| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | 2,964.41% | 3,842.14% |
| CAGR﹪ | 10.76% | 11.59% |
| Sharpe | 0.77 | 1.25 |
| Prob. Sharpe Ratio | 100.0% | 100.0% |
| Smart Sharpe | 0.71 | 1.16 |
| Sortino | 1.18 | 2.35 |
| Smart Sortino | 1.1 | 2.18 |
| Sortino/√2 | 0.84 | 1.66 |
| Smart Sortino/√2 | 0.78 | 1.54 |
| Omega | 1.76 | 2.68 |
| Max Drawdown | -50.78% | -9.74% |
| Max DD Date | 2009-02-28 | 2004-07-31 |
| Max DD Period Start | 2007-11-30 | 2004-04-30 |
| Max DD Period End | 2012-02-29 | 2004-10-31 |
| Longest DD Days | 2223 | 519 |
| Volatility (ann.) | 14.76% | 9.14% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | 0.21 | 1.19 |
| Skew | -0.55 | -0.0 |
| Kurtosis | 0.98 | 1.05 |
| Ulcer Performance Index | 211.25 | 1386.91 |
| Risk-Adjusted Return | 754.56% | 900.71% |
| Risk-Return Ratio | 0.22 | 0.36 |
| Avg. Return | 0.95% | 0.96% |
| Avg. Win | 3.35% | 2.34% |
| Avg. Loss | -3.53% | -2.34% |
| Win/Loss Ratio | 0.95 | 1.0 |
| Profit Ratio | 0.5 | 0.46 |
| Expected Daily | 0.85% | 0.92% |
| Expected Monthly | 0.85% | 0.92% |
| Expected Yearly | 10.59% | 11.41% |
| Kelly Criterion | 28.3% | 41.35% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -6.06% | -3.39% |
| Expected Shortfall (cVaR) | -8.96% | -4.92% |
| Max Consecutive Wins | 15 | 15 |
| Max Consecutive Losses | 5 | 5 |
| Gain/Pain Ratio | 0.76 | 1.68 |
| Gain/Pain (1M) | 0.76 | 1.68 |
| Payoff Ratio | 0.95 | 1.0 |
| Profit Factor | 1.76 | 2.68 |
| Common Sense Ratio | 1.85 | 3.83 |
| CPC Index | 1.09 | 1.9 |
| Tail Ratio | 1.05 | 1.43 |
| Outlier Win Ratio | 2.95 | 3.6 |
| Outlier Loss Ratio | 2.93 | 3.24 |
| MTD | -1.05% | -2.62% |
| 3M | 13.91% | 7.79% |
| 6M | 8.94% | 15.08% |
| YTD | 8.94% | 15.08% |
| 1Y | 20.92% | 27.03% |
| 3Y (ann.) | 18.77% | 12.31% |
| 5Y (ann.) | 12.51% | 9.58% |
| 10Y (ann.) | 15.13% | 11.65% |
| All-time (ann.) | 10.76% | 11.59% |
| Best Day | 12.7% | 9.62% |
| Worst Day | -16.52% | -8.42% |
| Best Month | 12.7% | 9.62% |
| Worst Month | -16.52% | -8.42% |
| Best Year | 38.05% | 29.09% |
| Worst Year | -36.79% | -3.54% |
| Avg. Drawdown | -6.27% | -3.51% |
| Avg. Drawdown Days | 122 | 91 |
| Recovery Factor | 7.49 | 39.33 |
| Ulcer Index | 0.14 | 0.03 |
| Serenity Index | 3.21 | 52.88 |
| Avg. Up Month | 3.35% | 2.34% |
| Avg. Down Month | -3.53% | -2.34% |
| Win Days | 65.09% | 70.65% |
| Win Month | 65.09% | 70.65% |
| Win Quarter | 73.33% | 75.56% |
| Win Year | 82.35% | 97.06% |
| Beta | - | 0.28 |
| Alpha | - | 0.08 |
| Correlation | - | 45.13% |
| Treynor Ratio | - | 13752.47% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1993 | 8.71 | 28.10 | 3.23 | + |
| 1994 | 0.40 | 0.48 | 1.20 | + |
| 1995 | 38.05 | 21.31 | 0.56 | - |
| 1996 | 22.50 | 10.48 | 0.47 | - |
| 1997 | 33.48 | 17.99 | 0.54 | - |
| 1998 | 28.69 | 8.28 | 0.29 | - |
| 1999 | 20.39 | 26.53 | 1.30 | + |
| 2000 | -9.74 | 1.91 | -0.20 | + |
| 2001 | -11.76 | 0.66 | -0.06 | + |
| 2002 | -21.58 | 6.09 | -0.28 | + |
| 2003 | 28.18 | 29.09 | 1.03 | + |
| 2004 | 10.70 | 14.36 | 1.34 | + |
| 2005 | 4.83 | 6.96 | 1.44 | + |
| 2006 | 15.85 | 25.56 | 1.61 | + |
| 2007 | 5.15 | 10.97 | 2.13 | + |
| 2008 | -36.79 | 7.17 | -0.19 | + |
| 2009 | 26.35 | 12.72 | 0.48 | - |
| 2010 | 15.06 | 18.21 | 1.21 | + |
| 2011 | 1.89 | 2.85 | 1.50 | + |
| 2012 | 15.99 | 11.56 | 0.72 | - |
| 2013 | 32.31 | 9.85 | 0.30 | - |
| 2014 | 13.46 | 1.76 | 0.13 | - |
| 2015 | 1.23 | -3.54 | -2.86 | - |
| 2016 | 12.00 | 11.24 | 0.94 | - |
| 2017 | 21.71 | 15.09 | 0.70 | - |
| 2018 | -4.57 | 6.52 | -1.43 | + |
| 2019 | 31.22 | 10.15 | 0.32 | - |
| 2020 | 18.33 | 21.27 | 1.16 | + |
| 2021 | 28.73 | 22.89 | 0.80 | - |
| 2022 | -18.18 | 4.19 | -0.23 | + |
| 2023 | 26.18 | 8.77 | 0.34 | - |
| 2024 | 24.89 | 0.68 | 0.03 | - |
| 2025 | 17.72 | 13.68 | 0.77 | - |
| 2026 | 8.94 | 15.08 | 1.69 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2004-04-30 | 2004-10-31 | -9.74 | 185 |
| 2008-06-30 | 2008-11-30 | -9.18 | 154 |
| 2011-05-31 | 2012-08-31 | -8.77 | 459 |
| 2010-05-31 | 2010-08-31 | -8.46 | 93 |
| 2024-12-31 | 2025-07-31 | -8.16 | 213 |
| 2009-01-31 | 2009-07-31 | -7.58 | 182 |
| 1994-02-28 | 1995-03-31 | -7.44 | 397 |
| 2000-04-30 | 2001-09-30 | -6.38 | 519 |
| 2015-02-28 | 2016-05-31 | -5.97 | 459 |
| 2024-04-30 | 2024-10-31 | -5.54 | 185 |