |
| Kelly Criterion | 32.64% | 38.26% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.15% | -5.12% |
| Expected Shortfall (cVaR) | -9.08% | -7.78% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 0.99 |
| Gain/Pain (1M) | 0.76 | 0.99 |
| Payoff Ratio | 1.06 | 0.9 |
| Profit Factor | 1.76 | 1.99 |
| Common Sense Ratio | 1.88 | 2.27 |
| CPC Index | 1.22 | 1.26 |
| Tail Ratio | 1.07 | 1.14 |
| Outlier Win Ratio | 2.93 | 3.39 |
| Outlier Loss Ratio | 2.88 | 2.69 |
| MTD | -1.05% | -1.05% |
| 3M | 13.91% | 13.02% |
| 6M | 8.94% | 5.32% |
| YTD | 8.94% | 5.32% |
| 1Y | 20.92% | 16.91% |
| 3Y (ann.) | 18.77% | 15.04% |
| 5Y (ann.) | 12.51% | 9.63% |
| 10Y (ann.) | 15.13% | 10.41% |
| All-time (ann.) | 11.01% | 11.32% |
| Best Day | 12.7% | 10.91% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 10.91% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 38.05% |
| Worst Year | -36.79% | -18.18% |
| Avg. Drawdown | -6.7% | -5.71% |
| Avg. Drawdown Days | 132 | 117 |
| Recovery Factor | 7.32 | 15.5 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.12 | 11.88 |
| Avg. Up Month | 3.43% | 3.02% |
| Avg. Down Month | -3.22% | -3.37% |
| Win Days | 65.27% | 70.83% |
| Win Month | 65.27% | 70.83% |
| Win Quarter | 72.87% | 75.19% |
| Win Year | 81.82% | 84.85% |
| Beta | - | 0.7 |
| Alpha | - | 0.03 |
| Correlation | - | 81.75% |
| Treynor Ratio | - | 4278.98% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1994 | 0.65 | 0.65 | 1.00 | + |
| 1995 | 38.05 | 38.05 | 1.00 | + |
| 1996 | 22.50 | 22.50 | 1.00 | + |
| 1997 | 33.48 | 33.48 | 1.00 | - |
| 1998 | 28.69 | 20.07 | 0.70 | - |
| 1999 | 20.39 | 20.39 | 1.00 | - |
| 2000 | -9.74 | -13.25 | 1.36 | - |
| 2001 | -11.76 | 8.11 | -0.69 | + |
| 2002 | -21.58 | 0.63 | -0.03 | + |
| 2003 | 28.18 | 20.72 | 0.74 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | - |
| 2006 | 15.85 | 15.85 | 1.00 | - |
| 2007 | 5.15 | -5.26 | -1.02 | - |
| 2008 | -36.79 | 0.71 | -0.02 | + |
| 2009 | 26.35 | 12.19 | 0.46 | - |
| 2010 | 15.06 | 13.40 | 0.89 | - |
| 2011 | 1.89 | 1.89 | 1.00 | + |
| 2012 | 15.99 | 15.99 | 1.00 | - |
| 2013 | 32.31 | 32.31 | 1.00 | + |
| 2014 | 13.46 | 13.46 | 1.00 | + |
| 2015 | 1.23 | 1.23 | 1.00 | + |
| 2016 | 12.00 | 12.00 | 1.00 | - |
| 2017 | 21.71 | 21.71 | 1.00 | - |
| 2018 | -4.57 | -4.57 | 1.00 | + |
| 2019 | 31.22 | 19.01 | 0.61 | - |
| 2020 | 18.33 | -2.69 | -0.15 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -18.18 | 1.00 | + |
| 2023 | 26.18 | 20.51 | 0.78 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 12.00 | 0.68 | - |
| 2026 | 8.94 | 5.32 | 0.60 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-01-31 | 2023-12-31 | -23.93 | 700 |
| 2020-01-31 | 2021-02-28 | -23.10 | 395 |
| 2007-06-30 | 2010-02-28 | -17.61 | 975 |
| 2000-09-30 | 2003-09-30 | -16.77 | 1096 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 1998-07-31 | 1998-11-30 | -15.28 | 123 |
| 2010-05-31 | 2010-11-30 | -13.96 | 184 |
| 2018-10-31 | 2019-11-30 | -13.53 | 396 |
| 2015-08-31 | 2016-04-30 | -8.49 | 244 |
| 2026-02-28 | 2026-03-31 | -8.17 | 32 |