| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,726.03% | 3,841.29% |
| CAGR﹪ | 11.01% | 12.17% |
| Sharpe | 0.77 | 0.97 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.68 | 0.85 |
| Sortino | 1.19 | 1.58 |
| Smart Sortino | 1.04 | 1.38 |
| Sortino/√2 | 0.84 | 1.12 |
| Smart Sortino/√2 | 0.74 | 0.98 |
| Omega | 1.76 | 2.1 |
| Max Drawdown | -50.78% | -23.94% |
| Max DD Date | 2009-02-28 | 2002-12-31 |
| Max DD Period Start | 2007-11-30 | 2000-09-30 |
| Max DD Period End | 2012-02-29 | 2004-10-31 |
| Longest DD Days | 2223 | 1493 |
| Volatility (ann.) | 15.0% | 12.79% |
| R^2 | 0.73 | 0.73 |
| Information Ratio | 0.03 | 0.03 |
| Calmar | 0.22 | 0.51 |
| Skew | -0.56 | -0.42 |
| Kurtosis | 0.91 | 1.28 |
| Ulcer Performance Index | 190.07 | 535.52 |
| Risk-Adjusted Return | 796.06% | 1014.65% |
| Risk-Return Ratio | 0.22 | 0.28 |
| Avg. Return | 0.97% | 1.03% |
| Avg. Win | 3.43% | 3.01% |
| Avg. Loss | -3.38% | -3.38% |
| Win/Loss Ratio | 1.01 | 0.89 |
| Profit Ratio | 0.5 | 0.32 |
| Expected Daily | 0.87% | 0.96% |
| Expected Monthly | 0.87% | 0.96% |
| Expected Yearly | 10.66% | 11.78% |
| Kelly Criterion | 31.04% | 40.29% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.15% | -5.05% |
| Expected Shortfall (cVaR) | -9.08% | -7.35% |
| Max Consecutive Wins | 15 | 21 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.1 |
| Gain/Pain (1M) | 0.76 | 1.1 |
| Payoff Ratio | 1.01 | 0.89 |
| Profit Factor | 1.76 | 2.1 |
| Common Sense Ratio | 1.88 | 2.55 |
| CPC Index | 1.17 | 1.35 |
| Tail Ratio | 1.07 | 1.21 |
| Outlier Win Ratio | 2.93 | 3.4 |
| Outlier Loss Ratio | 2.88 | 2.68 |
| MTD | -1.05% | -0.76% |
| 3M | 13.91% | 3.59% |
| 6M | 8.94% | -0.94% |
| YTD | 8.94% | -0.94% |
| 1Y | 20.92% | 9.96% |
| 3Y (ann.) | 18.77% | 10.17% |
| 5Y (ann.) | 12.51% | 7.55% |
| 10Y (ann.) | 15.13% | 11.71% |
| All-time (ann.) | 11.01% | 12.17% |
| Best Day | 12.7% | 12.7% |
| Worst Day | -16.52% | -14.12% |
| Best Month | 12.7% | 12.7% |
| Worst Month | -16.52% | -14.12% |
| Best Year | 38.05% | 38.05% |
| Worst Year | -36.79% | -18.18% |
| Avg. Drawdown | -6.7% | -5.21% |
| Avg. Drawdown Days | 132 | 102 |
| Recovery Factor | 7.32 | 16.51 |
| Ulcer Index | 0.14 | 0.07 |
| Serenity Index | 3.12 | 11.11 |
| Avg. Up Month | 3.43% | 3.01% |
| Avg. Down Month | -3.38% | -3.38% |
| Win Days | 65.27% | 71.88% |
| Win Month | 65.27% | 71.88% |
| Win Quarter | 72.87% | 78.29% |
| Win Year | 81.82% | 81.82% |
| Beta | - | 0.73 |
| Alpha | - | 0.04 |
| Correlation | - | 85.7% |
| Treynor Ratio | - | 5255.3% |
| 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 | 28.69 | 1.00 | + |
| 1999 | 20.39 | 20.39 | 1.00 | - |
| 2000 | -9.74 | -8.94 | 0.92 | + |
| 2001 | -11.76 | -3.18 | 0.27 | + |
| 2002 | -21.58 | -10.08 | 0.47 | + |
| 2003 | 28.18 | 22.89 | 0.81 | - |
| 2004 | 10.70 | 10.70 | 1.00 | - |
| 2005 | 4.83 | 4.83 | 1.00 | - |
| 2006 | 15.85 | 15.85 | 1.00 | + |
| 2007 | 5.15 | 5.15 | 1.00 | + |
| 2008 | -36.79 | 1.29 | -0.03 | + |
| 2009 | 26.35 | 22.47 | 0.85 | - |
| 2010 | 15.06 | 15.06 | 1.00 | + |
| 2011 | 1.89 | 1.90 | 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 | 27.20 | 0.87 | - |
| 2020 | 18.33 | 12.85 | 0.70 | - |
| 2021 | 28.73 | 28.73 | 1.00 | + |
| 2022 | -18.18 | -18.18 | 1.00 | + |
| 2023 | 26.18 | 15.99 | 0.61 | - |
| 2024 | 24.89 | 24.89 | 1.00 | - |
| 2025 | 17.72 | 12.39 | 0.70 | - |
| 2026 | 8.94 | -0.94 | -0.10 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-09-30 | 2004-10-31 | -23.94 | 1493 |
| 2022-01-31 | 2024-01-31 | -23.93 | 731 |
| 2020-01-31 | 2020-07-31 | -19.45 | 183 |
| 2011-05-31 | 2012-01-31 | -16.22 | 246 |
| 1998-07-31 | 1998-10-31 | -15.28 | 93 |
| 2018-10-31 | 2019-06-30 | -13.53 | 243 |
| 2010-05-31 | 2010-09-30 | -12.71 | 123 |
| 2015-08-31 | 2016-04-30 | -8.49 | 244 |
| 2025-02-28 | 2025-06-30 | -6.77 | 123 |
| 2012-04-30 | 2012-07-31 | -6.63 | 93 |